Portfolio Theory and Risk Management / Maciej J. Capinski, Ekkehard Kopp
Editor: Estados Unidos de América : Cambridge University Press , 2014Edición: 1° EdDescripción: 169 páginas ; 23 cmTipo de contenido:- texto
- no mediado
- volumen
- 9780521177146
- 332 C1721 2014
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| 332 B8348 2014 Bad Banks / | 332 B8348 2014 Bad Banks / | 332 B8348 2014 Bad Banks / | 332 C1721 2014 Portfolio Theory and Risk Management / | 332 C1721 2014 Portfolio Theory and Risk Management / | 332 C1721 2014 Portfolio Theory and Risk Management / | 332 C3338o 2009 Operaciones bancarias / |
Factura Educativa
With its emphasis on examples, exercises and calculations, this book suits advanced undergraduates as well as postgraduates and practitioners. It provides a clear treatment of the scope and limitations of mean-variance portfolio theory and introduces popular modern risk measures. Proofs are given in detail, assuming only modest mathematical background, but with attention to clarity and rigour. The discussion of VaR and its more robust generalizations, such as AVaR, brings recent developments in risk measures within range of some undergraduate courses and includes a novel discussion of reducing VaR and AVaR by means of hedging techniques. A moderate pace, careful motivation and more than 70 exercises give students confidence in handling risk assessments in modern finance. Solutions and additional materials for instructors are available - Preface 1. Risk and return 2. Portfolios consisting of two assets 3. Lagrange multipliers 4. Portfolios of multiple assets 5. The capital asset pricing model 6. Utility functions 7. Value at risk 8. Coherent measures of risk Index.
Administración de Empresas, Contabilidad y Auditoría
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