Portfolio Theory and Risk Management

Business & Finance, Economics, Statistics, Nonfiction, Science & Nature, Mathematics
Cover of the book Portfolio Theory and Risk Management by Maciej J. Capiński, Ekkehard Kopp, Cambridge University Press
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Author: Maciej J. Capiński, Ekkehard Kopp ISBN: 9781139984836
Publisher: Cambridge University Press Publication: August 7, 2014
Imprint: Cambridge University Press Language: English
Author: Maciej J. Capiński, Ekkehard Kopp
ISBN: 9781139984836
Publisher: Cambridge University Press
Publication: August 7, 2014
Imprint: Cambridge University Press
Language: English

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 at www.cambridge.org/9781107003675.

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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 at www.cambridge.org/9781107003675.

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