Risk and Portfolio Analysis

Principles and Methods

Authors:

ISBN: 978-1-4614-4102-1 (Print) 978-1-4614-4103-8 (Online)

Table of contents (9 chapters)

  1. Front Matter

    Pages i-xiii

  2. Principles

    1. Front Matter

      Pages 1-1

    2. Chapter

      Pages 3-31

      Interest Rates and Financial Derivatives

    3. Chapter

      Pages 33-38

      Convex Optimization

    4. Chapter

      Pages 39-83

      Quadratic Hedging Principles

    5. Chapter

      Pages 85-126

      Quadratic Investment Principles

    6. Chapter

      Pages 127-157

      Utility-Based Investment Principles

    7. Chapter

      Pages 159-194

      Risk Measurement Principles

  3. Methods

    1. Front Matter

      Pages 195-195

    2. Chapter

      Pages 197-229

      Empirical Methods

    3. Chapter

      Pages 231-271

      Parametric Models and Their Tails

    4. Chapter

      Pages 273-330

      Multivariate Models

  4. Back Matter

    Pages 331-335