Investment Theory And Risk Management Website
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Investment Theory And Risk Management Website
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Author : Steven Peterson
language : en
Publisher: John Wiley & Sons
Release Date : 2012-05-08
Investment Theory And Risk Management Website written by Steven Peterson and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-08 with Business & Economics categories.
A unique perspective on applied investment theory and risk management from the Senior Risk Officer of a major pension fund Investment Theory and Risk Management is a practical guide to today's investment environment. The book's sophisticated quantitative methods are examined by an author who uses these methods at the Virginia Retirement System and teaches them at the Virginia Commonwealth University. In addition to showing how investment performance can be evaluated, using Jensen's Alpha, Sharpe's Ratio, and DDM, he delves into four types of optimal portfolios (one that is fully invested, one with targeted returns, another with no short sales, and one with capped investment allocations). In addition, the book provides valuable insights on risk, and topics such as anomalies, factor models, and active portfolio management. Other chapters focus on private equity, structured credit, optimal rebalancing, data problems, and Monte Carlo simulation. Contains investment theory and risk management spreadsheet models based on the author's own real-world experience with stock, bonds, and alternative assets Offers a down-to-earth guide that can be used on a daily basis for making common financial decisions with a new level of quantitative sophistication and rigor Written by the Director of Research and Senior Risk Officer for the Virginia Retirement System and an Associate Professor at Virginia Commonwealth University's School of Business Investment Theory and Risk Management empowers both the technical and non-technical reader with the essential knowledge necessary to understand and manage risks in any corporate or economic environment.
Essentials Of Investment And Risk Analysis
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Author : Mihail Busu
language : en
Publisher:
Release Date : 2022
Essentials Of Investment And Risk Analysis written by Mihail Busu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
This book provides an overview of the evolution of investment and risk, together with a synthesis of research on these developments. It explores how exposures can be modified by measuring and managing them and introduces readers to the latest strategies and trends in investment. Broad in scope, the book covers the most important aspects of investment risk management, including the time value of money, financial markets, equity markets, bond markets, and portfolio theory. Accordingly, it offers a valuable asset for advanced undergraduate and graduate finance students, investors and academics alike.
Quantitative Portfolio Optimisation Asset Allocation And Risk Management
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Author : M. Rasmussen
language : en
Publisher: Springer
Release Date : 2002-12-13
Quantitative Portfolio Optimisation Asset Allocation And Risk Management written by M. Rasmussen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-12-13 with Business & Economics categories.
Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.
Scenarios For Risk Management And Global Investment Strategies
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Author : Rachel E. S. Ziemba
language : en
Publisher: Wiley
Release Date : 2007-12-17
Scenarios For Risk Management And Global Investment Strategies written by Rachel E. S. Ziemba and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-17 with Business & Economics categories.
This book discusses scenarios for risk management and developing global investment strategies. What are the chances that various future events will occur over time and how should these events and probable occurrence influence investment decisions? Assessing all possible outcomes is fundamental to risk management, financial engineering and investment and hedge fund strategies. A careful consideration of future scenarios will lead to better investment decisions and avoid financial disasters. The book presents tools and case studies around the world for analyzing a wide variety of investment strategies, building scenarios to optimize returns.
Modern Portfolio Theory
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Author : Jack Clark Francis
language : en
Publisher: John Wiley & Sons
Release Date : 2013-01-18
Modern Portfolio Theory written by Jack Clark Francis and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-18 with Business & Economics categories.
A through guide covering Modern Portfolio Theory as well as the recent developments surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper "Portfolio Selection" in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students. Modern Portfolio Theory provides a summary of the important findings from all of the financial research done since MPT was created and presents all the MPT formulas and models using one consistent set of mathematical symbols. Opening with an informative introduction to the concepts of probability and utility theory, it quickly moves on to discuss Markowitz's seminal work on the topic with a thorough explanation of the underlying mathematics. Analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of MPT literature Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT Companion Website contains Excel spreadsheets that allow you to compute and graph Markowitz efficient frontiers with riskless and risky assets If you want to gain a complete understanding of modern portfolio theory this is the book you need to read.
Fixed Income Securities
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Author : Lionel Martellini
language : en
Publisher: John Wiley & Sons
Release Date : 2005-09-27
Fixed Income Securities written by Lionel Martellini and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-09-27 with Business & Economics categories.
This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds. The text will be supported by a set of PowerPoint slides for use by the lecturer First textbook designed for students written on fixed-income securities - a growing market Contains numerous worked examples throughout Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
Investing With The Trend
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Author : Gregory L. Morris
language : en
Publisher: John Wiley & Sons
Release Date : 2013-12-31
Investing With The Trend written by Gregory L. Morris and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-31 with Business & Economics categories.
Investing with the Trend provides an abundance of evidence for adapting a rules-based approach to investing by offering something most avoid, and that is to answer the “why” one would do it this way. It explains the need to try to participate in the good markets and avoid the bad markets, with cash being considered an asset class. The book is in three primary sections and tries to leave no stone unturned in offering almost 40 years of experience in the markets. Part I – The focus is on much of the misinformation in modern finance, the inappropriate use of Gaussian statistics, the faulty assumptions with Modern Portfolio Theory, and a host of other examples. The author attempts to explain each and offer justification for his often strong opinions. Part II – After a lead chapter on the merits of technical analysis, the author offers detailed research into trend analysis, showing how to identify if a market is trending or not and how to measure it. Further research involves the concept of Drawdown, which the author adamantly states is a better measure of investor risk than the oft used and terribly wrong use of volatility as determined by standard deviation. Part III – This is where he puts it all together and shows the reader all of the steps and details on how to create a rules-based trend following investment strategy. A solid disciplined strategy consists of three parts, a measure of what the market is actually doing, a set of rules and guidelines to tell you how to invest based upon that measurement, and the discipline to follow the strategy
Time Preference And Risk In Investment Theory
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Author : Vernon L. Smith
language : en
Publisher:
Release Date : 1960
Time Preference And Risk In Investment Theory written by Vernon L. Smith and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1960 with categories.
Investment Risk Management
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Author : Harold Kent Baker
language : en
Publisher: Oxford University Press, USA
Release Date : 2015
Investment Risk Management written by Harold Kent Baker and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Business & Economics categories.
Investment Risk Management provides an overview of developments in risk management and a synthesis of research on the subject. The chapters examine ways to alter exposures through measuring and managing risk exposures and provide an understanding of the latest strategies and trends within risk management.
Risk Management And Financial Institutions Web Site
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Author : John Hull
language : en
Publisher: John Wiley & Sons
Release Date : 2012-05-08
Risk Management And Financial Institutions Web Site written by John Hull and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-08 with Business & Economics categories.
This text takes risk management theory and explains it in a 'this is how you do it' manner for practical application in today's financial world.