Portfolio Theory and Risk Management
Part of Mastering Mathematical Finance
- Maciej J. Capiński, AGH University of Science and Technology, Krakow
- Ekkehard Kopp, University of Hull
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.Read more
- Provides a solid foundation in modern risk management techniques
- Assumes only basic calculus and linear algebra as prerequisites
- Exercises range from simple verification to more challenging problems
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- Date Published: July 2014
- format: Adobe eBook Reader
- isbn: 9781139989459
- contains: 35 b/w illus. 75 exercises
- availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
Table of Contents
1. Risk and return
2. Portfolios consisting of two assets
3. Lagrange multipliers
4. Portfolios of multiple assets
5. The capital asset pricing model
6. Utility functions
7. Value at risk
8. Coherent measures of risk
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