Portfolio Risk Analysis /

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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...

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Bibliographic Details
Main Authors: Connor, Gregory (Author), Korajczyk, Robert A., 1954- (Author), Goldberg, Lisa R. (Author)
Format: Electronic eBook
Language:Inglés
Published: Princeton : Princeton University Press, 2010.
Series:Book collections on Project MUSE.
Subjects:
Risk management.
Portfolio management.
BUSINESS & ECONOMICS > Econometrics.
BUSINESS & ECONOMICS > Investments & Securities > General.
risk management.
Gestion du risque.
Gestion de portefeuille.
Risk Management
Electronic books.
Online Access:Texto completo
Table of Contents:
  • 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.

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