Maciej J. Capi¿ski, Ekkehard Kopp

Portfolio Theory and Risk Management

• Gebundenes Buch

Produktbeschreibung

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

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 172
• Erscheinungstermin: 2. März 2015
• Englisch
• Abmessung: 235mm x 157mm x 14mm
• Gewicht: 411g
• ISBN-13: 9781107003675
• ISBN-10: 1107003679
• Artikelnr.: 40713537

Autorenporträt

Maciej J. Capi¿ski is an Associate Professor in the Faculty of Applied Mathematics at AGH University of Science and Technology in Kraków, 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.

Inhaltsangabe

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.