Quantitative Portfolio Optimisation, Asset Allocation and Risk Management (Finance and Capital Markets)

Rating:
Summary: Highly recommended
Review: If you are looking for a comprehensive book that explains and analyses quantitative portfolio optimisation and asset allocation, then this is probably the one for you. The author has clearly taken a lot of time to lay out the subject in a logical and easily understandable way, despite the fact that the subject matter is very complex. Having read this book, you'll be able to apply quantitative portfolio analysis and optimisation techniques yourself, and the book's final part on risk management - which includes chapters on active risk management, monte carlo simulations and extreme value thery - is a must for anyone in need of more adcanced risk management skills. Only draw back is its somewhat technical nature, but since the most technical stuff is in the appendices, the reader can skip it without major problems. An excellent and very accesible book.

Rating:
Summary: Great practical guide
Review: Whenever I buy a book I try to look for ones that have a strong practical aim. This is definitely such a book. It starts off with a fair amount of theory, which is required to fully appreciate it, but then moves into very practical territory with lots of real life problems and situations. This book is one of those A-Z books that ties all the treads together, but spiced up with practical applications in almost every chapter. Definitely worth reading if you need to understand the mechanics of quantitative portfolio optimisation and risk management.