Quantitative Portfolio Optimisation, Asset Allocation and Risk Management: A Practical Guide to Implementing Quantitative Investment Theory
Condition: SECONDHAND
NB: This is a secondhand book in very good condition. See our FAQs for more information. Please note that the jacket image is indicative only. A description of our secondhand books is not always available. Please contact us if you have a question about this title.
Author: M. Rasmussen
Format: Hardback
Number of Pages: 443
Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical text 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.
Author: M. Rasmussen
Format: Hardback
Number of Pages: 443
Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical text 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.
Description
NB: This is a secondhand book in very good condition. See our FAQs for more information. Please note that the jacket image is indicative only. A description of our secondhand books is not always available. Please contact us if you have a question about this title.
Author: M. Rasmussen
Format: Hardback
Number of Pages: 443
Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical text 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.
Author: M. Rasmussen
Format: Hardback
Number of Pages: 443
Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical text 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.
Quantitative Portfolio Optimisation, Asset Allocation and Risk Management: A Practical Guide to Implementing Quantitative Investment Theory