Peterson Investment Theory and Risk Management

1. Auflage 2012
ISBN: 978-1-118-22496-0
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 464 Seiten, E-Book

Reihe: Wiley Finance Editions

A unique perspective on applied investment theory and riskmanagement from the Senior Risk Officer of a major pension fund
Investment Theory and Risk Management is a practicalguide to today's investment environment. The book's sophisticatedquantitative methods are examined by an author who uses thesemethods at the Virginia Retirement System and teaches themat the Virginia Commonwealth University. In addition to showing howinvestment performance can be evaluated, using Jensen's Alpha,Sharpe's Ratio, and DDM, he delves into four types of optimalportfolios (one that is fully invested, one with targeted returns,another with no short sales, and one with capped investmentallocations).
In addition, the book provides valuable insights on risk, andtopics such as anomalies, factor models, and active portfoliomanagement. Other chapters focus on private equity, structuredcredit, optimal rebalancing, data problems, and Monte Carlosimulation.
* Contains investment theory and risk management spreadsheetmodels 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 basisfor making common financial decisions with a new level ofquantitative sophistication and rigor
* Written by the Director of Research and Senior Risk Officer forthe Virginia Retirement System and an Associate Professor atVirginia Commonwealth University's School of Business
Investment Theory and Risk Management empowers both thetechnical and non-technical reader with the essential knowledgenecessary to understand and manage risks in any corporate oreconomic environment.

Autoren/Hrsg.

Peterson, Steven

Über Autor(innen)

Steven Peterson is 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. He is directly responsible for the measurement, forecasting, and attribution of risk at both the program and plan levels, with risk broadly defined to include various market and nonmarket risks. Peterson has done consulting for Crestar Investment Bank, SunTrust Bank, Ford Motor Company, Virginia Center for Urban Development (VCU Center for Public Policy), Virginia Department of Social Services, Virginia Division of Child Support Enforcement, LandAmerica, Virginia Retirement System, and Virginia Department of Corrections.