Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

Rasmussen Mikkel

ISBN 10: 1403904588 / ISBN 13: 9781403904584

Verlag: MacMillan, 2002

Beschreibung

pp. 460 Illus.

Bestandsnummer des Verkäufers 8382642

Bibliografische Details

• Titel: Quantitative Portfolio Optimisation, Asset Allocation and Risk Management
• Verlag: MacMillan
• Erscheinungsjahr: 2002
• Sprache: Englisch
• ISBN-10: 1403904588
• ISBN-13: 9781403904584
• Einband: Hardcover
• Zustand: New

Über diesen Titel

Inhaltsangabe

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.

Über die Autorin bzw. den Autor

MIKKEL RASMUSSEN has an MSc in Economics and has worked both as a risk management consultant and equity portfolio manager. He currently manages Japanese equities at AEGON Asset Management in the Netherlands.