Risk Budgeting Portfolio Problem Solving with Value-at-Risk
, by Pearson, Neil D.Note: Supplemental materials are not guaranteed with Rental or Used book purchases.
- ISBN: 9780471405566 | 0471405566
- Cover: Hardcover
- Copyright: 1/28/2002
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.