Risk Budgeting - Portfolio Problem Solving with Value-at-Risk

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Risk Budgeting Portfolio Problem Solving with Value-at-Risk.pdf (2.07 MB, 需要: 5 个论坛币)

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Risk Budgeting: Portfolio Problem Solving with Value-at-Risk (Wiley Finance)
by Neil D. Pearson (Author)
















Covers the hottest topic in investment for multitrillion pension market and institutional investors
Institutional investors and fund managers understand they must take risks to generate superior investment returns, but the question is how much. Enter the concept of risk budgeting, using quantitative risks measurements, including VaR, to solve the problem. VaR, or value at risk, is a concept first introduced by bank dealers to establish parameters for their market short-term risk exposure. This book introduces VaR, extreme VaR, and stress-testing risk measurement techniques to major institutional investors, and shows them how they can implement formal risk budgeting to more efficiently manage their investment portfolios. Risk Budgeting is the most sophisticated and advanced read on the subject out there in the market.

Series: Wiley Finance (Book 74)
Hardcover: 256 pagesPublisher: Wiley; 1 edition (January 18, 2002)Language: EnglishISBN-10: 0471405566

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