Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

✍ Scribed by Mikkel Rasmussen (auth.)

Publisher: Palgrave Macmillan UK
Year: 2003
Tongue: English
Leaves: 453
Series: Finance and Capital Markets
Category: Library

No coin nor oath required. For personal study only.

✦ Table of Contents

Front Matter....Pages i-xv
Front Matter....Pages 1-1
Asset Management Basics....Pages 3-8
Asset Returns....Pages 9-22
Asset Risk....Pages 23-37
Asset Pricing....Pages 38-70
Front Matter....Pages 71-71
Portfolio Characterisation....Pages 73-96
Quantitative Portfolio Optimisation and Efficient Portfolios....Pages 97-137
Estimating Model Parameters....Pages 138-163
Front Matter....Pages 165-165
Investment Objectives and Benchmark Selection....Pages 167-176
Quantitative Portfolio Construction and Asset Allocation....Pages 177-200
Quasi-Random Monte Carlo Simulated Asset Allocation (Qrmcsaa)....Pages 201-238
Refining the Qrmcsaa Model....Pages 239-272
Strategic and Tactical Asset Allocation....Pages 273-290
Sector Rotation....Pages 291-314
Front Matter....Pages 315-315
Tracking Error and Information Ratio....Pages 317-331
Sector Risk Model....Pages 332-391
Value-At-Risk (Var) And Extreme Value Theory (Evt)....Pages 392-431
Back Matter....Pages 432-443

✦ Subjects

Business Finance; Investments and Securities; Risk Management; Banking

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