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  3. Portfolio Theory and Risk Management
  • Cited by 10
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    • Publisher:
      Cambridge University Press
      Publication date:
      05 May 2015
      07 August 2014
      ISBN:
      9781139017398
      9781107003675
      9780521177146
      DOI:
      https://doi.org/10.1017/CBO9781139017398
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.4kg, 172 Pages
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.29kg, 169 Pages
      • Subjects:
      Mathematics, Mathematical Finance, Statistics for Econometrics, Finance and Insurance, Finance and Accountancy, Statistics and Probability
      Series:
      Mastering Mathematical Finance
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    • Selected: Digital
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    Subjects:
    Mathematics, Mathematical Finance, Statistics for Econometrics, Finance and Insurance, Finance and Accountancy, Statistics and Probability
    Series:
    Mastering Mathematical Finance
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    Book description

    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.

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