Falkner konrad (2 Ergebnisse)

Taschenbuch. Zustand: Neu. Neuware - Reactive PublishingConvex Optimization for Portfolio Construction provides a structured introduction to the use of optimization methods in modern portfolio design. Written for quantitative finance readers, portfolio analysts, and technically oriented investors, this book explains how convex methods can be used to model allocation problems with clearer assumptions, measurable constraints, and practical trade-offs.The book covers core portfolio construction concepts including risk budgeting, factor exposure, transaction costs, turnover limits, and large-scale allocation models. Rather than treating optimization as a black box, it focuses on the logic behind model formulation, constraint design, objective functions, and implementation decisions.Topics include mean-variance optimization, constrained allocation, regularization, risk parity concepts, factor-aware portfolios, cost-aware rebalancing, and scalable approaches for larger investment universes. The emphasis is on building models that are interpretable, testable, and suitable for real-world portfolio research.Designed as a technical guide, this book is best suited for readers with some background in finance, statistics, or programming who want a deeper understanding of how optimization frameworks are applied to portfolio construction. …

Taschenbuch. Zustand: Neu. Neuware - Reactive PublishingA rigorous, applied guide to modeling tail dependence and systemic fragility in multi-asset portfolios using advanced copula functions and Extreme Value Theory (EVT).Standard financial risk models frequently fail during market panics because they rely on linear correlation and normal distribution assumptions, underestimating the frequency and impact of simultaneous asset crashes. Copula Methods & Extreme Value Theory for Systemic Risk bridges the gap between complex probability theory and practical portfolio stress testing, providing quantitative analysts, risk managers, and portfolio engineers with the mathematical frameworks required to capture non-linear joint dependencies.What You Will Learn: - Copula Construction & Selection: Master Archimedean, Elliptical, and Vine copulas to model non-Gaussian joint distributions across diverse asset classes.- Extreme Value Theory (EVT): Apply Generalized Extreme Value (GEV) and Generalized Pareto Distributions (GPD) to accurately parameterize heavy-tailed asset returns.- Tail Dependence Dynamics: Quantify upper and lower tail coefficients to evaluate structural contagion and joint default probabilities during liquidity shocks.- Advanced Stress Testing Protocols: Design non-linear scenario analyses and historical simulation frameworks for multi-asset portfolios.- Practical Implementation: Translate mathematical formulations into robust, actionable risk metrics, including Copula-based Value at Risk (VaR) and Expected Shortfall (ES).Designed for financial engineers, risk modeling teams, and graduate students in quantitative finance, this text delivers the analytical tools necessary to measure, stress test, and mitigate systemic exposure in modern financial markets.…