Investment and risk management problems are fundamental problems for
financial institutions and involve both speculative and hedging
decisions. A structured approach to these problems naturally leads one
to the field of applied mathematics in order to translate subjective
probability beliefs and attitudes towards risk and reward into actual
decisions. In Risk and Portfolio Analysis the authors present sound
principles and useful methods for making investment and risk management
decisions in the presence of hedgeable and non-hedgeable risks using the
simplest possible principles, methods, and models that still capture
the essential features of the real-world problems. They use rigorous,
yet elementary mathematics, avoiding technically advanced approaches
which have no clear methodological purpose and are practically
irrelevant. The material progresses systematically and topics such as
the pricing and hedging of derivative contracts, investment and hedging
principles from portfolio theory, and risk measurement and multivariate
models from risk management are covered appropriately. The theory is
combined with numerous real-world examples that illustrate how the
principles, methods, and models can be combined to approach concrete
problems and to draw useful conclusions. Exercises are included at the
end of the chapters to help reinforce the text and provide insight. This
book will serve advanced undergraduate and graduate students, and
practitioners in insurance, finance as well as regulators. Prerequisites
include undergraduate level courses in linear algebra, analysis,
statistics and probability.
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