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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.
Title: Quantitative Portfolio Optimisation, Asset ...
Publisher: Palgrave Macmillan
Publication Date: 2003
Book Condition: Fair
Edition: 2003rd Edition.
Book Description Palgrave Macmillan. Hardcover. Condition: Very Good. 1403904588 Item in very good condition! Textbooks may not include supplemental items i.e. CDs, access codes etc. Seller Inventory # Z1403904588Z2
Book Description Palgrave Macmillan, 2003. Hardcover. Condition: Good. Item may show signs of shelf wear. Pages may include limited notes and highlighting. Includes supplemental or companion materials if applicable. Access codes may or may not work. Connecting readers since 1972. Customer service is our top priority. Seller Inventory # mon0001024732
Book Description Palgrave Macmillan, 2002. Condition: Good. A+ Customer service! Satisfaction Guaranteed! Book is in Used-Good condition. Pages and cover are clean and intact. Used items may not include supplementary materials such as CDs or access codes. May show signs of minor shelf wear and contain limited notes and highlighting. Seller Inventory # 1403904588-2-4
Book Description Palgrave Macmillan, 2003. Hardcover. Condition: Used: Good. Seller Inventory # SONG1403904588
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