Portfolio Theory and Risk Management

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Sprache: Englisch

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Beschreibung

With its emphasis on examples, exercises and calculations, this book suits advanced undergraduates as well as postgraduates and practitioners. It provides a clear treatment of the scope and limitations of mean-variance portfolio theory and introduces popular modern risk measures. Proofs are given in detail, assuming only modest mathematical background, but with attention to clarity and rigour. The discussion of VaR and its more robust generalizations, such as AVaR, brings recent developments in risk measures within range of some undergraduate courses and includes a novel discussion of reducing VaR and AVaR by means of hedging techniques. A moderate pace, careful motivation and more than 70 exercises give students confidence in handling risk assessments in modern finance. Solutions and additional materials for instructors are available at [...]

Über den Autor

Maciej J. Capiski is an Associate Professor in the Faculty of Applied Mathematics at AGH University of Science and Technology in Kraków, Poland. His interests include mathematical finance, financial modelling, computer-assisted proofs in dynamical systems and celestial mechanics. He has authored ten research publications, one book, and supervised over 30 MSc dissertations, mostly in mathematical finance.

Inhaltsverzeichnis

Preface; 1. Risk and return; 2. Portfolios consisting of two assets; 3. Lagrange multipliers; 4. Portfolios of multiple assets; 5. The capital asset pricing model; 6. Utility functions; 7. Value at risk; 8. Coherent measures of risk; Index.

Details

Erscheinungsjahr:	2014
Fachbereich:	Allgemeines
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Inhalt:	Kartoniert / Broschiert
ISBN-13:	9780521177146
ISBN-10:	0521177146
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Capi¿ski, Maciej J. Kopp, Ekkehard
Hersteller:	Cambridge University Press
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	229 x 152 x 10 mm
Von/Mit:	Maciej J. Capi¿ski (u. a.)
Erscheinungsdatum:	07.08.2014
Gewicht:	0,259 kg