by
Elton, Edwin J.
Call Number
332.6 22
Publication Date
2011
Summary
This book contains the recent contributions of Edwin J. Elton and Martin J. Gruber to the field of investments. All of the articles in this book have been published in the leading finance and economic journals. Sixteen of the twenty articles have been published in the last ten years. This book supplements the earlier contributions of the editors published by MIT Press in 1999.
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Electronic Resources
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1.1634
by
Connor, Gregory.
Call Number
332.6 22
Publication Date
2010
Summary
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. --From publisher's description.
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Electronic Resources
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2.9614
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by
Kiesel, Rüdiger, 1962-
Call Number
332.6 22
Publication Date
2010
Summary
This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, real alternative assets (RAA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic optio.
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Electronic Resources
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1.1465
by
Markowitz, H. (Harry), 1927-
Call Number
330.9 22
Publication Date
2008
Summary
Harry M Markowitz received the Nobel Prize in Economics in 1990 for his pioneering work in portfolio theory. He also received the von Neumann Prize from the Institute of Management Science and the Operations Research Institute of America in 1989 for his work in portfolio theory, sparse matrices and the SIMSCRIPT computer language. While Dr Markowitz is well-known for his work on portfolio theory, his work on sparse matrices remains an essential part of linear optimization calculations. In addition, he designed and developed SIMSCRIPT -- a computer programming language. SIMSCRIPT has been widely.
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Electronic Resources
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1.1203
by
Sharpe, William F.
Call Number
332.6 22
Publication Date
2008 2007
Format:
Electronic Resources
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1.5860
by
Masterman, Guy.
Call Number
796.0691 MAS
Publication Date
2007
Format:
Books
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1.2671
by
Fong, H. Gifford.
Call Number
332.6 WOR
Publication Date
2006
Summary
"In The World of Risk Management, an expert team of contributors that include Nobel Prize laureates Robert C. Merton and Harry M. Markowitz addresses the important issues arising in the practice of risk management. A common thread among these distinguished articles is a rigorous theoretical or conceptual basis. Illustrated with full color figures throughout, they discuss topics ranging from broad policy considerations to detailed how-to prescriptions, providing professionals and academics with useful practical implementations."--BOOK JACKET.
Format:
Books
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63389.0000
by
Fong, H. Gifford.
Call Number
332.6 22
Publication Date
2006
Format:
Electronic Resources
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63389.0469
by
McAleese, Tama.
Call Number
332.02401 22
Publication Date
2004
Format:
Electronic Resources
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1.3439
by
Coghill, Carrie L., 1965-
Call Number
332.6 22
Publication Date
2003
Format:
Electronic Resources
Relevance:
1.1773
by
Edmunds, Gillette.
Call Number
332.6 21
Publication Date
2002
Format:
Electronic Resources
Relevance:
1.6024
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