Quantitative Portfolio Optimisation, Asset Allocation and Risk Management
A Practical Guide to Implementing Quantitative Investment Theory
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Beschreibung
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.
Autor*in
M. Rasmussen
Themen in »Quantitative Portfolio Optimisation, Asset Allocation and Risk Management«
asset allocation asset management asset manager asset pricing investment Portfolio portfolio management Portfolio Optimization Portfolio Theory Quantitative risk management value-at-risk investments and securities banking