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Portfolio Theory and Risk Management

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Portfolio Theory and Risk Management - Capinski, Maciej J., and Kopp, Ekkehard
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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 ...

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Portfolio Theory and Risk Management 2014, Cambridge University Press, Cambridge

ISBN-13: 9780521177146

Trade paperback

Portfolio Theory and Risk Management 2014, Cambridge University Press, Cambridge

ISBN-13: 9781107003675

Hardcover