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Portfolio theory and risk management / Maciej J. Capinski, and Ekkehard Kopp

By: Contributor(s): Material type: TextSeries: Mastering mathematical financePublisher: United Kingdom : Cambridge University Press, 2014Description: x, 160 pages ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 9781107003675 (hardback)
  • 9780521177146 (paperback)
Subject(s): DDC classification:
  • 23
LOC classification:
  • HG4529.9 .C366 2014
Online resources: Summary: "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"-- Provided by publisher.
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Holdings
Cover image Item type Current library Home library Collection Shelving location Call number Materials specified Vol info URL Copy number Status Notes Date due Barcode Item holds Item hold queue priority Course reserves
Non-Fiction Kapasa Makasa University Open Access Kapasa Makasa University Non-fiction HG 4529.9 Cap (Browse shelf(Opens below)) Available 746313
Total holds: 0

Includes bibliographical references and index.

"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"-- Provided by publisher.

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