Risk Budgeting

副标题: Portfolio Problem Solving with Value-at-Risk (Wiley Finance)

ISBN: 9780471405566

出版社: Wiley

出版年: 2002-01-18

页数: 336

定价: USD 85.00

装帧: Hardcover

内容简介

Covers the hottest topic in investment for multitrillion pension market and institutional investors

Institutional investors and fund managers understand they must take risks to generate superior investment returns, but the question is how much. Enter the concept of risk budgeting, using quantitative risks measurements, including VaR, to solve the problem. VaR, or value at risk, is a concept first introduced by bank dealers to establish parameters for their market short-term risk exposure. This book introduces VaR, extreme VaR, and stress-testing risk measurement techniques to major institutional investors, and shows them how they can implement formal risk budgeting to more efficiently manage their investment portfolios. Risk Budgeting is the most sophisticated and advanced read on the subject out there in the market.