Research Catalog

Title

Portfolio theory and risk management / Maciej J. Capinski, AGH University of Science and Technology, Kraków, Poland, Ekkehard Kopp, University of Hull, Hull, UK.

Author

Capinski, Maciej J.

Publication

United Kingdom : Cambridge University Press, 2014.

Items in the Library & Off-site

Holdings

Details

Additional Authors

Kopp, P. E., 1944-

Description

x, 160 pages; 24 cm.

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 and its more robust generalizations, such as AVaR, brings recent developments in risk measures within range of some undergraduate courses and includes a novel discussion of reducing VaR and AVaR by means of hedging techniques. A moderate pace, careful motivation and more than 70 exercises give students confidence in handling risk assessments in modern finance. Solutions and additional materials for instructors are available at www.cambridge.org/9781107003675"--

Series Statement

Mastering mathematical finance

Uniform Title

Mastering mathematical finance.

Subjects

• Risk management
• Investment analysis
• Risikomanagement
• Investitionsanalyse
• Portfolio management
• BUSINESS & ECONOMICS / Statistics
• Portfoliomanagement

Bibliography (note)

• Includes bibliographical references and index.

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.

ISBN

• 9781107003675 (hardback)
• 1107003679 (hardback)
• 9780521177146 (paperback)
• 0521177146 (paperback)

LCCN

• 2014006178
• 99960966696

OCLC

• ocn873724273
• 873724273
• SCSB-9401110

Owning Institutions

Columbia University Libraries