par
Fong, H. Gifford.
Numéro de rayon préféré
332.6 22
Date de publication
2006
Format :
Ressources électroniques
Pertinence:
63389.0469
par
Fong, H. Gifford.
Numéro de rayon préféré
332.6 WOR
Date de publication
2006
Résumé
"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 :
Livres
Pertinence:
63389.0000
Voir d’autres résultats de recherche
par
Connor, Gregory.
Numéro de rayon préféré
332.6 22
Date de publication
2010
Résumé
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.
Format :
Ressources électroniques
Pertinence:
2.9614
par
Edmunds, Gillette.
Numéro de rayon préféré
332.6 21
Date de publication
2002
Format :
Ressources électroniques
Pertinence:
1.6024
par
Sharpe, William F.
Numéro de rayon préféré
332.6 22
Date de publication
2008 2007
Format :
Ressources électroniques
Pertinence:
1.5860
par
McAleese, Tama.
Numéro de rayon préféré
332.02401 22
Date de publication
2004
Format :
Ressources électroniques
Pertinence:
1.3439
par
Masterman, Guy.
Numéro de rayon préféré
796.0691 MAS
Date de publication
2007
Format :
Livres
Pertinence:
1.2671
par
Coghill, Carrie L., 1965-
Numéro de rayon préféré
332.6 22
Date de publication
2003
Format :
Ressources électroniques
Pertinence:
1.1773
par
Elton, Edwin J.
Numéro de rayon préféré
332.6 22
Date de publication
2011
Résumé
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.
Format :
Ressources électroniques
Pertinence:
1.1634
par
Kiesel, Rüdiger, 1962-
Numéro de rayon préféré
332.6 22
Date de publication
2010
Résumé
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.
Format :
Ressources électroniques
Pertinence:
1.1465
par
Markowitz, H. (Harry), 1927-
Numéro de rayon préféré
330.9 22
Date de publication
2008
Résumé
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.
Format :
Ressources électroniques
Pertinence:
1.1203
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