Springer Series in Operations Research and Financial Engineering

Risk and Portfolio Analysis

Principles and Methods

Authors: Hult, H., Lindskog, F., Hammarlid, O., Rehn, C.J.

  • Combines useful practical insights with rigorous yet elementary mathematics
  • The presentation of the theory goes hand in hand with numerous real-world examples
  • The books aims to demystify many commonly encountered approaches to risk management and portfolio choice by decomposing them into principles, methods, and models
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eBook $59.99
price for USA (gross)
  • ISBN 978-1-4614-4103-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.95
price for USA
  • ISBN 978-1-4614-4102-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $79.95
price for USA
  • ISBN 978-1-4939-0031-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the eBook  
  • Rental duration: 1 or 6 month
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About this Textbook

Investment and risk management problems are fundamental problems for  financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads one to the field of applied mathematics in order to translate subjective probability beliefs and attitudes towards risk and reward into actual decisions.

 

In Risk and Portfolio Analysis the authors present sound principles and useful methods for making investment and risk management decisions in the presence of hedgeable and non-hedgeable risks using the simplest possible principles, methods, and models that still capture the essential features of the real-world problems. They use rigorous, yet elementary mathematics, avoiding technically advanced approaches which have no clear methodological purpose and are practically irrelevant. The material progresses systematically and topics such as the pricing and hedging of derivative contracts, investment and hedging principles from portfolio theory, and risk measurement and multivariate models from risk management are covered appropriately. The theory is combined with numerous real-world examples that illustrate how the principles, methods, and models can be combined to approach concrete problems and to draw useful conclusions. Exercises are included at the end of the chapters to help reinforce the text and provide insight.

 

This book will serve advanced undergraduate and graduate students, and practitioners in insurance, finance as well as regulators. Prerequisites include undergraduate level courses in linear algebra, analysis, statistics and probability.

 

 

 

 

About the authors

Henrik Hult is an associate professor at KTH Royal Institute of Technology in Stockholm, Sweden. Filip Lindskog is an associate professor at KTH Royal Institute of Technology in Stockholm, Sweden. Ola Hammarlid, PhD, is the Head of Quantitative Research at E. Öhman J:or Capital AB in Stockholm, Sweden. Carl Johan Rehn, PhD, is in Quantitative Research at E. Öhman J:or Capital AB in Stockholm, Sweden.

Reviews

“This book presents sound principles and useful methods for making investment and risk management decisions using standard principles, methods, and models. … The material of this book is based on university lecture notes; as such the organization and structure of the material presented will well serve advanced undergraduate and graduate students. This book will also be beneficial to practitioners in insurance and finance, as well as to regulators.” (Blessing Mudavanhu, SIAM Review, Vol. 57 (3), September, 2015)


Table of contents (9 chapters)

  • Interest Rates and Financial Derivatives

    Hult, Henrik (et al.)

    Pages 3-31

  • Convex Optimization

    Hult, Henrik (et al.)

    Pages 33-38

  • Quadratic Hedging Principles

    Hult, Henrik (et al.)

    Pages 39-83

  • Quadratic Investment Principles

    Hult, Henrik (et al.)

    Pages 85-126

  • Utility-Based Investment Principles

    Hult, Henrik (et al.)

    Pages 127-157

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-1-4614-4103-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.95
price for USA
  • ISBN 978-1-4614-4102-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $79.95
price for USA
  • ISBN 978-1-4939-0031-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the eBook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Risk and Portfolio Analysis
Book Subtitle
Principles and Methods
Authors
Series Title
Springer Series in Operations Research and Financial Engineering
Copyright
2012
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4614-4103-8
DOI
10.1007/978-1-4614-4103-8
Hardcover ISBN
978-1-4614-4102-1
Softcover ISBN
978-1-4939-0031-2
Series ISSN
1431-8598
Edition Number
1
Number of Pages
XIV, 338
Topics