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Investment Theory and Risk Management.

Author: Peterson, Steven.
Publisher: Wiley 2012.
Series: Wiley finance series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"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
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Investment Theory and Risk Management.
Wiley 2012
(DLC) 2011050888
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Peterson, Steven.
ISBN: 1280590416 9781280590412 9781118224960 1118224965 9781118129593 1118129598
OCLC Number: 817082169
Description: 1 online resource (463 pages).
Contents: Series Page --
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 --
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 MatchingPension Logic --
Risky Coupons --
Inflation Risk and TIPS --
A Bond Portfolio Strategy (Optional) --
Summary --
Appendix 2.1. : Solving Infinite and Finite Power Series --
Reference --
3. : Term Structure --
Discounting Using Spot Rates --
Forward Rates --
NPV Revisited --
Short Rates --
The Bootstrap Method --
Duration Redux --
Summary --
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. 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 --
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 --
Portfolio 4: Minimum Variance Portfolios with Capped Allocations. Portfolio 5: Maximum Risk-Adjusted ReturnPerformance Attribution --
The Efficient Frontier (Again) --
Summary --
Appendix 6.1. : Matrix Operations --
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 --
8. : Anomalies --
Deviations from the CAPM --
Behavioral Finance --
Summary --
9. : Factor Models --
Arbitrage Pricing Theory (APT) --
Factor Selection --
Model Estimation --
Principal Components. Applications and ExamplesSummary --
10. : Active Portfolio Management --
Active Portfolio Construction and Attribution Analysis --
Performance Attribution --
Summary --
Appendix 10.1. : Active Space --
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 --
12. : Monte Carlo Methods --
Non-Normal Distributions --
The Gaussian Copula --
Summary --
13. : Systemic Risk --
Extreme Value Theory. Estimating the Hazards of Downside Risks.
Series Title: Wiley finance series.

Abstract:

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  Read more...

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