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Portfolio Risk Analysis /
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, rel...
| Autores principales: | , , |
|---|---|
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
2010.
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| Colección: | Book collections on Project MUSE.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 005 | 20230905043211.0 | ||
| 006 | m o d | ||
| 007 | cr||||||||nn|n | ||
| 008 | 091221s2010 nju o 00 0 eng d | ||
| 010 | |z 2009050913 | ||
| 020 | |a 9781400835294 | ||
| 020 | |z 9780691128283 | ||
| 035 | |a (OCoLC)647880060 | ||
| 040 | |a MdBmJHUP |c MdBmJHUP | ||
| 100 | 1 | |a Connor, Gregory, |e author. | |
| 245 | 1 | 0 | |a Portfolio Risk Analysis / |c Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk. |
| 264 | 1 | |a Princeton : |b Princeton University Press, |c 2010. | |
| 264 | 3 | |a Baltimore, Md. : |b Project MUSE, |c 2015 | |
| 264 | 4 | |c ©2010. | |
| 300 | |a 1 online resource (400 pages). | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 505 | 0 | |a 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. | |
| 520 | |a 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. | ||
| 588 | |a Description based on print version record. | ||
| 650 | 7 | |a Risk management. |2 fast |0 (OCoLC)fst01098164 | |
| 650 | 7 | |a Portfolio management. |2 fast |0 (OCoLC)fst01072072 | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Econometrics. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 6 | |a Gestion de portefeuille. | |
| 650 | 2 | |a Risk Management | |
| 650 | 0 | |a Risk management. | |
| 650 | 0 | |a Portfolio management. | |
| 655 | 7 | |a Electronic books. |2 local | |
| 700 | 1 | |a Korajczyk, Robert A., |d 1954- |e author. | |
| 700 | 1 | |a Goldberg, Lisa R., |e author. | |
| 710 | 2 | |a Project Muse. |e distributor | |
| 830 | 0 | |a Book collections on Project MUSE. | |
| 856 | 4 | 0 | |z Texto completo |u https://projectmuse.uam.elogim.com/book/30250/ |
| 945 | |a Project MUSE - Custom Collection | ||
| 945 | |a Project MUSE - Archive Complete Supplement III | ||
| 945 | |a Project MUSE - Archive Political Science and Policy Studies Supplement III | ||