Risk Budgeting: Portfolio Problem Solving with Value-at-Risk

✍ Scribed by Neil D. Pearson

Publisher: Wiley
Year: 2002
Tongue: English
Leaves: 334
Series: Wiley Finance
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

Institutional investors and fund managers understand they must take risks to generate superior investment returns, but the question is how much. Enter the concept of risk budgeting, using quantitative risks measurements, including VaR, to solve the problem. VaR, or value at risk, is a concept first introduced by bank dealers to establish parameters for their market short-term risk exposure. This book introduces VaR, extreme VaR, and stress-testing risk measurement techniques to major institutional investors, and shows them how they can implement formal risk budgeting to more efficiently manage their investment portfolios. Risk Budgeting is the most sophisticated and advanced read on the subject out there in the market.

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