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Palgrave Macmillan

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

A Practical Guide to Implementing Quantitative Investment Theory

  • Book
  • © 2003

Overview

Authors:
  1. Mikkel Rasmussen
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Part of the book series: Finance and Capital Markets Series (FCMS)

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Table of contents (16 chapters)

  1. Front Matter

    Pages i-xv
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  2. A Basis for Quantitative Management and Analysis

    1. Front Matter

      Pages 1-1
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    2. Asset Management Basics

      • Mikkel Rasmussen
      Pages 3-8

    3. Asset Returns

      • Mikkel Rasmussen
      Pages 9-22

    4. Asset Risk

      • Mikkel Rasmussen
      Pages 23-37

    5. Asset Pricing

      • Mikkel Rasmussen
      Pages 38-70

  3. Modern Portfolio Theory

    1. Front Matter

      Pages 71-71
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    2. Portfolio Characterisation

      • Mikkel Rasmussen
      Pages 73-96

    3. Quantitative Portfolio Optimisation and Efficient Portfolios

      • Mikkel Rasmussen
      Pages 97-137

    4. Estimating Model Parameters

      • Mikkel Rasmussen
      Pages 138-163

  4. Asset Allocation

    1. Front Matter

      Pages 165-165
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    2. Investment Objectives and Benchmark Selection

      • Mikkel Rasmussen
      Pages 167-176

    3. Quantitative Portfolio Construction and Asset Allocation

      • Mikkel Rasmussen
      Pages 177-200

    4. Quasi-Random Monte Carlo Simulated Asset Allocation (Qrmcsaa)

      • Mikkel Rasmussen
      Pages 201-238

    5. Refining the Qrmcsaa Model

      • Mikkel Rasmussen
      Pages 239-272

    6. Strategic and Tactical Asset Allocation

      • Mikkel Rasmussen
      Pages 273-290

    7. Sector Rotation

      • Mikkel Rasmussen
      Pages 291-314

  5. Quantitative Risk Management

    1. Front Matter

      Pages 315-315
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    2. Tracking Error and Information Ratio

      • Mikkel Rasmussen
      Pages 317-331

    3. Sector Risk Model

      • Mikkel Rasmussen
      Pages 332-391
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Keywords

About this book

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 yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.

About the author

MIKKEL RASMUSSEN has an MSc in Economics and has worked both as a risk management consultant and equity portfolio manager. He currently manages Japanese equities at AEGON Asset Management in the Netherlands.

Bibliographic Information

  • Book Title: Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

  • Book Subtitle: A Practical Guide to Implementing Quantitative Investment Theory

  • Authors: Mikkel Rasmussen

  • Series Title: Finance and Capital Markets Series

  • DOI: https://doi.org/10.1057/9780230512856

  • Publisher: Palgrave Macmillan London

  • eBook Packages: Palgrave Economics & Finance Collection, Economics and Finance (R0)

  • Copyright Information: Palgrave Macmillan, a division of Macmillan Publishers Limited 2003

  • Hardcover ISBN: 978-1-4039-0458-4Published: 13 December 2002

  • Softcover ISBN: 978-1-349-50944-7Published: 01 January 2003

  • eBook ISBN: 978-0-230-51285-6Published: 13 December 2002

  • Series ISSN: 2946-2010

  • Series E-ISSN: 2946-2029

  • Edition Number: 1

  • Number of Pages: XV, 443

  • Topics: Business Finance, Investments and Securities, Risk Management, Banking

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