Zopounidis and Galariotis, Quantitative Financial Risk Management

0
Zopounidis and Galariotis, Quantitative Financial Risk Management

 Zopounidis and Galariotis Quantitative Financial Risk Management: Theory and Practice

Quantitative Financial Risk Management: Theory and Practice, edited by Constantin Zopounidis and Emilios Galariotis (Wiley, 2015) is a collection of 15 papers, written primarily by academics. The papers deal with five main topics: supervisory risk management, risk models and measures, portfolio management, credit risk modeling, and financial markets.

One paper that I think should be of general interest to investors is William T. Ziemba’s “Portfolio Optimization.” Ziemba argued in 2005 that the Sharpe ratio needed to be modified to evaluate properly the returns of great investors since the ordinary Sharpe ratio penalizes gains. T