Neil D. Pearson Risk Budgeting: Portfolio Problem-Solving with Value at Risk
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Краткие данные о книге Risk Budgeting: Portfolio Problem-Solving with Value at Risk, написанной Neil D. Pearson. Год выпуска: 2002 Covers the hottest topic in investment for multitrillion pension market and institutional investors Institutional investors and fund managers understand they must take risks to generate supe |
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Полное описание книги
Neil D. Pearson "Risk Budgeting: Portfolio Problem-Solving with Value at Risk" (2002)
Covers the hottest topic in investment (ключ слово investment) for multitrillion pension market (ключ слово market) and institutional (ключ слово institutional) investors (ключ слово investors). Institutional investors and fund managers understand they must take risks (тег risks) to generate superior investment returns, but the question is how much. Enter the concept (ключ слово concept) of risk budgeting (тег budgeting), using quantitative risks measurements, including VaR, to solve the problem. VaR, or value at risk, is a concept first introduced by bank dealers to establish parameters for their market short-term risk exposure. This book introduces VaR, extreme VaR, and stress-testing risk measurement techniques to major institutional investors, and shows them how they can implement formal risk budgeting to more efficiently manage their investment portfolios. Risk Budgeting is the most sophisticated and advanced read on the subject out there in the market.
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