Portfolio Engineering

The author contends that there currently exists no textbook or reference resource that is suitable for a financial engineering course or an interest, respectively, in portfolio theory and practice. Portfolio Engineering covers the theoretical aspects of the subject at a rigorous yet accessible mathematical level and provides practical methods for tackling real and current financial engineering problems through examples using modern software tools. The aim of the book is to be as relevant as possible by providing a modern overview of the theory as it is understood and practiced in the investment industry today. Not devoid of mathematics, the treatment will be presented at an accessible level, which is appropriate for financial engineers. Numerous examples and discussions are accompanied by computer output in R, Matlab, Octave, C++, and Fortran. Plentiful exercises are provided in an effort to reinforce the concepts that have been presented. The end of the book contains solutions to selected problems.