In der Finanzwelt ist der Einsatz von Finanzderivaten zu einem unentbehrlichen Hilfsmittel zur Absicherung von Risiken geworden. Dieses Buch richtet sich an Studierende der (Finanz-) Mathematik und der Wirtschaftswissenschaften im Hauptstudium, die mehr über Finanzderivate und ihre...

This book focuses on extending the models and theories (from a mathematical/statistical point of view) which were introduced in the first volume to a more technical level. Where volume I provided an introduction to the mathematics of bubbles and contagion, volume II digs far more deeply and...

This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as...

This book is a guide to asset and risk management from a practical point of view. It is centered around two questions triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory they should not? - How do investors deal with such...

Wesen von US-Aktienfonds -- Theoretische Grundlagen der Performanceanalyse -- Entwicklung eines Faktormodells für US-Aktienfonds -- Survivorship Bias in US-Aktienfonds -- Ansätze zur Bestimmung von Selektionskriterien -- Schlussbetrachtung.

This book criticizes the fact that profitability measures derived from capital market models such as the Sharpe ratio and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade-offs are optimal for banks. The authors demonstrate that...

The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to...

Sound investment decisions require an in-depth knowledge of the financial markets and available financial instruments. This book provides students and professionals with an understanding of the role and activities of an equity security analyst within the investment process. Emphasis is on...

Markowitz for the Masses: Portfolio Construction Techniques -- Markowitz for the Masses: The Risk and Return of Equity and Portfolio Construction Techniques -- Markowitz and the Expanding Definition of Risk: Applications of Multi-factor Risk Models -- Markowitz Applications in the 1990s and the...