PORTFOLIO THEORY AND RISK MANAGEMENT by Maciej J. Capinski, Ekkehard Kopp ( 9780521177146 )

Item Details

Title:

PORTFOLIO THEORY AND RISK MANAGEMENT

By:

Maciej J. Capinski, Ekkehard Kopp

Format:

Paperback

List price:

£36.99

Our price:

£32.37

Discount:

12.5% off

You save:

£4.62

ISBN 10:

0521177146

ISBN 13:

9780521177146

Availability:

Usually dispatched within 1-3 weeks.

Delivery rates

Stock:

Currently 0 available

Publisher:

CAMBRIDGE UNIVERSITY PRESS

Pub. date:

7 August, 2014

Series:

Mastering Mathematical Finance

Pages:

169

Description:

A rigorous account of classical portfolio theory and a simple introduction to modern risk measures and their limitations.

Synopsis:

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.

Illustrations:

35 b/w illus. 75 exercises

Publication:

Imprint:

Cambridge University Press

Returns:

Returnable

Some other items by this author:

ANALYSIS (PB)

DISCRETE MODELS OF FINANCIAL MARKETS

DISCRETE MODELS OF FINANCIAL MARKETS (HB)

DISCRETE MODELS OF FINANCIAL MARKETS (PB)