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Quantitative Portfolio Optimisation, Asset Allocation and Risk Management PDF
By:M. Rasmussen
Published on 2002-12-13 by Springer

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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.

This Book was ranked at 34 by Google Books for keyword Risk Management.

Book ID of Quantitative Portfolio Optimisation, Asset Allocation and Risk Management's Books is t1F9DAAAQBAJ, Book which was written byM. Rasmussenhave ETAG "ULTWg/zQEk8"

Book which was published by Springer since 2002-12-13 have ISBNs, ISBN 13 Code is 9780230512856 and ISBN 10 Code is 0230512852

Reading Mode in Text Status is false and Reading Mode in Image Status is true

Book which have "443 Pages" is Printed at BOOK under CategoryBusiness and Economics

Book was written in en

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