Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

A Practical Guide to Implementing Quantitative Investment Theory

Häftad, Engelska, 2003

Av M. Rasmussen

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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.

Produktinformation

Utgivningsdatum2003-01-01
Mått155 x 235 x 24 mm
Vikt640 g
FormatHäftad
SpråkEngelska
SerieFinance and Capital Markets Series
Antal sidor443
FörlagPalgrave Macmillan
ISBN9781349509447

Tillhör följande kategorier

PART 1: A BASIS FOR QUANTITATIVE PORTFOLIO MANAGEMENT Asset Management Basics Asset Return Asset Risk Asset Pricing PART 2: MODERN PORTFOLIO THEORY Efficient Portfolios and Quantitative Portfolio Optimisation Estimating Model Parameters PART 3: QUANTITATIVE ASSET ALLOCATION Quantitative Portfolio Construction and Asset Allocation Quasi-Random Monte Carlo Simulated Asset Allocation (QRMCSAA) Strategic and Tactical Asset Allocation QRMCSAA Applied to Sector Rotation PART 4: QUANTITATIVE RISK MANAGEMENT Tracking Error, Information Ratio and Active Management Value Added Sector Risk Model Value at Risk Extreme Value Theory