Risk and Portfolio Analysis

Principles and Methods

  • Henrik Hult
  • Filip Lindskog
  • Ola Hammarlid
  • Carl Johan Rehn

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Principles

    1. Front Matter
      Pages 1-1
    2. Henrik Hult, Filip Lindskog, Ola Hammarlid, Carl Johan Rehn
      Pages 3-31
    3. Henrik Hult, Filip Lindskog, Ola Hammarlid, Carl Johan Rehn
      Pages 33-38
    4. Henrik Hult, Filip Lindskog, Ola Hammarlid, Carl Johan Rehn
      Pages 39-83
    5. Henrik Hult, Filip Lindskog, Ola Hammarlid, Carl Johan Rehn
      Pages 85-126
    6. Henrik Hult, Filip Lindskog, Ola Hammarlid, Carl Johan Rehn
      Pages 127-157
    7. Henrik Hult, Filip Lindskog, Ola Hammarlid, Carl Johan Rehn
      Pages 159-194
  3. Methods

    1. Front Matter
      Pages 195-195
    2. Henrik Hult, Filip Lindskog, Ola Hammarlid, Carl Johan Rehn
      Pages 197-229
    3. Henrik Hult, Filip Lindskog, Ola Hammarlid, Carl Johan Rehn
      Pages 231-271
    4. Henrik Hult, Filip Lindskog, Ola Hammarlid, Carl Johan Rehn
      Pages 273-330
  4. Back Matter
    Pages 331-335

About this book

Introduction

Investment and risk management problems are fundamental problems for  financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads one to the field of applied mathematics in order to translate subjective probability beliefs and attitudes towards risk and reward into actual decisions.

 

In Risk and Portfolio Analysis the authors present sound principles and useful methods for making investment and risk management decisions in the presence of hedgeable and non-hedgeable risks using the simplest possible principles, methods, and models that still capture the essential features of the real-world problems. They use rigorous, yet elementary mathematics, avoiding technically advanced approaches which have no clear methodological purpose and are practically irrelevant. The material progresses systematically and topics such as the pricing and hedging of derivative contracts, investment and hedging principles from portfolio theory, and risk measurement and multivariate models from risk management are covered appropriately. The theory is combined with numerous real-world examples that illustrate how the principles, methods, and models can be combined to approach concrete problems and to draw useful conclusions. Exercises are included at the end of the chapters to help reinforce the text and provide insight.

 

This book will serve advanced undergraduate and graduate students, and practitioners in insurance, finance as well as regulators. Prerequisites include undergraduate level courses in linear algebra, analysis, statistics and probability.

 

 

Keywords

Financial engineering Financial statistics Insurance mathematics Portfolio optimization Risk management

Authors and affiliations

  • Henrik Hult
    • 1
  • Filip Lindskog
    • 2
  • Ola Hammarlid
    • 3
  • Carl Johan Rehn
    • 4
  1. 1., Department of MathematicsRoyal Institute of TechnologyStockholmSweden
  2. 2., Department of MathematicsRoyal Institute of TechnologyStockholmSweden
  3. 3.E. Öhman J:or Fondkommission ABStockholmSweden
  4. 4.E. Öhman J:or Fondkommission ABStockholmSweden

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4614-4103-8
  • Copyright Information Springer Science+Business Media New York 2012
  • Publisher Name Springer, New York, NY
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-1-4614-4102-1
  • Online ISBN 978-1-4614-4103-8
  • Series Print ISSN 1431-8598
  • About this book