Download PDF Quantitative Portfolio Optimisation Asset Allocation and Risk Management A Practical Guide to Implementing Quantitative Investment Theory Finance and Capital Markets Series M Rasmussen 9781349509447 Books
Download PDF Quantitative Portfolio Optimisation Asset Allocation and Risk Management A Practical Guide to Implementing Quantitative Investment Theory Finance and Capital Markets Series M Rasmussen 9781349509447 Books
Download As PDF : Quantitative Portfolio Optimisation Asset Allocation and Risk Management A Practical Guide to Implementing Quantitative Investment Theory Finance and Capital Markets Series M Rasmussen 9781349509447 Books
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.
Download PDF Quantitative Portfolio Optimisation Asset Allocation and Risk Management A Practical Guide to Implementing Quantitative Investment Theory Finance and Capital Markets Series M Rasmussen 9781349509447 Books
"Whenever I buy a book I try to look for ones that have a strong practical aim. This is definitely such a book. It starts off with a fair amount of theory, which is required to fully appreciate it, but then moves into very practical territory with lots of real life problems and situations. This book is one of those A-Z books that ties all the treads together, but spiced up with practical applications in almost every chapter. Definitely worth reading if you need to understand the mechanics of quantitative portfolio optimisation and risk management."
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Tags : Quantitative Portfolio Optimisation, Asset Allocation and Risk Management A Practical Guide to Implementing Quantitative Investment Theory (Finance and Capital Markets Series) [M. Rasmussen] on . Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular,M. Rasmussen,Quantitative Portfolio Optimisation, Asset Allocation and Risk Management A Practical Guide to Implementing Quantitative Investment Theory (Finance and Capital Markets Series),Palgrave Macmillan,1349509442,Corporate Finance - General,Insurance - Risk Assessment Management,Investments Securities - General,Banks and banking,Business,Business enterprises-Finance,Investment banking,Management science,Risk management,Securities,B,BUSINESS ECONOMICS / Banks Banking,BUSINESS ECONOMICS / Corporate Finance / General,BUSINESS ECONOMICS / Insurance / Risk Assessment Management,BUSINESS ECONOMICS / Investments Securities / General,Banking,Business Economics,Business Economics/Banks Banking,Business Economics/Finance - General,Business Economics/Insurance - Risk Assessment Management,Business Economics/Investments Securities - General,Business Finance,Business/Economics,Corporate finance,Investment securities,Investments and Securities,Management management techniques,Palgrave Economics Finance Collection,Wirtschaft / Betriebswirtschaft,asset allocation; asset management; asset manager; asset pricing; investment; Portfolio; portfolio management; Portfolio Optimization; Portfolio Theory; Quantitative risk management; Risk Management; value-at-risk,asset allocation;asset management;asset manager;asset pricing;investment;Portfolio;portfolio management;Portfolio Optimization;Portfolio Theory;Quantitative risk management;Risk Management;value-at-risk,BUSINESS ECONOMICS / Banks Banking,BUSINESS ECONOMICS / Corporate Finance / General,BUSINESS ECONOMICS / Insurance / Risk Assessment Management,BUSINESS ECONOMICS / Investments Securities / General,Business Economics/Banks Banking,Business Economics/Finance - General,Business Economics/Insurance - Risk Assessment Management,Business Economics/Investments Securities - General,Business Economics,Business/Economics,Banking,Investment securities,Management management techniques,Corporate finance,Wirtschaft / Betriebswirtschaft
Quantitative Portfolio Optimisation Asset Allocation and Risk Management A Practical Guide to Implementing Quantitative Investment Theory Finance and Capital Markets Series M Rasmussen 9781349509447 Books Reviews :
Quantitative Portfolio Optimisation Asset Allocation and Risk Management A Practical Guide to Implementing Quantitative Investment Theory Finance and Capital Markets Series M Rasmussen 9781349509447 Books Reviews
- It is seldom that a book of this nature covers the terrain in such a lucid and erudite fashion, which can be appreciated by a broader audience. There are weaknesses though. I have a Ph.D on the topic, namely portfolio optimisation and this book, although published just prior to my final thesis, seemed to miss my radar, which is unfortunate. There is a wealth of information contained in the book, although referencing is a little thin, for example the monte carlo technique used to resample data inputs has been patented by Michaud, of which there is substantial referral. This makes the implementation of such a technique impossible without paying the ridiculous royalties for a fairly straightforward mathematical process. Furthermore, more could have been said about investment time horisons and mean reversion characteristics. The shorter the investment time horison the more volatile the returns, which tends to push the monte carlo portfolio towards a naive portfolio. This technique is more stable the longer the investment horison, and is recommended by me. Furthermore the technique is computationally laborious, and perhaps the number of iterations could be increased, to reduce computational tediousness, thereby reducing the number of outliers which may not have as large an impact on resultant portfolios. In other words there could be an inverse relationship between assets and iterations. Anyway let me not get ahead of myself. The book is expensive, perhaps not a good buy for a layperson. Anybody seriously considering quantitative investment management should add the book to their collection. The other would be "Efficient Asset Management" by Richard Michaud.
- Whenever I buy a book I try to look for ones that have a strong practical aim. This is definitely such a book. It starts off with a fair amount of theory, which is required to fully appreciate it, but then moves into very practical territory with lots of real life problems and situations. This book is one of those A-Z books that ties all the treads together, but spiced up with practical applications in almost every chapter. Definitely worth reading if you need to understand the mechanics of quantitative portfolio optimisation and risk management.
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