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Portfolio Theory and Risk Management

$93.00 (P)

Part of Mastering Mathematical Finance

  • Date Published: September 2014
  • availability: Available
  • format: Hardback
  • isbn: 9781107003675

$ 93.00 (P)
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  • 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.

    • Provides a solid foundation in modern risk management techniques
    • Assumes only basic calculus and linear algebra as prerequisites
    • Exercises range from simple verification to more challenging problems
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    Product details

    • Date Published: September 2014
    • format: Hardback
    • isbn: 9781107003675
    • length: 172 pages
    • dimensions: 229 x 152 x 11 mm
    • weight: 0.4kg
    • contains: 35 b/w illus. 75 exercises
    • availability: Available
  • Table of Contents

    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.

  • Resources for

    Portfolio Theory and Risk Management

    Maciej J. Capiński, Ekkehard Kopp

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  • Authors

    Maciej J. Capiński, AGH University of Science and Technology, Krakow
    Maciej J. Capiński 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, University of Hull
    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.

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