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

Autor M. Rasmussen
en Limba Engleză Hardback – 13 dec 2002
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.
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Specificații

ISBN-13: 9781403904584
ISBN-10: 1403904588
Pagini: 400
Ilustrații: XV, 443 p.
Dimensiuni: 155 x 235 x 28 mm
Greutate: 0.8 kg
Ediția:2003
Editura: Palgrave Macmillan UK
Colecția Palgrave Macmillan
Seria Finance and Capital Markets Series

Locul publicării:London, United Kingdom

Cuprins

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

Notă biografică

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.