Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk, "Portfolio Risk Analysis"
English | 2010-03-15 | ISBN: 0691128286 | 400 pages | PDF | 1,5 mb
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, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective.