Portfolio theory and risk management /
"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 gi...
محفوظ في:
| المؤلف الرئيسي: | |
|---|---|
| مؤلفون آخرون: | |
| الوثيقة: | كتاب |
| اللغة: | English |
| منشور في: |
United Kingdom :
Cambridge University Press,
2014.
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| سلاسل: | Mastering mathematical finance
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| الموضوعات: | |
| الوصول للمادة أونلاين: | http://library.sama.gov.sa/cgi-bin/koha/opac-retrieve-file.pl?id=5bc9624ee189af9ba628b1a734473780 |
| الوسوم: |
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| 008 | 140318s2014 nyu b 001 0 eng | ||
| 010 | |a 2014006178 | ||
| 020 | |a 9781107003675 (hardback) | ||
| 020 | |a 9780521177146 (paperback) | ||
| 040 | |a DLC |b eng |c SAMA |e rda |d DLC | ||
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| 082 | 0 | 0 | |a 332.6 |2 23 |
| 084 | |a BUS061000 |2 bisacsh | ||
| 100 | 1 | |a Capinski, Maciej J. |e author |9 25683 | |
| 245 | 1 | 0 | |a Portfolio theory and risk management / |c Maciej J. Capinski, AGH University of Science and Technology, Kraków, Poland, Ekkehard Kopp, University of Hull, Hull, UK. |
| 264 | 1 | |a United Kingdom : |b Cambridge University Press, |c 2014. | |
| 300 | |a 1 Online resource (x, 160 pages ; |c 24 cm.) | ||
| 336 | |a text |2 rdacontent | ||
| 337 | |a unmediated |2 rdamedia | ||
| 338 | |a volume |2 rdacarrier | ||
| 490 | 0 | |a Mastering mathematical finance | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | |a Preface page ix 1 Risk and return 1 1.1 Expected return 2 1.2 Variance as a risk measure 5 1.3 Semi-variance 9 2 Portfolios consisting of two assets 11 2.1 Return 12 2.2 Attainable set 15 2.3 Special cases 20 2.4 Minimum variance portfolio 23 2.5 Adding a risk-free security 25 2.6 Indifference curves 28 2.7 Proofs 31 3 Lagrange multipliers 35 3.1 Motivating examples 35 3.2 Constrained extrema 40 3.3 Proofs 44 4 Portfolios of multiple assets 48 4.1 Risk and return 48 4.2 Three risky securities 52 4.3 Minimum variance portfolio 54 4.4 Minimum variance line 57 4.5 Market portfolio 62 5 The Capital Asset Pricing Model 67 5.1 Derivation of CAPM 68 5.2 Security market line 71 5.3 Characteristic line 73 6 Utility functions 76 6.1 Basic notions and axioms 76 6.2 Utility maximisation 80 6.3 Utilities and CAPM 92 6.4 Risk aversion 95 vii viii Contents 7 Value at Risk 98 7.1 Quantiles 99 7.2 Measuring downside risk 102 7.3 Computing VaR: examples 104 7.4 VaR in the Black–Scholes model 109 7.5 Proofs 120 8 Coherent measures of risk 124 8.1 Average Value at Risk 125 8.2 Quantiles and representations of AVaR 127 8.3 AVaR in the Black–Scholes model 136 8.4 Coherence 146 8.5 Proofs 154 Index 159 | ||
| 520 | |a "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"-- |c Provided by publisher. | ||
| 650 | 0 | |a Portfolio management. | |
| 650 | 0 | |a Risk management. | |
| 650 | 0 | |a Investment analysis. | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Statistics. |2 bisacsh | |
| 700 | 1 | |a Kopp, P. E., |d 1944- |9 25684 | |
| 856 | 4 | 2 | |u http://library.sama.gov.sa/cgi-bin/koha/opac-retrieve-file.pl?id=5bc9624ee189af9ba628b1a734473780 |
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| 955 | |b rm07 2014-03-18 |i rm07 2014-03-18 (teleworking) ONIX to Dewey |a xn11 2014-11-07 1 copy rec'd., to CIP ver. | ||
| 999 | |c 11357 |d 11357 | ||