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Pearson, Neil D.

Risk Budgeting: Portfolio Problem Solving with Value-at-Risk

Pearson, Neil D. - Risk Budgeting: Portfolio Problem Solving with Value-at-Risk, ebook

114,10€

Ebook, ePUB with Adobe DRM
ISBN: 9781118160831
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Printing101 pages with an additional page accrued every 8 hours, capped at 101 pages
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Covers the hottest topic in investment for multitrillion pension market and institutional investors

Institutional investors and fund managers understand they must take risks to generate superior investment returns, but the question is how much. Enter the concept of risk budgeting, using quantitative risks measurements, including VaR, to solve the problem. VaR, or value at risk, is a concept first introduced by bank dealers to establish parameters for their market short-term risk exposure. This book introduces VaR, extreme VaR, and stress-testing risk measurement techniques to major institutional investors, and shows them how they can implement formal risk budgeting to more efficiently manage their investment portfolios. Risk Budgeting is the most sophisticated and advanced read on the subject out there in the market.

Keywords: BUSINESS & ECONOMICS / Finance BUS027000

Author(s)
Publisher
John Wiley and Sons, Inc.
Publication year
2003
Language
en
Edition
1
Series
Wiley Finance
Page amount
336 pages
Category
Economy
Format
Ebook
eISBN (ePUB)
9781118160831
Printed ISBN
9780471405566

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