Portfolio Theory and Risk Management

Informationen zum Autor Maciej J. Capinski is an Associate Professor in the Faculty of Applied Mathematics at AGH University of Science and Technology in Kraków, Poland. His interests include mathematical finance, financial modelling, computer-assisted proofs in dynamical systems and celestial mechanics. He has authored ten research publications, one book, and supervised over 30 MSc dissertations, mostly in mathematical finance. Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, where he taught courses at all levels in analysis, measure and probability, stochastic processes and mathematical finance between 1970 and 2007. His editorial experience includes service as founding member of the Springer Finance series (1998–2008) and the Cambridge University Press AIMS Library Series. He has taught in the UK, Canada and South Africa and he has authored more than 50 research publications and five books. Klappentext A rigorous account of classical portfolio theory and a simple introduction to modern risk measures and their limitations. Zusammenfassung With its focus on examples! exercises and calculations this book suits advanced undergraduates as well as postgraduates and practitioners. It provides a rigorous treatment of the underlying theory and equips the reader to handle risk assessments in modern finance. Solutions and additional material are available at www.cambridge.org/9781107003675. Inhaltsverzeichnis 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.

Product details

• Authors: Maciej J. Capi ski, Capi&, Maciej J. Capi¿ski, Maciej Capinski, Maciej J. Capinski, Maciej J. (Agh University of Science and Capinski, Maciej J. Kopp Capinski, Maciej J. Capiński, Maciej J Capinski & Ekkehard Kopp, Ekkehard Kopp
• Publisher: Cambridge University Press ELT
• Languages: English
• Product format: Hardback
• Released: 07.08.2014
• EAN: 9781107003675
• ISBN: 978-1-107-00367-5
• No. of pages: 172
• Series: Mastering Mathematical Finance; Mastering Mathematical Finance
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Miscellaneous; Social sciences, law, business > Business > Business administration; Business & Economics / Investments & Securities / General, MATHEMATICS / Probability & Statistics / General, Probability & statistics, Investment & securities, Investment and securities, Probability and statistics