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Portfolio theory and risk management

Author: Maciej J Capinski; P E Kopp
Publisher: United Kingdom : Cambridge University Press, 2014.
Series: Mastering mathematical finance.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:
"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  Read more...
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Document Type: Book
All Authors / Contributors: Maciej J Capinski; P E Kopp
ISBN: 9781107003675 1107003679 9780521177146 0521177146 1139989456 9781139989459
OCLC Number: 873724273
Description: x, 160 pages ; 24 cm.
Contents: Machine generated contents note: 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.
Series Title: Mastering mathematical finance.
Responsibility: Maciej J. Capinski, AGH University of Science and Technology, Kraków, Poland, Ekkehard Kopp, University of Hull, Hull, UK.
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A rigorous account of classical portfolio theory and a simple introduction to modern risk measures and their limitations.  Read more...

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