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Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

  • Authors
  • Mikkel¬†Rasmussen
Book

Part of the Finance and Capital Markets book series (FCMS)

Table of contents

  1. Front Matter
    Pages i-xv
  2. A Basis for Quantitative Management and Analysis

    1. Front Matter
      Pages 1-1
    2. Mikkel Rasmussen
      Pages 3-8
    3. Mikkel Rasmussen
      Pages 9-22
    4. Mikkel Rasmussen
      Pages 23-37
    5. Mikkel Rasmussen
      Pages 38-70
  3. Modern Portfolio Theory

    1. Front Matter
      Pages 71-71
    2. Mikkel Rasmussen
      Pages 73-96
    3. Mikkel Rasmussen
      Pages 138-163
  4. Asset Allocation

    1. Front Matter
      Pages 165-165
    2. Mikkel Rasmussen
      Pages 167-176
    3. Mikkel Rasmussen
      Pages 239-272
    4. Mikkel Rasmussen
      Pages 273-290
    5. Mikkel Rasmussen
      Pages 291-314
  5. Quantitative Risk Management

    1. Front Matter
      Pages 315-315
    2. Mikkel Rasmussen
      Pages 317-331
    3. Mikkel Rasmussen
      Pages 332-391
  6. Back Matter
    Pages 432-443

About this book

Introduction

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.

Keywords

asset allocation asset management asset manager asset pricing investment Portfolio portfolio management Portfolio Optimization Portfolio Theory Quantitative risk management Risk Management value-at-risk

Bibliographic information

Industry Sectors
Finance, Business & Banking