Investment theory and risk management:
"A unique perspective on applied investment theory and risk management from the Senior Risk Officer of a major pension fundInvestment Theory and Risk Management is a practical guide to today's investment environment. The book's sophisticated quantitative methods are examined by an aut...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2012
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Cover Inhaltsverzeichnis |
| Zusammenfassung: | "A unique perspective on applied investment theory and risk management from the Senior Risk Officer of a major pension fundInvestment 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"-- |
| Beschreibung: | XIX, 441 S. graph. Darst. |
| ISBN: | 9781118129593 9781118224960 9781118238417 9781118263044 |
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Datensatz im Suchindex
| _version_ | 1804149059135471616 |
|---|---|
| adam_text | IMAGE 1
CONTENTS
PREFACE XV
ACKNOWLEDGMENTS XIX
CHAPTER 1 DISCOUNT RATES AND RETURNS 1
ESTIMATING RETURNS 1
GEOMETRIC AND ARITHMETIC AVERAGES 4
CAVEATS TO RETURN EXTRAPOLATION 5
DISCOUNTING PRESENT VALUES OF CASH FLOW STREAMS 7
INTERNAL RATE OF RETURN AND YIELD TO MATURITY 11
REAL AND NOMINAL RETURNS 14
SUMMARY 14
CHAPTER 2 FIXED INCOME SECURITIES 17
COUPON-BEARING BONDS 19
INFINITE CASH FLOW STREAMS (PERPETUITIES) 21
GENERAL PRICING FORMULAS FOR FINITE CASH FLOW STREAMS 22 INTEREST RATE
RISK 24
ANALYSIS OF DURATION 29
INTEREST RATE RISK DYNAMICS 31
IMMUNIZATION AND DURATION 32
APPLICATIONS-LIABILITY DISCOUNTING AND CASH MATCHING 36 PENSION LOGIC 39
RISKY COUPONS 42
INFLATION RISK AND TIPS , 43
A BOND PORTFOLIO STRATEGY (OPTIONAL) 45
SUMMARY 48
APPENDIX 2.1: SOLVING INFINITE AND FINITE POWER SERIES 49 REFERENCE 50
VII
IMAGE 2
VLFL CONTENTS
CHAPTBT 3 TERM STRUCTURE SI
DISCOUNTING USING SPOT RATES 51
FORWARD RATES 53
NPV REVISITED 56
SHORT RATES 57
THE BOOTSTRAP METHOD 58
DURATION REDUX 62
SUMMARY . 66
CHAPTER 4 EQUITY 67
THE DETERMINATION OF STOCK PRICES 68
DISCOUNT RATES REDUX 70
PRICE AND DIVIDEND MULTIPLES 73
EXTRAPOLATING MULTIPLES TO FORECAST RETURNS 74
PITFALLS OF TREND ANALYSIS 75
THE GORDON GROWTH MODEL 78
SOURCES OF RETURN 82
SUMMARY 85
REFERENCES 86
CHAPTER 5 PORTFOLIO CONSTRUCTION 87
STOCHASTIC RETURNS AND RISK 87
DIVERSIFICATION 92
THE EFFICIENT FRONTIER 93
MARKOWITZ PORTFOLIO SELECTION CRITERIA 97
CAPITAL MARKET LINE AND THE CAPM 101
PERFORMANCE EVALUATION 106
SUMMARY 108
APPENDIX 5.1: STATISTICAL REVIEW 108
APPENDIX 5.2: RISK-ADJUSTED PERFORMANCE 112
REFERENCE 113
CHAPTERS OPTIMAL PORTFOLIOS 115
PORTFOLIO 1: MINIMUM VARIANCE PORTFOLIO (FULLY INVESTED) 115 PORTFOLIO
2: MINIMUM VARIANCE PORTFOLIOS WITH TARGETED RETURN 118
IMAGE 3
CONTENTS IX
PORTFOLIO 3: MINIMUM VARIANCE PORTFOLIOS WITH NO SHORT SALES PORTFOLIO
4: MINIMUM VARIANCE PORTFOLIOS WITH CAPPED ALLOCATIONS PORTFOLIO 5:
MAXIMUM RISK-ADJUSTED RETURN PERFORMANCE ATTRIBUTION THE EFFICIENT
FRONTIER (AGAIN)
SUMMARY APPENDIX 6.1: MATRIX OPERATIONS
CHAPTER 7 DATA AND APPLICATIONS
ANALYZING RETURNS ON A 10-ASSET PORTFOLIO PERFORMANCE ATTRIBUTION
CHANGING THE INVESTMENT HORIZON RETURNS FREQUENCY BENCHMARKING TO THE
MARKET PORTFOLIO THE COST OF CONSTRAINTS
A BOND STRATEGY SUMMARY
CHAPTER 8 ANOMALIES
DEVIATIONS FROM THE CAPM BEHAVIORAL FINANCE SUMMARY REFERENCES
CHAPTER 9 FACTOR MODELS
ARBITRAGE PRICING THEORY (APT) FACTOR SELECTION MODEL ESTIMATION
PRINCIPAL COMPONENTS
APPLICATIONS AND EXAMPLES SUMMARY REFERENCES
CHAPTER 10 ACTIVE PORTFOLIO MANAGEMENT
119
122 123 125 127 129
129
135
135 137 139 141 144 145 147
149
150 155 161 162
185
166 170 172 177
181 186 186
187
ACTIVE PORTFOLIO CONSTRUCTION AND ATTRIBUTION ANALYSIS 190 PERFORMANCE
ATTRIBUTION 192
IMAGE 4
CONTENTS
SUMMARY APPENDIX 10.1: ACTIVE SPACE
CHAPTER 11 RISK
THE FAILURE OF VAR TAXONOMY OF RISK VISUALIZING RISK
ESTIMATING VOLATILITIES MAXIMUM LIKELIHOOD ESTIMATION (OPTIONAL) CREDIT
RISK ADJUSTING FOR LEVERAGE ADJUSTING FOR ILLIQUIDITY
OTHER RISKS SUMMARY REFERENCES
CHAPTER 12 MONTE CARLO METHODS
EXAMPLE 12.1: GENERATING RANDOM NUMBERS-ESTIMATING 11 EXAMPLE 12.2:
CONFIRMING THE CENTRAL LIMIT THEOREM EXAMPLE 12.3: CREDIT DEFAULT RISK
NON-NORMAL DISTRIBUTIONS THE GAUSSIAN COPULA
SUMMARY REFERENCES
CHAPTER 13 SYSTEMIC RISK
194 195
197
198 200 202 208 213 215
217 221 221 222 222
225
226 227 228 232
234 239 239
241
EXTREME VALUE THEORY 242
ESTIMATING THE HAZARDS OF DOWNSIDE RISKS 246
A SYSTEMIC RISK INDICATOR 252
SUMMARY 255
REFERENCES 256
CHAPTER 14 INCORPORATING SUBJECTIVE VIEWS 257
METHODOLOGICAL CONCEPTS 258
AN EXAMPLE USING BLACK-LITTERMAN 263
IMAGE 5
CONTENTS XI
ACTIVE SPACE 266
RISK ATTRIBUTION 267
SUMMARY 268
REFERENCES 269
CHAPTER 15 FUTURES, FORWARDS, AND SWAPS 271
INSTITUTIONAL DETAIL AND FUTURES MECHANICS 271
THE RELATIONSHIP BETWEEN SPOT PRICES AND FORWARD (FUTURES) PRICES 274
HEDGING BASIS RISK 276
HEDGING PORTFOLIO RISK 278
FUTURES PRICING 280
SWAPS 287
SUMMARY 291
REFERENCES 292
CHAPTER 16 INTRODUCTION TO OPTIONS 293
OPTION PAYOFFS AND PUT-CALL PARITY 294
PRICING EUROPEAN CALL OPTIONS 297
PRICING EUROPEAN PUT OPTIONS 301
OPTION STRATEGIES 302
REAL OPTIONS 308
SUMMARY 314
REFERENCES 314
CHAPTER 17 MODELS OF STOCK PRICE DYNAMICS 315
STOCK PRICE DYNAMICS 315
ITO PROCESSES 318
LOGNORMAL STOCK PRICES 321
DERIVING THE PARAMETERS OF THE BINOMIAL LATTICE 325
BLACK-SCHOLES-MERTON MODEL 327
THE GREEK LETTERS 330
MONTE CARLO METHODS 335
SUMMARY 338
APPENDIX 17.1: DERIVATION OF ITO S LEMMA 339
IMAGE 6
XII CONTENTS
CHAPTER 18 HEDGING PORTFOLIO RISK 341
SIMPLE HEDGING STRATEGIES 341
S&P 500 INDEX PUTS 343
SELLING VOLATILITY 345
VK CALLS 346
LIABILITY-DRIVEN INVESTMENT 350
SUMMARY 353
REFERENCES 354
CHAPTER 19 PRIVATE EQUITY 355
THE PRIVATE EQUITY MODEL 357
RETURN AND RISK METHODOLOGY 360
SUMMARY 366
APPENDIX 19.1: CAPM 366
REFERENCES 369
CHAPTER 20 STRUCTURED CREDIT 371
SECUNTIZATION CREDIT ENHANCEMENT BASICS OF PRICING INTEREST RATE
DERIVATIVES INTEREST RATE DYNAMICS
CMO VALUATION THE CRASH OF THE HOUSING BUBBLE SUMMARY REFERENCE
CHAPTER 21 OPTIMAL REBALANCING TRIGGER STRATEGIES AND NO-TRADE REGIONS
AN OPTIMAL CONTROL PROBLEM
IMPLICATIONS OPTIMAL REBALANCING IN A STATIC OPTIMIZATION MODEL
THE COMPARATIVE STATICS OF TRANSACTION COSTS REFERENCE
372 374 379 381 383 385 387
388
389
390 392 395
396 398 400
IMAGE 7
CONTENTS XIII
CHAPTER 22 DATA PROBLEMS
COVARIANCE ESTIMATION AN EXAMPLE EMPIRICAL RESULTS
OVERLAPPING OBSERVATIONS CONCLUSIONS APPENDIX 22.1: COVARIANCE MATRIX
ESTIMATION REFERENCES
ABOUT THE AUTHOR
INDEX
401 402 405 407 413 416 417 420
423
425
|
| any_adam_object | 1 |
| author | Peterson, Steven P. |
| author_GND | (DE-588)171013816 |
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| bvnumber | BV040106496 |
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| ctrlnum | (OCoLC)796206267 (DE-599)GBV682686743 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV040106496 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:17:00Z |
| institution | BVB |
| isbn | 9781118129593 9781118224960 9781118238417 9781118263044 |
| language | English |
| lccn | 2011050888 |
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| oclc_num | 796206267 |
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| owner_facet | DE-703 |
| physical | XIX, 441 S. graph. Darst. |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | Peterson, Steven P. Verfasser (DE-588)171013816 aut Investment theory and risk management Steven P. Peterson Hoboken, NJ Wiley 2012 XIX, 441 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series "A unique perspective on applied investment theory and risk management from the Senior Risk Officer of a major pension fundInvestment 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"-- Investitionstheorie (DE-588)4162257-1 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Agile Softwareentwicklung (DE-588)4806620-5 gnd rswk-swf Scrum Vorgehensmodell (DE-588)7612008-9 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Investitionstheorie (DE-588)4162257-1 s Kapitalanlage (DE-588)4073213-7 s Finanzanalyse (DE-588)4133000-6 s Portfoliomanagement (DE-588)4115601-8 s Risikomanagement (DE-588)4121590-4 s DE-604 Agile Softwareentwicklung (DE-588)4806620-5 s Scrum Vorgehensmodell (DE-588)7612008-9 s http://catalogimages.wiley.com/images/db/jimages/9781118129593.jpg Cover SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024962926&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Peterson, Steven P. Investment theory and risk management Investitionstheorie (DE-588)4162257-1 gnd Portfoliomanagement (DE-588)4115601-8 gnd Finanzanalyse (DE-588)4133000-6 gnd Risikomanagement (DE-588)4121590-4 gnd Agile Softwareentwicklung (DE-588)4806620-5 gnd Scrum Vorgehensmodell (DE-588)7612008-9 gnd Kapitalanlage (DE-588)4073213-7 gnd |
| subject_GND | (DE-588)4162257-1 (DE-588)4115601-8 (DE-588)4133000-6 (DE-588)4121590-4 (DE-588)4806620-5 (DE-588)7612008-9 (DE-588)4073213-7 |
| title | Investment theory and risk management |
| title_auth | Investment theory and risk management |
| title_exact_search | Investment theory and risk management |
| title_full | Investment theory and risk management Steven P. Peterson |
| title_fullStr | Investment theory and risk management Steven P. Peterson |
| title_full_unstemmed | Investment theory and risk management Steven P. Peterson |
| title_short | Investment theory and risk management |
| title_sort | investment theory and risk management |
| topic | Investitionstheorie (DE-588)4162257-1 gnd Portfoliomanagement (DE-588)4115601-8 gnd Finanzanalyse (DE-588)4133000-6 gnd Risikomanagement (DE-588)4121590-4 gnd Agile Softwareentwicklung (DE-588)4806620-5 gnd Scrum Vorgehensmodell (DE-588)7612008-9 gnd Kapitalanlage (DE-588)4073213-7 gnd |
| topic_facet | Investitionstheorie Portfoliomanagement Finanzanalyse Risikomanagement Agile Softwareentwicklung Scrum Vorgehensmodell Kapitalanlage |
| url | http://catalogimages.wiley.com/images/db/jimages/9781118129593.jpg http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024962926&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT petersonstevenp investmenttheoryandriskmanagement |