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 crises in terms of their risk measurement and management and, as a …

substantial impact of doing so. In short, the risk climate can and should be incorporated in a stress test. Second, we provide a … to a trade-off between the competing objectives of minimizing risk and maximizing return. We achieve this with a scenario …-constrained mean-variance optimization that can incorporate extreme risk and other non-Gaussian effects. We illustrate our methods in …