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

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


unique in the direction of institutional asset managers regularly and leader funding officials, portfolio managers and chance managers specifically, this useful booklet serves as a complete advisor to quantitative portfolio optimization, asset allocation and chance administration. offering an available but rigorous method of funding administration, it steadily introduces ever extra complicated quantitative instruments for those components. utilizing broad examples, this ebook publications the reader from uncomplicated go back and probability research, all through to portfolio optimization and possibility characterization, and eventually directly to totally fledged quantitative asset allocation and threat administration. It employs such instruments as more desirable glossy portfolio idea utilizing Monte Carlo simulation and complicated go back distribution research, research of marginal contributions to absolute and lively portfolio probability, Value-at-Risk and severe price conception. All this is often played in the related conceptual, theoretical and empirical framework, delivering a self-contained, complete studying adventure with a strongly functional goal.

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