Quantitative Risk and Portfolio Management

Rezensionen / Stimmen

'This is the book I wish I had had when I started my career in quantitative finance twenty years ago. It is written with the rigor of an academic, the insight of an experienced practitioner, and the didactic style of an empathetic and engaging teacher. Winston connects with his readers through insightful and entertaining discussions of historical background and of how actual financial markets behave or misbehave. At the same time, he provides rigorous but crystal clear and unhurried explanations of technical concepts. His choice of topics reflects current practice. A practitioner will find much to learn and enjoy in this book. A student who masters this material will be well prepared for a career in quantitative finance.' Colm O'Cinneide, Franklin Templeton Investments 'Ken Winston has created a concise, valuable reference for the quantitatively minded that, in addition to describing our standard approaches for asset pricing and risk management, shows how these tools can and must be extended to reflect the more complicated risks we actually face.' David Germany, Pitzer College 'This book is a remarkable combination of finance theory, mathematics, and practice. The development of finance theory is deep enough to challenge the most advanced students, yet it is full of applications. The author's long history of developing risk models is evident in every chapter. The book belongs in the curricula of the best graduate programs in finance and economics.' Charles Trzcinka, Indiana University 'Few people are as qualified as Ken Winston to provide an academically disciplined practitioner view of how to manage and profit from investment risk-taking. Trained as a mathematician, Ken was the chief risk officer for some of the world's largest investment managers. Successful risk managers must have excellent quantitative and people skills, and Ken has both. The value of quantitative skill is evident in a game of numbers. People skills are necessary to communicate and successfully enforce limits on managers who too often dream of unachievable profits. Ken drew on both sets of skills to produce this innovative book, already well tested in his classrooms at Cal Tech and NYU. It is an essential read for all aspiring investment managers.' Larry Harris, University of Southern California 'This is the book that I wish I had been able to have when I switched from applied math/ engineering to applied finance more than thirty years ago. In essence, the book fills a very important void: how to approach financial engineering problems from the practitioner's viewpoint. A must-have for risk managers and investment professionals.' Arturo Cifuentes, Chile Sovereign Fund