Quantitative Portfolio Optimisation, Asset Allocation and Risk Management: A Practical Guide to Implementing Quantitative Investment Theory available in Hardcover
- Pub. Date:
- Palgrave Macmillan UK
About the Author
Mikkel Rasmussen is Portfolio Manager, Aegon Asset Management, The Hague, Netherlands.
Table of ContentsPART 1: A BASIS FOR QUANTITATIVE PORTFOLIO MANAGEMENT Asset Management Basics Asset Return Asset Risk Asset Pricing PART 2: MODERN PORTFOLIO THEORY Efficient Portfolios and Quantitative Portfolio Optimisation Estimating Model Parameters PART 3: QUANTITATIVE ASSET ALLOCATION Quantitative Portfolio Construction and Asset Allocation Quasi-Random Monte Carlo Simulated Asset Allocation (QRMCSAA) Strategic and Tactical Asset Allocation QRMCSAA Applied to Sector Rotation PART 4: QUANTITATIVE RISK MANAGEMENT Tracking Error, Information Ratio and Active Management Value Added Sector Risk Model Value at Risk Extreme Value Theory
Most Helpful Customer Reviews
I've been working in the investment industry for a number of years and have read my share of finance books. This book stands out from the rest in the way it takes the subject of portfolio optimisation and risk management from the top down and guides the reader from basic ideas through to advanced quantitative tools. Whether you are a student or an experienced professional, this book will help you to a much better understanding of the practical issues involved in applying quantitative tools for investment purposes. It's a little expensive but worth the money.