Returns and the Gaussian Hypothesis.- Utility Functions and
the Theory of Choice.- The Markowitz Framework.- Markowitz Without
a Risk-Free Asset.- Markowitz with a Risk-Free Asset.-
Performance and Diversification Indicators.- Risk Measures and
Capital Allocation.- Factor Models.- Identification of the
Factors.- Exercises and Problems.
Pierre Brugière is currently Associate Professor at University
Paris 9 Dauphine. Previously he spent 19 years working in
investment banking in London, in international banks, and 4 years
in Paris in an arbitrage bank. During his career in finance he has
been responsible for quant groups in fixed income, asset management
and equity derivatives. In addition, in his role working for
corporate equity derivatives businesses, he has been involved in
structuring marketing and executing very large and strategic
transactions for large companies and institutions, mainly in
Europe, but also in Emerging Markets.
“The book contains both rigorously stated theory and practical instructions, up to instructions for programmers, it will be useful for a very wide audience, from students and teachers to experienced professionals in quantitative finance. It is written in clear, simple language and is quite interesting.” (Yuliya S. Mishura, zbMATH 1452.91005, 2021)
|
Ask a Question About this Product More... |
|
