Risk and Portfolio Analysis: Principles and Methods

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Risk and Portfolio Analysis - Priciples and Methods.pdf (5.92 MB, 需要: 5 个论坛币)

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Risk and Portfolio Analysis: Principles and Methods (Springer Series in Operations Research and Financial Engineering)
by Henrik Hult (Author) , Filip Lindskog (Author) , Ola Hammarlid (Author) , Carl Johan Rehn (Author) & 2 more















Investment and risk management problems are fundamental problems for  financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads one to the field of applied mathematics in order to translate subjective probability beliefs and attitudes towards risk and reward into actual decisions.

In Risk and Portfolio Analysis the authors present sound principles and useful methods for making investment and risk management decisions in the presence of hedgeable and non-hedgeable risks using the simplest possible principles, methods, and models that still capture the essential features of the real-world problems. They use rigorous, yet elementary mathematics, avoiding technically advanced approaches which have no clear methodological purpose and are practically irrelevant. The material progresses systematically and topics such as the pricing and hedging of derivative contracts, investment and hedging principles from portfolio theory, and risk measurement and multivariate models from risk management are covered appropriately. The theory is combined with numerous real-world examples that illustrate how the principles, methods, and models can be combined to approach concrete problems and to draw useful conclusions. Exercises are included at the end of the chapters to help reinforce the text and provide insight.

This book will serve advanced undergraduate and graduate students, and practitioners in insurance, finance as well as regulators. Prerequisites include undergraduate level courses in linear algebra, analysis, statistics and probability.

Series: Springer Series in Operations Research and Financial Engineering
Hardcover: 350 pagesPublisher: Springer; 2012 edition (July 18, 2012)Language: English

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关键词：Principles Portfolio principle Analysis Portfoli Series

真的是本好书
刚下载的时候看了一眼觉得数学味较浓很难上手便束之高阁了。这段时间正好在看market risk analysis 的第三册，里边讲到了对冲给了很多实例很不错就是理论上没有展开讲。此外也在quantitative risk management +website 中看到了replicating portfolio部分也是没有在理论上展开。恰好今天，翻开了risk and portfolio analysis这本书的quadratic hedging principle,立马得到了大大的解惑。

谢谢分享啊

到处找这本书呢,太感谢了

meishu

学习学习

支持~~~~

kankan

感谢分享

看不到附件啊。