Kenneth J. Winston (California Institute of Technology)

Quantitative Risk and Portfolio Management

Theory and Practice

• Gebundenes Buch

Produktbeschreibung

A modern introduction to risk and portfolio management for advanced undergraduate and beginning graduate students who will become practitioners in the field of quantitative finance, including extensive live data and Python code as online supplements which allow the application of theory to real-world situations.

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Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 927
• Erscheinungstermin: 21. September 2023
• Englisch
• Abmessung: 258mm x 180mm x 35mm
• Gewicht: 1470g
• ISBN-13: 9781009209045
• ISBN-10: 1009209043
• Artikelnr.: 67636866

Autorenporträt

Kenneth J. Winston is a Lecturer in Economics at the California Institute of Technology and an Adjunct Professor of Mathematics at New York University. Having trained as a combinatorist at MIT, he moved into the field of quantitative finance, creating algorithms for equity and option investment strategies. He worked as a Chief Risk Officer at Western Asset Management and Morgan Stanley, and is a founder of the Buy Side Risk Managers Forum. Winston won the 2006 Roger Murray Award at the Institute for Quantitative Research in Finance and is a co-editor of The Oxford Handbook of Quantitative Asset Management (OUP: 2014).

Inhaltsangabe

Preface
1. What is risk?
2. Risk metrics
3. Fixed income modeling
4. Equity modeling
5. Convex optimization
6. Factor models
7. Distributions
8. Simulation, scenarios and stress testing
9. Time-varying volatility
10. Modeling relationships
11. Credit modeling
12. Hedging
References
Index.