Quantitative Portfolio Optimisation, Asset Allocation and Risk Management
eBook - PDF

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

A Practical Guide to Implementing Quantitative Investment Theory

  1. English
  2. PDF
  3. Available on iOS & Android
eBook - PDF

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

A Practical Guide to Implementing Quantitative Investment Theory

Book details
Table of contents
Citations

About This Book

Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.

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Information

Publisher
Palgrave Macmillan
Year
2002
ISBN
9780230512856
Topic
Business
Subtopic
Corporate Finance
Index
Business

Table of contents

  1. Cover
  2. Half-Title
  3. Title
  4. Copyright
  5. Contents
  6. List of Figures
  7. List of Tables
  8. PART I A BASIS FOR QUANTITATIVEMANAGEMENT ANDANALYSIS
  9. PART II MODERN PORTFOLIO THEORY
  10. PART Ill ASSET ALLOCATION
  11. PART IV QUANTITATIVE RISK MANAGEMENT
  12. Appendix Notation
  13. Glossary
  14. Index