Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

This practical book is aimed particularly at institutional asset managers, Chief Investment Officers, portfolio managers, and risk managers, serving as a comprehensive guide to quantitative portfolio optimization, asset allocation, and risk management. It offers an accessible yet rigorous approach to investment management and gradually introduces increasingly advanced quantitative tools for these areas. Through extensive examples, the book guides the reader from basic analysis of return and risk to portfolio optimization and risk description, ultimately leading to full-fledged quantitative asset allocation and risk management. It employs tools such as advanced modern portfolio theory using Monte Carlo simulations and advanced analysis of return distributions, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk, and extreme value analysis.