Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk,...

Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible...

Part I: Econometrics of Financial Markets -- Information Asymmetry, Liquidity and the Dynamic Volume-Return Relation in Panel Data Analysis -- Density forecasts of emerging markets’ exchange rates using Monte Carlo simulation with regime switching -- Determination of the own funds requirements...

As technology advancement has increased, so to have computational applications for forecasting, modelling and trading financial markets and information, and practitioners are finding ever more complex solutions to financial challenges. Neural networking is a highly effective, trainable...

Robert Dochow mathematically derives a simplified classification structure of selected types of the portfolio selection problem. He proposes two new competitive online algorithms with risk management, which he evaluates analytically. The author empirically evaluates online algorithms by a...

Due to their business activities, banks are exposed to many different risk types. Peter Grundke shows how various risk exposures can be aggregated to a comprehensive risk position. Furthermore, computational problems of determining a loss distribution that comprises various risk types are...

Overview of Quantitative Finance and Risk Management Research -- Portfolio Theory and Investment Analysis -- Options and Option Pricing Theory -- Risk Management -- Theory, Methodology, and Applications

Much critical attention has been given in recent years to market and credit risks, which have a significant effect on corporate and financial operations and must be understood and managed with care. While these areas have rightly received considerable scrutiny, another critical dimension of...