TY  - BOOK
AU  - Capinski,Maciej J.
AU  - Kopp,P.E.
TI  - Portfolio theory and risk management
T2  - Mastering mathematical finance
SN  - 9781139017398 (ebook)
AV  - HG4529.5 .C366 2014
U1  - 332.6 23
PY  - 2014///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Portfolio management
KW  - Risk management
KW  - Investment analysis
N1  - Title from publisher's bibliographic system (viewed on 05 Oct 2015)
N2  - 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
UR  - https://doi.org/10.1017/CBO9781139017398
ER  -