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Portfolio Risk Analysis
Gregory Connor
€ 163.41
€ 122.96
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Description for Portfolio Risk Analysis
Hardback. Presents an overview of financial risk modeling, with a focus on practical applications, empirical reality, and historical perspective. Covering the mean-variance analysis and the capital asset pricing model, this title offers an account of factor models, which are the key to successful risk analysis in every economic climate. Num Pages: 400 pages, Illustrations. BIC Classification: KCJ. Category: (UP) Postgraduate, Research & Scholarly. Dimension: 240 x 162 x 30. Weight in Grams: 668.
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to ... Read more
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to ... Read more
Product Details
Format
Hardback
Publication date
2010
Publisher
Princeton University Press United States
Number of pages
400
Condition
New
Number of Pages
400
Place of Publication
New Jersey, United States
ISBN
9780691128283
SKU
V9780691128283
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-1
About Gregory Connor
Gregory Connor is professor of finance at the National University of Ireland, Maynooth, and senior research associate at the London School of Economics and Political Science. Lisa R. Goldberg is executive director of analytic initiatives at MSCI Barra and adjunct professor of statistics at the University of California, Berkeley. Robert A. Korajczyk is professor of finance at Northwestern University.
Reviews for Portfolio Risk Analysis
"Thorough and well-cited, this is a comprehensive treatment of techniques for portfolio risk management. It provides a unique perspective, from the fundamentals to practical applications. There are few books that cover this material in this particular way."—Christopher L. Culp, author of Structured Finance and Insurance "The range of topics is wide and the coverage is deep. An impressive book."—Peter Christoffersen, ... Read more