Investment theory and risk management + website / Steven P. Peterson.
By: Peterson, Steven P.Material type: BookSeries: Wiley finance series: Publisher: Hoboken, N.J. : Wiley, 2012Description: 1 online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9781119205197; 1119205190.Subject(s): Investment analysis | Portfolio management | Risk management | Investment analysis | Portfolio management | Risk management | BUSINESS & ECONOMICS -- Investments & Securities | Investment analysis | Portfolio management | Risk management | Investment analysis | Portfolio management | Risk managementGenre/Form: Electronic books. | Electronic books.Additional physical formats: Print version:: Investment theory and risk management + website.DDC classification: 332.601 Other classification: BUS036000 Online resources: Wiley Online Library
"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"-- Provided by publisher.
Print version record and CIP data provided by publisher.
Includes bibliographical references and index.
Cover; Series Page; Title Page; Copyright; Dedication; 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.