cam a22 4 4500 282823751 CHVBK 20201008103737.0 130818s2011 xxk 00 eng 2010044280 GBB0-86199 bnb 978-0-470-75013-1 0-470-75013-8 (IDSSG)000536029 (NEBIS)006399814 (OCoLC) ocn671238464 (OCoLC)607990840 DLC ger SzZuIDS HSG kids HG6043 .K46 2011 332.6 22 DE0102E0F78A5B88FEE14C125780000332677 iCapture Kemp Malcolm H. D. Extreme events robust portfolio construction in the presence of fat tails Malcolm H. D. Kemp Chichester, UK Wiley 2011 XXII, 312 S. Ill. Wiley finance With slight exaggeration, a case can be made that modern finance has been built, in practice, if not in theory, on implicit tolerance and widespread ignorance of extreme events. Jean Pierre Landau, Deputy Governor, Banque du France Markets are fat-tailed; extreme outcomes occur more often than many might hope, or indeed the statistics or normal distributions might indicate. In this book, the author provides readers with the latest tools and techniques on how best to adapt portfolio construction techniques to cope with extreme events. Beginning with an overview of portfolio construction and market drivers, the book will analyze fat tails, what they are, their behavior, how they can differ and what their underlying causes are. The book will then move on to look at portfolio construction techniques which take into account fat tailed behavior, and how to stress test your portfolio against extreme events. Finally, the book will analyze really extreme events in the context of portfolio choice and problems. The book will offer readers: Ways of understanding and analyzing sources of extreme events Tools for analyzing the key drivers of risk and return, their potential magnitude and how they might interact Methodologies for achieving efficient portfolio construction and risk budgeting Approaches for catering for the time-varying nature of the world in which we live Back-stop approaches for coping with really extreme events Illustrations and real life examples of extreme events across asset classes This will be an indispensible guide for portfolio and risk managers who will need to better protect their portfolios against extreme events which, within the financial markets, occur more frequently than we might expect. The book will analyze fat tails, what they are, their behavior, how they can differ and what their underlying causes are. Portfolio Selection (DE-588)4046834-3 gnd Extrembedingung (DE-588)4502205-7 gnd Risikomanagement (DE-588)4121590-4 gnd Portfolio management Portfolio management Decision making PORTFOLIO MANAGEMENT (UNTERNEHMENSFÜHRUNG) ger (ETHUDK)000060201 ethudk PORTFOLIOTHEORIE (OPERATIONS RESEARCH) ger (ETHUDK)000013884 ethudk u PORTFOLIO MANAGEMENT (UNTERNEHMENSFÜHRUNG) ger 65,02.04.022 nebis E1 u PORTFOLIOTHEORIE (OPERATIONS RESEARCH) ger 519.865.5 nebis E1 u GESTION DE PORTEFEUILLE (GESTION D'ENTREPRISE) fre 65,02.04.022 nebis E1 u PORTFOLIO MANAGEMENT (BUSINESS MANAGEMENT) eng 65,02.04.022 nebis E1 u PORTFOLIO SELECTION (OPERATIONS RESEARCH) eng 519.865.5 nebis E1 u SÉLECTION DE PORTEFEUILLES (RECHERCHE OPÉRATIONNELLE) fre 519.865.5 nebis E1 Online-Ausgabe (IDSSG)000938481 480187363 http://unisg.link/hm00384608 Inhaltsverzeichnis BK020000 XK020000 XK020000 126 E01-20110613 171 E01-20110613 IDSSG HSG HSG EG QK 810 K32 NEBIS E01 E01 MG T 37600 IDSSG 100 1- Kemp Malcolm H. D. IDSSG 490 0- Wiley finance IDSSG 776 08 Online-Ausgabe (IDSSG)000938481 480187363 IDSSG 856 4- http://unisg.link/hm00384608 Inhaltsverzeichnis NEBIS 490 -- Wiley finance series NEBIS 700 1- Kemp Malcolm H.D. NEBIS EAD50 EBI01 E01 https://opac.nebis.ch/objects/pdf/e01_978-0-470-75013-1_01.pdf Titelblatt und Inhaltsverzeichnis VIEW pdf NEBIS EAD50 EBI01 E01 https://opac.nebis.ch/objects/pdf/e01_978-0-470-75013-1_02.pdf Abstract / Autoreninformation VIEW pdf SWISSBIB 282823751