Centro de Documentacion de Fundación MAPFRE

MAP20090091580

Portfolio management / Bernd Scherer. — London : Risk books, cop. 2008

XLI, 250 p. ; 23 cm.

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 distributions

ISBN 978-0-906348-14-4

1. Gerencia de riesgos . 2. Valoración de riesgos . 3. Modelos de simulación . 4. Análisis de riesgos . I. Título.