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 assetsOffers 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
rigorWritten 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.
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