Portfolio Theory and Risk Management (Mastering Mathematical Finance) - Softcover
Book 6 of 8: Mastering Mathematical Finance
Synopsis
A rigorous account of classical portfolio theory and a simple introduction to modern risk measures and their limitations.
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About the Authors
Maciej J. Capiński is an Associate Professor in the Faculty of Applied Mathematics at AGH University of Science and Technology in Kraków, Poland. His interests include mathematical finance, financial modelling, computer-assisted proofs in dynamical systems and celestial mechanics. He has authored ten research publications, one book, and supervised over 30 MSc dissertations, mostly in mathematical finance.
Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, where he taught courses at all levels in analysis, measure and probability, stochastic processes and mathematical finance between 1970 and 2007. His editorial experience includes service as founding member of the Springer Finance series (1998–2008) and the Cambridge University Press AIMS Library Series. He has taught in the UK, Canada and South Africa and he has authored more than 50 research publications and five books.
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Portfolio Theory and Risk Management
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Cambridge University Press, 2014
ISBN 10: 0521177146
ISBN 13: 9780521177146
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Portfolio Theory and Risk Management (Mastering Mathematical Finance)
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Portfolio Theory and Risk Management (Paperback)
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Paperback. Condition: new. Paperback. With its emphasis on examples, exercises and calculations, this book suits advanced undergraduates as well as postgraduates and practitioners. It provides a clear treatment of the scope and limitations of mean-variance portfolio theory and introduces popular modern risk measures. Proofs are given in detail, assuming only modest mathematical background, but with attention to clarity and rigour. The discussion of VaR and its more robust generalizations, such as AVaR, brings recent developments in risk measures within range of some undergraduate courses and includes a novel discussion of reducing VaR and AVaR by means of hedging techniques. A moderate pace, careful motivation and more than 70 exercises give students confidence in handling risk assessments in modern finance. Solutions and additional materials for instructors are available at With its focus on examples, exercises and calculations this book suits advanced undergraduates as well as postgraduates and practitioners. It provides a rigorous treatment of the underlying theory and equips the reader to handle risk assessments in modern finance. Solutions and additional material are available at Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780521177146
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Portfolio Theory and Risk Management (Mastering Mathematical Finance)
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Portfolio Theory and Risk Management
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ISBN 13: 9780521177146
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