Quantitative Portfolio Optimisation, Asset Allocation and Risk Management
ISBN:
9781349509447
Auflage:
Softcover reprint of the original 1st ed. 2003
Verlag:
Palgrave Macmillan, Palgrave Macmillan UK
Land des Verlags:
Vereinigtes Königreich
Erscheinungsdatum:
01.01.2003
Reihe:
Finance and Capital Markets Series
Format:
Softcover
Seitenanzahl:
443
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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.
Schlagwörter
Biografische Anmerkung
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.
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