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Investment theory and risk management / Steven P. Peterson

By: Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Wiley finance series | Wiley Finance Ser ; v.711Publisher: Hoboken, N.J : Wiley, 2012Copyright date: ©2012Edition: Online-AusgDescription: Online-Ressource (1 online resource (xix, 441 p.)) : illISBN:
  • 9781280590412
  • 1280590416
  • 9781118224960
Subject(s): Additional physical formats: 9781118129593 | 1118129598 | 9781118224960 | 1280581670 | Erscheint auch als: Investment theory and risk management. Druck-Ausgabe Hoboken, NJ : Wiley, 2012. XIX, 441 S.DDC classification:
  • 332.601
  • BUS036000
MSC: MSC: *91-01 | 91-08 | 91G10 | 91G30 | 91G40 | 91B24LOC classification:
  • HG4529
Online resources: Summary: 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.Summary: Investment Theory & Risk Management -- Contents -- Preface -- Acknowledgments -- CHAPTER 1: Discount Rates and Returns -- Estimating Returns -- Geometric and Arithmetic Averages -- Caveats to Return Extrapolation -- Discounting Present Values of Cash Flow Streams -- Internal Rate of Return and Yield to Maturity -- Real and Nominal Returns -- Summary -- CHAPTER 2: Fixed Income Securities -- Coupon-Bearing Bonds -- Infinite Cash Flow Streams (Perpetuities) -- General Pricing Formulas for Finite Cash Flow Streams -- Interest Rate Risk -- Analysis of Duration -- Interest Rate Risk Dynamics -- Immunization and Duration -- Applications-Liability Discounting and Cash Matching -- Pension Logic -- Risky Coupons -- Inflation Risk and TIPS -- A Bond Portfolio Strategy (Optional) -- Summary -- Appendix 2.1: Solving Infinite and Finite Power Series -- Reference -- CHAPTER 3: Term Structure -- Discounting Using Spot Rates -- Forward Rates -- NPV Revisited -- Short Rates -- The Bootstrap Method -- Duration Redux -- Summary -- CHAPTER 4: Equity -- The Determination of Stock Prices -- Discount Rates Redux -- Price and Dividend Multiples -- Extrapolating Multiples to Forecast Returns -- Pitfalls of Trend Analysis -- The Gordon Growth Model -- Sources of Return -- Summary -- References -- CHAPTER 5: Portfolio Construction -- Stochastic Returns and Risk -- Diversification -- The Efficient Frontier -- Markowitz Portfolio Selection Criteria -- Capital Market Line and the CAPM -- Performance Evaluation -- Summary -- Appendix 5.1: Statistical Review -- Appendix 5.2: Risk-Adjusted Performance -- Reference -- CHAPTER 6: Optimal Portfolios -- Portfolio 1: Minimum Variance Portfolio (Fully Invested) -- Portfolio 2: Minimum Variance Portfolios with Targeted Return -- Portfolio 3: Minimum Variance Portfolios with No Short Sales.PPN: PPN: 809668890Package identifier: Produktsigel: ZDB-26-MYL | ZDB-30-PAD | ZDB-30-PBE | ZDB-30-PQE
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