Name: Risk Budgeting: Portfolio Problem Solving With Value-At-Risk
Price: 98.46 GBP
Availability: InStock
Author: Neil D. Pearson
ISBN: 9780471405566

portada Risk Budgeting: Portfolio Problem Solving With Value-At-Risk

Type

Physical Book

Publisher

John Wiley & Sons

Author

Neil D. Pearson

Year

2002

Language

English

Pages

336

Format

Hardcover

ISBN

0471405566

ISBN13

9780471405566

Edition No.

Synopsis "Risk Budgeting: Portfolio Problem Solving With Value-At-Risk"

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.

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Risk Budgeting: Portfolio Problem Solving With Value-At-Risk - Neil D. Pearson

Synopsis "Risk Budgeting: Portfolio Problem Solving With Value-At-Risk"

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