Advanced RIET portfolio optimization: innovative tools for risk management
Material type:
TextPublication details: Springer Switzerland 2022Description: xiv, 258 pISBN: - 9783031152856
- 332.63247 LIN
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Indian Institute of Management LRC General Stacks | Finance & Accounting | 332.63247 LIN (Browse shelf(Opens below)) | 1 | Available | 004703 |
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| 332.6323 PET Fixed income analysis | 332.6323 PET Fixed income analysis | 332.6324 QUA Logistics real estate: the emergence of a new asset class | 332.63247 LIN Advanced RIET portfolio optimization: | 332.6327 MIZ International equity exchange-traded funds | 332.6327 TYS Mutual funds for dummies | 332.6327 ZAH Index fund management: a practical guide to smart beta, factor investing, and risk premia |
This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs). The models provide highly advanced analytics for REIT investment, including:
portfolio optimization using both historic and predictive return estimation;
model backtesting;
a complete spectrum of risk assessment and management tools with an emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis;
derivative valuation;
and incorporating ESG ratings into REIT investment.
These quantitative finance models are presented in a unified framework consistent with dynamic asset pricing (rational finance). Given its scope and practical orientation, this book will appeal to investors interested in portfolio optimization and innovative tools for investment risk assessment.
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