Quantitative Portfolio Optimisation, Asset Allocation and Risk Management by M Rasmussen
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.-
Explaining and Forecasting the US Federal Funds Rate
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Asset Management Standards
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Advances in Risk Management
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Asset Allocation and International Investments
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Exchange Traded Funds as an Investment Option
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The Economics of the Financial Crisis
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Diversification and Portfolio Management of Mutual Funds
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Derivatives and Internal Models
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The Taxation of Equity Derivatives and Structured Products
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Investor Relations
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Climate Trading
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Energy Price Risk
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Operational Risk Management
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The Credit Risk of Complex Derivatives
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Liquidity Risk
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Adequate Decision Rules for Portfolio Choice Problems
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Global Custody and Clearing Services
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Strategy, Value and Risk - The Real Options Approach
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Performance of Mutual Funds
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Mergers and Acquisitions
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Parimutuel Applications In Finance
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The Electronic Financial Markets of the Future
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Yield Curve Modeling
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Energy Risk Modeling
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Quantitative Methods for Electricity Trading and Risk Management
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Stock Market Developments in the Countries of the Gulf Cooperation Council
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Active Fixed Income and Credit Management
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The New Global Regulatory Landscape
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Financial Lexicon
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Risk Management Systems
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Capital Market Instruments
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Technology Management in Financial Services
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International Financial Operations
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Quantification of Operational Risk under Basel II
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Energy Hedging in Asia: Market Structure and Trading Opportunities
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Risk and Financial Catastrophe
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Basel III Credit Rating Systems
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The Insider's View on Corporate Governance
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International Loan Documentation
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Economic Capital and Financial Risk Management for Financial Services Firms and Conglomerates
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Asia Pacific Derivative Markets
MIKKEL RASMUSSEN has an MSc in Economics and has worked both as a risk management consultant and equity portfolio manager. He currently manages Japanese equities at AEGON Asset Management in the Netherlands.
| SKU | Unavailable |
| ISBN 13 | 9781349509447 |
| ISBN 10 | 1349509442 |
| Title | Quantitative Portfolio Optimisation, Asset Allocation and Risk Management |
| Author | M Rasmussen |
| Series | Finance And Capital Markets Series |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Palgrave Macmillan |
| Year published | 2003-01-01 |
| Number of pages | 443 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |