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" Quantitative portfolio optimisation, asset allocation and risk management : "
M Rasmussen
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BL
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| Record Number
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717117
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b536802
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| Main Entry
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M Rasmussen
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| Title & Author
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Quantitative portfolio optimisation, asset allocation and risk management : : a practical ... guide to implementing quantitative investment theo.\ M Rasmussen
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| Publication Statement
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[Place of publication not identified]: Palgrave Macmillan, 2014
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| ISBN
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1349509442
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: 9781349509447
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| Contents
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PART 1: A BASIS FOR QUANTITATIVE PORTFOLIO MANAGEMENT Asset Management Basics Asset Return Asset Risk Asset Pricing PART 2: MODERN PORTFOLIO THEORY Efficient Portfolios and Quantitative Portfolio Optimisation Estimating Model Parameters PART 3: QUANTITATIVE ASSET ALLOCATION Quantitative Portfolio Construction and Asset Allocation Quasi-Random Monte Carlo Simulated Asset Allocation (QRMCSAA) Strategic and Tactical Asset Allocation QRMCSAA Applied to Sector Rotation PART 4: QUANTITATIVE RISK MANAGEMENT Tracking Error, Information Ratio and Active Management Value Added Sector Risk Model Value at Risk Extreme Value Theory
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| LC Classification
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HG4529.5M737 2014
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M Rasmussen
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