Portfolio Theory and Risk Management Capi?ski Kopp Hardback 9781107003675

Description: Portfolio Theory and Risk Management A rigorous account of classical portfolio theory and a simple introduction to modern risk measures and their limitations. Maciej J. Capi?ski (Author), Ekkehard Kopp (Author) 9781107003675, Cambridge University Press Hardback, published 7 August 2014 172 pages 22.9 x 15.2 x 1.1 cm, 0.4 kg 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. 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. Subject Areas: Probability & statistics [PBT], Insurance & actuarial studies [KFFN], Finance [KFF]

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