عنوان

Portfolio risk analysis /

شابک

0691128286

شابک

1400835291

شابک

9780691128283

شابک

9781400835294

شابک اشتباه

128253159X

شابک اشتباه

9780691128283

شابک اشتباه

9781282531598

شماره

b740947

عنوان اصلي

Portfolio risk analysis /

نام عام مواد

[Book]

نام نخستين پديدآور

Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk.

محل نشرو پخش و غیره

Princeton :

نام ناشر، پخش کننده و غيره

Princeton University Press,

تاریخ نشرو بخش و غیره

©2010.

نام خاص و کميت اثر

1 online resource (xxi, 354 pages)

متن يادداشت

Includes bibliographical references and index.

متن يادداشت

Measures of risk and return -- Unstructured covariance matrices -- Industry and country risk -- Statistical factor analysis -- The macroeconomy and portfolio risk -- Security characteristics and pervasive risk factors -- Measuring and hedging foreign exchange risk -- Integrated risk models -- Dynamic volatilities and correlations -- Portfolio return distributions -- Credit risk -- Transaction costs and liquidity risk -- Alternative asset classes -- Performance measurement.

بدون عنوان

0

متن يادداشت

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. --From publisher's description.

منبع سفارش / آدرس اشتراک

JSTOR

شماره انبار

22573/cttvqw8

عنوان

Portfolio risk analysis.

موضوع مستند نشده

Portfolio management.

موضوع مستند نشده

Risk management.

موضوع مستند نشده

BUSINESS & ECONOMICS-- Econometrics.

موضوع مستند نشده

BUSINESS & ECONOMICS-- Investments & Securities-- General.

موضوع مستند نشده

Portfolio management.

موضوع مستند نشده

Risk management.

موضوع مستند نشده

BUS-- 036000

موضوع مستند نشده

BUS021000

موضوع مستند نشده

BUS027000

موضوع مستند نشده

BUS033070

موضوع مستند نشده

BUS086000

موضوع مستند نشده

KCJ

شماره

ويراست

شماره رده

نشانه اثر

شماره رده

کد سيستم

مستند نام اشخاص تاييد نشده

Connor, Gregory

مستند نام اشخاص تاييد نشده

Goldberg, Lisa R.

مستند نام اشخاص تاييد نشده

Korajczyk, Robert A.,1954-

تاريخ عمليات

20201204015423.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y