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AuthorPearson, Neil D
TitleRisk budgeting : portfolio problem solving with Value-at-risk / Neil D. Pearson
Imprint New York : J. Wiley, 2002
Descript x, 321 p. : ill. ; 24 cm


Value-at-risk of a simple equity portfolio -- The delta-normal method -- The delta-normal method foe a fixed-income portfolio -- Using factor models to compute theVaR or equity portfolios -- Risk decomposition and risk budgeting -- Decomposing risk -- Variants of the Monte Carlo approach -- Limitations of value-at-risk -- Gaming the VaR

Investment analysis Portfolio management Risk management Financial futures

Chula Business School Library332.6221 P362R 2002CHECK SHELVES

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