Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

A Practical Guide to Implementing Quantitative Investment Theory
2003. Auflage 2002
ISBN: 978-1-4039-0458-4
Verlag: Palgrave MacMillan UK

Buch, Englisch, 443 Seiten, Format (B × H): 155 mm x 244 mm, Gewicht: 798 g

Reihe: Finance and Capital Markets Series

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.

Zielgruppe

Research

Autoren/Hrsg.

Rasmussen, M.

Inhaltsverzeichnis

PART 1: A BASIS FOR QUANTITATIVE PORTFOLIO MANAGEMENT Asset Management Basics Asset Return Asset Risk Asset Pricing PART 2: MODERN PORTFOLIO THEORY Efficient Portfolios and Quantitative Portfolio Optimisation Estimating Model Parameters PART 3: QUANTITATIVE ASSET ALLOCATION Quantitative Portfolio Construction and Asset Allocation Quasi-Random Monte Carlo Simulated Asset Allocation (QRMCSAA) Strategic and Tactical Asset Allocation QRMCSAA Applied to Sector Rotation PART 4: QUANTITATIVE RISK MANAGEMENT Tracking Error, Information Ratio and Active Management Value Added Sector Risk Model Value at Risk Extreme Value Theory

Über Autor(innen)

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.