Portfolio Risk Analysis /

Portfolio Risk Analysis / / Gregory Connor, Robert A. Korajczyk, Lisa R. Goldberg.

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Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, rel...

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Bibliographic Details
Superior document:Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013
VerfasserIn:
Connor, Gregory,
Goldberg, Lisa R.,
Korajczyk, Robert A.,
Place / Publishing House:Princeton, NJ : : Princeton University Press, , [2010]
©2010
Year of Publication:2010
Edition:Course Book
Language:English
Online Access:
Physical Description:1 online resource (400 p.)
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Table of Contents:
  • Frontmatter
  • Contents
  • Acknowledgments
  • Introduction
  • Key Notation
  • 1. Measures of Risk and Return
  • 2. Unstructured Covariance Matrices
  • 3. Industry and Country Risk
  • 4. Statistical Factor Analysis
  • 5. The Macroeconomy and Portfolio Risk
  • 6. Security Characteristics and Pervasive Risk Factors
  • 7. Measuring and Hedging Foreign Exchange Risk
  • 8. Integrated Risk Models
  • 9. Dynamic Volatilities and Correlations
  • 10. Portfolio Return Distributions
  • 11. Credit Risk
  • 12. Transaction Costs and Liquidity Risk
  • 13. Alternative Asset Classes
  • 14. Performance Measurement
  • 15. Conclusion
  • References
  • Index

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