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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Detalles Bibliográficos
Autores principales: Connor, Gregory (Autor), Korajczyk, Robert A., 1954- (Autor), Goldberg, Lisa R. (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Princeton : Princeton University Press, 2010.
Colección:Book collections on Project MUSE.
Temas:
Risk management.
Portfolio management.
BUSINESS & ECONOMICS > Econometrics.
BUSINESS & ECONOMICS > Investments & Securities > General.
risk management.
Gestion du risque.
Gestion de portefeuille.
Risk Management
Electronic books.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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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