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Investment Theory and Risk Management, + Website

ISBN: 9781118129593 | 1118129598
Edition: 1st
Format: Hardcover
Publisher: Wiley
Pub. Date: 5/8/2012

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As a timely guide to today's investment environment, this book introduces readers to cutting edge topics in investor theory and risk management. What makes the book unique is that all of the book sophisticated quantitative methods are discussed by an author who both uses these methods at the Virginia Retirement System and teaches these methods at Virginia Commonwealth University. In addition to showing how investment performance can be evaluated, using Jensen's Alpha, Sharpe's Ratio, and DDM, Peterson also delves deeply into 4 different type of optimal portfolios-one that is fully invested, one with targeted returns, another with no short sales, and finally 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. Additional chapters focus on Private Equity, Structured Credit, Optimal Rebalancing, Data Problems, and Monte Carlo Simulation.

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