eBook - PDF

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

Name: Quantitative Portfolio Optimisation, Asset Allocation and Risk Management
Author: M. Rasmussen

A Practical Guide to Implementing Quantitative Investment Theory

M. Rasmussen,

English
PDF
Available on iOS & Android

eBook - PDF

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

A Practical Guide to Implementing Quantitative Investment Theory

M. Rasmussen,

About this book

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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Yes, you can access Quantitative Portfolio Optimisation, Asset Allocation and Risk Management by M. Rasmussen in PDF and/or ePUB format, as well as other popular books in Business & Corporate Finance. We have over one million books available in our catalogue for you to explore.