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• catalog alternative "Quantitative portfolio optimization, asset allocation and risk management".
• catalog contributor b12963460.
• catalog created "2003.".
• catalog date "2003".
• catalog date "2003.".
• catalog dateCopyrighted "2003.".
• catalog description "Includes bibliographical references and index.".
• catalog description "PART I A BASIS FOR QUANTITATIVE MANAGEMENT AND ANALYSIS -- Asset Management Basics -- Introduction -- Asset Management Objectives -- The Case for Quantitative Management -- Structure of this Book 6 -- Asset Returns -- Defining Investment Returns -- Examples from the Real World -- Excess Returns and Risk-free Rates -- Residual/Abnormal Returns -- Time-weighted Returns (TWR) -- Summary -- Appendix -- Asset Risk -- Risk is Not Just a Four-letter Word -- Defining Risk -- A Brief Note on Normality -- Summary -- Asset Pricing -- Pricing and Valuation -- Determining the Discount Rate -- The Dividend Discount Model (DDM) -- The Discounted Cash Flow Model (DCF) -- Old vs. New Economy: A Valuation Example -- Implied Growth Rates -- The Capital Asset Pricing Model (CAPM) -- The Security Market Line (SML) -- The Characteristic Line (CL) -- The Arbitrage Pricing Theory (APT) -- Summary.".
• catalog description "PART II MODERN PORTFOLIO THEORY -- Portfolio Characterisation -- Introduction -- Portfolio Return: The Sum of its Parts -- Portfolio Risk: Less Than the Sum of its Parts -- The Nature of Diversification -- Summary -- Appendix -- Quantitative Portfolio Optimisation and Efficient Portfolios -- Portfolio Efficiency -- Quantitative Portfolio Optimisation -- The Efficient Frontier -- Benefits from International Diversification -- Optimisation and Diversification -- Summary -- Appendix -- Estimating Model Parameters -- Expected Return and Risk -- The CAPM Revisited -- Factor Models: The APT Revisited -- Volatility and Correlation -- Return Distributions (Risk Characterisation) -- The Correlation Structure -- Summary.".
• catalog description "PART III ASSET ALLOCATION -- Investment Objectives and Benchmark Selection -- The Investment Policy Statement -- Choosing the Benchmark -- Summary -- Quantitative Portfolio Construction and Asset Allocation -- The Asset Allocation Decision -- Traditional Portfolio Construction Techniques -- Quantitative Portfolio Optimisation for Asset Allocation -- Introducing an MSCI Global Sector Model -- Summary -- Quasi-Random Monte Carlo Simulated Asset -- Allocation (QRMCSAA) -- Quantitative Optimisation and Monte Carlo Simulations -- The Efficient Ridge -- The Quasi-Random Monte Carlo Simulated -- Asset Allocation -- Summary -- Appendix -- Refining the QRMCSAA Model -- Bayesian Priors and Stein Estimators -- Optimal Return Shrinkage -- Optimal Covariance Matrix Shrinkage -- Summary -- Strategic and Tactical Asset Allocation -- Introduction -- SAA vs. TAA: Theory -- SAA vs. TAA: Practice -- Summary -- Sector Rotation -- The Sector Rotation Framework -- Conceptual Framework -- A Note on Determining Appropriate Model Inputs -- Asset Allocation Through the Business Cycle -- Summary.".
• catalog description "PART IV QUANTITATIVE RISK MANAGEMENT -- Tracking Error and Information Ratio -- Definitions of Tracking Error -- Risk Geometry -- Information Ratio -- Active Management Value Added -- Summary -- Sector Risk Model -- The Global Perspective -- Risk Characterisation -- Constructing the Model -- Portfolio Risk-Management Implications -- MSCTR and MSCAR for the Global Sector Model -- The Efficient Ridge Revisited -- General Thoughts on Active Risk Management -- Summary -- Appendix 15A: Sector Indices and Volatilities -- Appendix 15B: Sector Returns -- Appendix 15C: Sector Return Distributions -- Appendix 15D: Portfolio Volatility and Tracking Error -- Appendix 15E: Portfolio Beta -- Value-at-Risk (VaR) and Extreme Value Theory (EVT) -- The Basics -- Variance-Covariance VaR -- Historical Simulation of VaR -- Multivariate Normal Distributions -- Monte Carlo Simulated VaR -- VaR Along the Efficient Frontier -- Marginal Contributions to VaR -- Extreme Value Theory (EVT) -- Summary -- Appendix 16A: Sector Tail Return Frequencies -- Appendix 16B: Sector Multivariate Normal Distribution -- Appendix 16C: Sector Extreme Value Charts.".
• catalog extent "xv, 444 p. :".
• catalog identifier "1403904588 (hardback)".
• catalog isPartOf "Finance and capital markets".
• catalog issued "2003".
• catalog issued "2003.".
• catalog language "eng".
• catalog publisher "Basingstoke [England] ; New York : Palgrave Macmillan,".
• catalog subject "332.6 21".
• catalog subject "Asset allocation.".
• catalog subject "HG4529.5 .R37 2003".
• catalog subject "Portfolio management.".
• catalog subject "Risk management.".
• catalog tableOfContents "PART I A BASIS FOR QUANTITATIVE MANAGEMENT AND ANALYSIS -- Asset Management Basics -- Introduction -- Asset Management Objectives -- The Case for Quantitative Management -- Structure of this Book 6 -- Asset Returns -- Defining Investment Returns -- Examples from the Real World -- Excess Returns and Risk-free Rates -- Residual/Abnormal Returns -- Time-weighted Returns (TWR) -- Summary -- Appendix -- Asset Risk -- Risk is Not Just a Four-letter Word -- Defining Risk -- A Brief Note on Normality -- Summary -- Asset Pricing -- Pricing and Valuation -- Determining the Discount Rate -- The Dividend Discount Model (DDM) -- The Discounted Cash Flow Model (DCF) -- Old vs. New Economy: A Valuation Example -- Implied Growth Rates -- The Capital Asset Pricing Model (CAPM) -- The Security Market Line (SML) -- The Characteristic Line (CL) -- The Arbitrage Pricing Theory (APT) -- Summary.".
• catalog tableOfContents "PART II MODERN PORTFOLIO THEORY -- Portfolio Characterisation -- Introduction -- Portfolio Return: The Sum of its Parts -- Portfolio Risk: Less Than the Sum of its Parts -- The Nature of Diversification -- Summary -- Appendix -- Quantitative Portfolio Optimisation and Efficient Portfolios -- Portfolio Efficiency -- Quantitative Portfolio Optimisation -- The Efficient Frontier -- Benefits from International Diversification -- Optimisation and Diversification -- Summary -- Appendix -- Estimating Model Parameters -- Expected Return and Risk -- The CAPM Revisited -- Factor Models: The APT Revisited -- Volatility and Correlation -- Return Distributions (Risk Characterisation) -- The Correlation Structure -- Summary.".
• catalog tableOfContents "PART III ASSET ALLOCATION -- Investment Objectives and Benchmark Selection -- The Investment Policy Statement -- Choosing the Benchmark -- Summary -- Quantitative Portfolio Construction and Asset Allocation -- The Asset Allocation Decision -- Traditional Portfolio Construction Techniques -- Quantitative Portfolio Optimisation for Asset Allocation -- Introducing an MSCI Global Sector Model -- Summary -- Quasi-Random Monte Carlo Simulated Asset -- Allocation (QRMCSAA) -- Quantitative Optimisation and Monte Carlo Simulations -- The Efficient Ridge -- The Quasi-Random Monte Carlo Simulated -- Asset Allocation -- Summary -- Appendix -- Refining the QRMCSAA Model -- Bayesian Priors and Stein Estimators -- Optimal Return Shrinkage -- Optimal Covariance Matrix Shrinkage -- Summary -- Strategic and Tactical Asset Allocation -- Introduction -- SAA vs. TAA: Theory -- SAA vs. TAA: Practice -- Summary -- Sector Rotation -- The Sector Rotation Framework -- Conceptual Framework -- A Note on Determining Appropriate Model Inputs -- Asset Allocation Through the Business Cycle -- Summary.".
• catalog tableOfContents "PART IV QUANTITATIVE RISK MANAGEMENT -- Tracking Error and Information Ratio -- Definitions of Tracking Error -- Risk Geometry -- Information Ratio -- Active Management Value Added -- Summary -- Sector Risk Model -- The Global Perspective -- Risk Characterisation -- Constructing the Model -- Portfolio Risk-Management Implications -- MSCTR and MSCAR for the Global Sector Model -- The Efficient Ridge Revisited -- General Thoughts on Active Risk Management -- Summary -- Appendix 15A: Sector Indices and Volatilities -- Appendix 15B: Sector Returns -- Appendix 15C: Sector Return Distributions -- Appendix 15D: Portfolio Volatility and Tracking Error -- Appendix 15E: Portfolio Beta -- Value-at-Risk (VaR) and Extreme Value Theory (EVT) -- The Basics -- Variance-Covariance VaR -- Historical Simulation of VaR -- Multivariate Normal Distributions -- Monte Carlo Simulated VaR -- VaR Along the Efficient Frontier -- Marginal Contributions to VaR -- Extreme Value Theory (EVT) -- Summary -- Appendix 16A: Sector Tail Return Frequencies -- Appendix 16B: Sector Multivariate Normal Distribution -- Appendix 16C: Sector Extreme Value Charts.".
• catalog title "Quantitative portfolio optimisation, asset allocation and risk management / Mikkel Rasmussen.".
• catalog title "Quantitative portfolio optimization, asset allocation and risk management".
• catalog type "text".