ISBN-10:
1403904588
ISBN-13:
9781403904584
Pub. Date:
12/13/2002
Publisher:
Palgrave Macmillan UK
Quantitative Portfolio Optimisation, Asset Allocation and Risk Management: A Practical Guide to Implementing Quantitative Investment Theory

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management: A Practical Guide to Implementing Quantitative Investment Theory

by M. Rasmussen

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Overview

Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.

Product Details

ISBN-13: 9781403904584
Publisher: Palgrave Macmillan UK
Publication date: 12/13/2002
Series: Finance and Capital Markets Series
Edition description: 2003
Pages: 443
Product dimensions: 6.10(w) x 9.25(h) x 0.04(d)

About the Author

Mikkel Rasmussen is Portfolio Manager, Aegon Asset Management, The Hague, Netherlands.

Table of Contents

PART 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

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Quantitative Portfolio Optimisation, Asset Allocation and Risk Management: A Practical Guide to Implementing Quantitative Investment Theory 5 out of 5 based on 0 ratings. 1 reviews.
Guest More than 1 year ago
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.