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Managing downside risk in financial markets : theory, practice and implementation /

Contributor(s): Material type: TextTextSeries: Quantitative finance seriesPublication details: Oxford : Butterworth-Heinemann, 2003.Description: xiv, 267 pages : IllustrationsISBN:
  • 0750648635
  • 9780750648639
  • 9780080496207
  • 0080496202
Subject(s): LOC classification:
  • HG 4529 MAN
Online resources:
Contents:
Cover; Managing Downside Risk in Financial Markets: Theory, Practice and Implementation; Copyright Page; Contents; List of contributors; Preface; Part 1: Applications of Downside Risk; Chapter 1. From alpha to omega; Chapter 2. The Dutch view: developing a strategic benchmark in an ALM framework; Chapter 3. The consultant/financial planner's view: a new paradigm for advising individual accounts; Chapter 4. The mathematician's view: modelling uncertainty with the three parameter lognormal.
Chapter 5. A software developer's view: using Post-Modern Portfolio Theory to improve investment performance measurement Chapter 6. An evaluation of value at risk and the information ratio (for investors concerned with downside risk); Chapter 7. A portfolio manager's view of downside risk; Part 2: Underlying Theory; Chapter 8. Investment risk: a uni.ed approach to upside and downside returns; Chapter 9. Lower partial-moment capital asset pricing models: a re-examination; Chapter 10. Preference functions and risk-adjusted performance measures.
Chapter 11. Building a mean-downside risk portfolio frontier Chapter 12. FARM: a financial actuarial risk model; Appendix The Forsey-Sortino model tutorial; Index.
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Item type Current library Call number Status Date due Barcode
Book GIMPA Main Reference Section HG 4529 MAN (Browse shelf(Opens below)) Available 54404

Includes index.

Cover; Managing Downside Risk in Financial Markets: Theory, Practice and Implementation; Copyright Page; Contents; List of contributors; Preface; Part 1: Applications of Downside Risk; Chapter 1. From alpha to omega; Chapter 2. The Dutch view: developing a strategic benchmark in an ALM framework; Chapter 3. The consultant/financial planner's view: a new paradigm for advising individual accounts; Chapter 4. The mathematician's view: modelling uncertainty with the three parameter lognormal.

Chapter 5. A software developer's view: using Post-Modern Portfolio Theory to improve investment performance measurement Chapter 6. An evaluation of value at risk and the information ratio (for investors concerned with downside risk); Chapter 7. A portfolio manager's view of downside risk; Part 2: Underlying Theory; Chapter 8. Investment risk: a uni.ed approach to upside and downside returns; Chapter 9. Lower partial-moment capital asset pricing models: a re-examination; Chapter 10. Preference functions and risk-adjusted performance measures.

Chapter 11. Building a mean-downside risk portfolio frontier Chapter 12. FARM: a financial actuarial risk model; Appendix The Forsey-Sortino model tutorial; Index.

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