Portfolio Theory and Risk Management
1st Edition
Published on 30. July 2014
978-1-139-98945-9 (ISBN)
Description
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.
More details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Publishing group
Cambridge University Press
Target group
Professional and scholarly
College/higher education
Illustrations
Worked examples or Exercises; 10 Halftones, unspecified; 25 Line drawings, unspecified
File size
4,56 MB
ISBN-13
978-1-139-98945-9 (9781139989459)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Maciej J. Capinski | Ekkehard Kopp
Portfolio Theory and Risk Management
Book
08/2014
Cambridge University Press
€104.20
Shipment within 15-20 days
Maciej J. Capinski | Ekkehard Kopp
Portfolio Theory and Risk Management
Book
08/2014
Cambridge University Press
€54.00
Shipment within 15-20 days
Persons
Maciej J. Capinski is an Associate Professor in the Faculty of Applied Mathematics at AGH University of Science and Technology in Krakow, Poland. His interests include mathematical finance, financial modelling, computer-assisted proofs in dynamical systems and celestial mechanics. He has authored ten research publications, one book, and supervised over 30 MSc dissertations, mostly in mathematical finance. Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, where he taught courses at all levels in analysis, measure and probability, stochastic processes and mathematical finance between 1970 and 2007. His editorial experience includes service as founding member of the Springer Finance series (1998-2008) and the Cambridge University Press AIMS Library Series. He has taught in the UK, Canada and South Africa and he has authored more than 50 research publications and five books.
Content
Preface; 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; Index.
