Centro de Documentacion de Fundación MAPFRE

Publicación: London : Risk books, cop. 2008Descripción física: XLI, 250 p. ; 23 cm.Notas: Sumario: Beyond black-litterman: views on non-normal markets -- Beyond black-litterman in practice -- The two-factor black-litterman model -- Assessing views -- Preparing the best risk budget -- Core satellite investing: harmony through separation -- Broadening horizans -- Hedging of corporate pension liabilities -- Portfolio skew and kurtosis -- VaR for fund managers -- Style-based value-at-risk for UK equities -- Risk contributions from generic user-defined factors -- Understanding variations in the risk of multi-strategy portfolios -- Low default portfolos without simulation -- Sharpe thinking -- Generalising universal performance measures -- Omega portfolio construction with Johnson distributionsMateria / lugar / evento: Gerencia de riesgos Valoración de riesgos Modelos de simulación Análisis de riesgos Otras clasificaciones: 7Números normalizados: ISBN 978-0-906348-14-4

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