Portfolio Risk Management
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Portfolio Risk Analysis
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Author : Gregory Connor
language : en
Publisher: Princeton University Press
Release Date : 2010-03-15
Portfolio Risk Analysis written by Gregory Connor and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-15 with Business & Economics categories.
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.
Strategic Risk Management
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Author : David Iverson
language : en
Publisher: John Wiley & Sons
Release Date : 2013-09-03
Strategic Risk Management written by David Iverson 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 2013-09-03 with Business & Economics categories.
A comprehensive guide to the key investment decisions all investors must make and how to manage the risk that entails Since all investors seek maximize returns balanced against acceptable risks, successful investment management is all about successful risk management. Strategic Risk Management uses that reality as a starting point, showing investors how to make risk management a process rather than just another tool in the investor's kit. The book highlights and explains primary investment risks and shows readers how to manage them across the key areas of any fund, including investment objectives, asset allocation, asset class strategy, and manager selection. With a strong focus on risk management at the time of asset allocation and at the time of implementation, the book offers important guidance for managers of benefit plans, endowments, defined contribution schemes, and family trusts. Offers a thorough examination of the role of risk management in the decision-making process for asset allocation, manager selection, and other duties of fund managers Written by the current head of portfolio design for the New Zealand Superannuation Fund Addresses the fundamental importance of risk management in today's post-crisis fund management landscape Strategic Risk Management is a comprehensive and easy-to-read guide that identifies the primary risks investors face and reveals how best to manage them.
Portfolio Risk Management
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Author : Laurel D Malvern
language : en
Publisher: Independently Published
Release Date : 2024-04-07
Portfolio Risk Management written by Laurel D Malvern and has been published by Independently Published this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-04-07 with Business & Economics categories.
Introducing "Portfolio Risk Management" by Laurel D. Malvern - Your Ultimate Guide to Navigating the High Seas of Financial Stability! Are you ready to embark on a journey towards financial security and success? Look no further than "Portfolio Risk Management," the groundbreaking new book by author Laurel D. Malvern. In today's fast-paced world of insurance, finance, and business, understanding and effectively managing risk is the key to unlocking untold opportunities and safeguarding your investments. Whether you're a seasoned professional in the finance industry or a newcomer looking to build your financial acumen, this book is your essential companion on the path to prosperity. Delve into the intricate world of risk management as Laurel D. Malvern expertly guides you through the nuances of portfolio risk in insurance, finance, and beyond. With a comprehensive exploration of financial risk management techniques, including cutting-edge strategies and real-world case studies, you'll gain the knowledge and confidence needed to make informed decisions and protect your assets in any market environment. Inside "Portfolio Risk Management," you'll discover: Foundations of Risk Management: Uncover the fundamental principles of risk and its impact on portfolio performance, setting the stage for your journey towards financial mastery. Principles of Portfolio Management: Learn how to construct and optimize your investment portfolio, utilizing proven asset allocation strategies to maximize returns while minimizing risk. Risk Assessment and Measurement: Dive deep into quantitative methods for assessing and measuring portfolio risk, empowering you to make data-driven decisions with confidence. Risk Management in Insurance and Finance: Explore the unique challenges and opportunities faced by insurers and financial institutions, and discover innovative risk management techniques tailored to these industries. Financial Risk Management: Master the art of hedging and mitigation strategies, gaining valuable insights into managing currency, interest rate, and commodity price risks like a seasoned pro. Integrated Risk Management: Discover how to integrate risk management seamlessly into your organization's operations, fostering a culture of resilience and driving sustainable growth. Packed with invaluable insights, practical advice, and actionable strategies, "Portfolio Risk Management" is your roadmap to financial success in today's ever-changing landscape. Whether you're a seasoned professional seeking to enhance your skills or a newcomer looking to build a solid foundation, this book has something for everyone. Don't leave your financial future to chance. Arm yourself with the knowledge and tools you need to navigate the complexities of portfolio risk like a true expert. Order your copy of "Portfolio Risk Management" today and take the first step towards a brighter, more secure tomorrow!
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.
Portfolio Risk Management
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Author : Gregory B. Getts
language : en
Publisher: Addison Wesley Publishing Company
Release Date : 1989
Portfolio Risk Management written by Gregory B. Getts and has been published by Addison Wesley Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Business & Economics categories.
Risk And Portfolio Analysis
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Author : Henrik Hult
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-07-20
Risk And Portfolio Analysis written by Henrik Hult and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-20 with Mathematics categories.
Investment and risk management problems are fundamental problems for financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads one to the field of applied mathematics in order to translate subjective probability beliefs and attitudes towards risk and reward into actual decisions. In Risk and Portfolio Analysis the authors present sound principles and useful methods for making investment and risk management decisions in the presence of hedgeable and non-hedgeable risks using the simplest possible principles, methods, and models that still capture the essential features of the real-world problems. They use rigorous, yet elementary mathematics, avoiding technically advanced approaches which have no clear methodological purpose and are practically irrelevant. The material progresses systematically and topics such as the pricing and hedging of derivative contracts, investment and hedging principles from portfolio theory, and risk measurement and multivariate models from risk management are covered appropriately. The theory is combined with numerous real-world examples that illustrate how the principles, methods, and models can be combined to approach concrete problems and to draw useful conclusions. Exercises are included at the end of the chapters to help reinforce the text and provide insight. This book will serve advanced undergraduate and graduate students, and practitioners in insurance, finance as well as regulators. Prerequisites include undergraduate level courses in linear algebra, analysis, statistics and probability.
Active Portfolio Management A Quantitative Approach For Producing Superior Returns And Selecting Superior Returns And Controlling Risk
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Author : Richard C. Grinold
language : en
Publisher: McGraw Hill Professional
Release Date : 1999-11-16
Active Portfolio Management A Quantitative Approach For Producing Superior Returns And Selecting Superior Returns And Controlling Risk written by Richard C. Grinold and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-11-16 with Business & Economics categories.
"This new edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals." -William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management. "Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn." -Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline Co-Manager, Fidelity Freedom ® Funds. "This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management." -Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management. Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in 1994. By outlining an innovative process to uncover raw signals of asset returns, develop them into refined forecasts, then use those forecasts to construct portfolios of exceptional return and minimal risk, i.e., portfolios that consistently beat the market, this hallmark book helped thousands of investment managers. Active Portfolio Management, Second Edition, now sets the bar even higher. Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities. It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark. Beyond the comprehensive treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. It revisits a number of discussions from the first edition, shedding new light on some of today's most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical evidence where appropriate. The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding the process of-and increasing the profits from-active investment management.
Strategic Risk Management
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Author : Campbell R. Harvey
language : en
Publisher: John Wiley & Sons
Release Date : 2021-05-04
Strategic Risk Management written by Campbell R. Harvey 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 2021-05-04 with Business & Economics categories.
STRATEGIC RISK MANAGEMENT Having just experienced a global pandemic that sent equity markets into a tailspin in March 2020, risk management is a more relevant topic than ever. It remains, however, an often poorly understood afterthought. Many portfolios are designed without any thought given to risk management before they are handed off to a dedicated—but separate—risk management team. In Strategic Risk Management: Designing Portfolios and Managing Risk, Campbell R. Harvey, Sandy Rattray, and Otto Van Hemert deliver a reimagining of the risk management process. The book envisions a marriage between the investment and risk processes, an approach that has proven successful at the world’s largest publicly listed hedge fund, Man Group. The authors provide readers with a new framework for portfolio design that includes defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. You will learn about how the book’s new approach to risk management fared during the recent market drawdown at the height of the COVID-19 pandemic. You will also discover why the traditional risk weighting approach only works on certain classes of assets. The book shows you how to accurately evaluate the costs of defensive strategies and which ones offer the best and most cost-effective protection against market downturns. Finally, you will learn how to obtain a more balanced return stream by targeting volatility rather than a constant notional exposure and gain a deeper understanding of concepts like portfolio rebalancing. Perfect for people working in the asset management industry and financial policy makers, Strategic Risk Management: Designing Portfolios and Managing Risk will also earn a place in the libraries of economics and finance scholars, as well as casual readers who take an active approach to investing in their savings or pension assets. PRAISE FOR STRATEGIC RISK MANAGEMENT “Strategic Risk Management shows how to fully embed risk management into the portfolio management process as an equal partner to alpha. This should clearly be best practice for all asset managers.” —Jase Auby, Chief Investment Officer, the Teacher Retirement System of Texas “This book shows the power of integrating risk and investment management, rather than applying risk management as an afterthought to satisfy set limits. I was pleased to shepherd some of the key ideas in this book through the publication process at The Journal of Portfolio Management.” —Frank J. Fabozzi, Editor, The Journal of Portfolio Management “Financial markets today are quite different from those of the last century. Understanding leverage, correlations, tails, and other risk parameters of a portfolio is at least as important as work on signals and alpha. In that sense, bringing risk management from ‘control’ to ‘front office’ should be a priority for asset managers. This book explains how to do it.” —Marko Kolanovic, Chief Global Market Strategist, J.P. Morgan A powerful new approach to risk management in volatile and uncertain markets While the COVID-19 pandemic threw the importance of effective risk management into sharp relief, many investment firms hang on to a traditional and outdated model of risk management. Using siloed and independent portfolio management and risk monitoring teams, these firms miss out on the opportunities presented by integrated risk management. Strategic Risk Management: Designing Portfolios and Managing Risk delivers a fresh approach to risk management in difficult market conditions. The accomplished author team advocates for the amalgamation of portfolio design and risk monitoring teams, incorporating risk management into every aspect of portfolio design. The book provides a roadmap for the crucial aspects of portfolio design, including defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. You will discover how these techniques helped the authors achieve remarkable results during the market drawdown in the midst of the COVID-19 pandemic and how they can help you protect your assets against unpredictable—but inevitable—future bear markets. Ideal for professionals in the asset management industry, Strategic Risk Management: Designing Portfolios and Managing Risk is a valuable resource for financial policy makers, economics and finance scholars, and anyone with even a passing interest in taking an active role in investing for their future.
The Standard For Risk Management In Portfolios Programs And Projects German
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Author : Project Management Institute Project Management Institute
language : en
Publisher: Project Management Institute
Release Date : 2022-02-02
The Standard For Risk Management In Portfolios Programs And Projects German written by Project Management Institute Project Management Institute and has been published by Project Management Institute this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-02 with Business & Economics categories.
This is an update and expansion upon PMI's popular reference, The Practice Standard for Project Risk Management. Risk Management addresses the fact that certain events or conditions may occur with impacts on project, program, and portfolio objectives. This standard will: identify the core principles for risk management; describe the fundamentals of risk management and the environment within which it is carried out; define the risk management life cycle; and apply risk management principles to the portfolio, program, and project domains within the context of an enterprise risk management approach It is primarily written for portfolio, program, and project managers, but is a useful tool for leaders and business consumers of risk management, and other stakeholders.
Integrating Portfolio Risk Management Into The Erm Framework
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Author : Justin N. Bezis
language : en
Publisher:
Release Date : 2014
Integrating Portfolio Risk Management Into The Erm Framework written by Justin N. Bezis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Risk management has long been recognized as an important component of the portfolio management process. Nonetheless, the effectiveness of portfolio risk management is often hampered by both an incomplete appreciation of the full potential of the risk management function and a limited understanding of how the risk of the portfolio interacts with the other risks of the enterprise. This article describes how portfolio risk management can be enhanced by fully integrating it into the firm's broader Enterprise Risk Management (ERM) and enterprise value creation efforts. The first element of this integration with ERM is risk consultation with senior leaders to establish what level of investment risk the enterprise should target in light of its overarching goals. The second core element of integrated investment risk management is comprehensive measurement of the portfolio risk exposure relative to this risk target. Finally, risk managers should conduct a thorough review of constraints in place on the portfolio to ensure that these constraints are effective at channeling risk in accordance with the enterprise's ultimate goals.