Quantitative Portfolio Optimisation, Asset Allocation and Risk Management: A Practical Guide to Implementing Quantitative Investment Theory (Finance and Capital Markets Series)

Rasmussen, Mikkel

ISBN 10: 1403904588 / ISBN 13: 9781403904584

Published by Palgrave Macmillan, 2003

About this Item

Hardcover. Gr. 8°. (24 x 15,5 cm). XV, 444 Seiten mit zahlreichen Diagrammen und Abbildungen. Einband berieben, Ecken angestoßen und der hintere Buchdeckel mit einigen Druckstellen. Eine Seite des Inhaltsverzeichnisses mit kleiner Knickspur an der Blattecke. Ansonsten innen in sauberem, guten Zustand ohne Eintragungen. (Oktav-833g). Wir versenden versichert mit Hermes. Auf Anfrage ist eine alternative Versandart möglich. Seller Inventory # 233505-5440F

Bibliographic Details

Title: Quantitative Portfolio Optimisation, Asset ...

Publisher: Palgrave Macmillan

Publication Date: 2003

Binding: Hardcover

Condition: Befriedigend

About this title

Synopsis:

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.

About the Author:

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.