Download or read book Introduction to Risk Parity and Budgeting written by Thierry Roncalli and published by CRC Press. This book was released on 2016-04-19 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina

Download or read book Game Choices written by Steven R. Grenadier and published by . This book was released on 2000 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Risk Budgeting written by Neil D. Pearson and published by John Wiley & Sons. This book was released on 2011-08-31 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Institutionelle Anleger, Fonds- und Portfoliomanager müssen Risiken eingehen, wenn sie Spitzengewinne erzielen wollen. Die Frage ist nur wieviel Risiko. "Risk Budgeting: Portfolio Problem Solving with VaR" liefert die Antwort auf diese Frage. Beim Konzept des Risk Budgeting geht es um Risiko- und Kapitalallokation auf der Grundlage erwarteter Erträge und Risiken, mit dem Ziel, höhere Renditen zu erwirtschaften im Rahmen eines vordefinierten Gesamtrisikoniveaus. Mit Hilfe quantitativer Methoden zur Risikomessung, einschließlich der Value at Risk-Methode läßt sich das Risiko ermitteln und bewerten. Value at Risk (VaR) ist ein Verfahren zur Risikobewertung, das Banken ursprünglich zur Messung und Begrenzung von Marktpreisrisiken eingesetzt haben. Heute wird die VaR-Methode auch verstärkt im Risikomanagement eingesetzt. Dieses Buch bietet eine fundierte Einführung in die VaR-Methode sowie in Verfahren zur Risikomessung bei Extremereignissen und Krisenszenarien (Stress Testing). Darüber hinaus erklärt es, wie man mit Hilfe des Risk Budgeting ein effizienteres Portfoliomanagement erreicht. "Risk Budgeting: Portfolio Problem Solving with VaR" ist das einzige Buch auf dem Markt, das Risk Budgeting und VaR - zwei brandaktuelle Themen im Portfoliomanagement - speziell für institutionelle Investment- und Portfolio-Manager aufbereitet. Eine unverzichtbare Lektüre.

Download or read book Portfolio Construction and Risk Budgeting written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Risk Bugeting Risk Appetite and Governance in the Wake of the Financial Crisis written by and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Use of Risk Budgets in Portfolio Optimization written by Albina Unger and published by Springer. This book was released on 2014-09-10 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk, Different Market Phases, Robustness, and Factor Exposures) to investigate the use of these models for asset allocation. Beside the risk budgeting models, alternatives of risk-based investment styles are also presented and examined. The results show that equalizing the risk across the assets does not prevent losses, especially in crisis periods and the performance can mainly be explained by exposures to known asset pricing factors. Thus, the advantages of these approaches compared to known minimum risk portfolios are doubtful.

Download or read book Hedge Fund Risk Fundamentals written by Richard Horwitz and published by John Wiley & Sons. This book was released on 2007-07-01 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the constantly evolving hedge fund marketplace, nothing is more central--but in many ways, more amorphous and elusive--than risk. Yet there remains no standard for analyzing and measuring risk within this highly secretive, largely unregulated field, leaving the thousands of hedge funds--and the tens of thousands of hedge fund investors--in dangerously dim light. The industry has not solved the "transparency" challenge--communicating risk to investors without disclosing proprietary information. Hedge Fund Risk Fundamentals is the first book to bring these issues to the forefront. With clarity, concision, and minimal math, Richard Horwitz lays out the key components and the cutting-edge processes in the field of hedge fund risk management today. Against that backdrop, he presents a groundbreaking utility destined to set the standard for transparency and risk management within the hedge fund universe. You’ll learn why, when it comes to risk management, 1 + 1 = 1.41. For all of those perplexed by the difficulties of assessing risk in hedge fund investing, Horwitz’s concepts make for an invaluable road map and a demystifying resource that hedge funds and investors at all levels will find indispensable.

Download or read book Risk Budgeting written by Neil D. Pearson and published by Wiley. This book was released on 2003-10-07 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers the hottest topic in investment for multitrillion pension market and institutional investors Institutional investors and fund managers understand they must take risks to generate superior investment returns, but the question is how much. Enter the concept of risk budgeting, using quantitative risks measurements, including VaR, to solve the problem. VaR, or value at risk, is a concept first introduced by bank dealers to establish parameters for their market short-term risk exposure. This book introduces VaR, extreme VaR, and stress-testing risk measurement techniques to major institutional investors, and shows them how they can implement formal risk budgeting to more efficiently manage their investment portfolios. Risk Budgeting is the most sophisticated and advanced read on the subject out there in the market.

Download or read book Risk Based and Factor Investing written by Emmanuel Jurczenko and published by Elsevier. This book was released on 2015-11-24 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students

Download or read book The Municipal Financial Crisis written by Mark Moses and published by Springer Nature. This book was released on 2022-01-06 with total page 175 pages. Available in PDF, EPUB and Kindle. Book excerpt: City governments are going bankrupt. Even the ones that aren’t are often stuck in financial chaos. It is easy to blame pensions, poor leadership, or a bad economy. But the problems go much deeper. With decades of experience in local government, author Mark Moses showcases the inside world of the city decision-making process that has spawned these crises. It becomes clear: City governments are maxing out their budgets because they are trying to maximize services. This book, likely the most ambitious attempt by someone who has worked in government to radically examine the delivery of municipal services since 'Reinventing Government' was published more than 25 years ago, explores why city governments pursue an open-ended mission and why bailouts and trendy budgeting processes will be, at best, only temporary solutions. Of interest to current and future city council members, regional and state government officials, those covering city government, financial analysts, city management, and individuals and organizations interested in influencing city policy, this book argues that cities won’t thrive until city hall is disrupted.

Download or read book CAIA Level I written by CAIA Association and published by John Wiley & Sons. This book was released on 2012-04-03 with total page 898 pages. Available in PDF, EPUB and Kindle. Book excerpt: The official study text for the Level I Chartered Alternative Investment Analyst (CAIA) exam The Chartered Alternative Investment Analyst (CAIA) designation is the financial industry's first and only globally recognized program that prepares professionals to deal with the ever-growing field of alternative investments. The second edition of CAIA Level I: An Introduction to Core Topics in Alternative Investments contains comprehensive insights on the alternative investment issues a potential Level I candidate would need to know about as they prepare for the exam. The information found here will help you build a solid foundation in alternative investment markets—with coverage of everything from the characteristics of various strategies within each alternative asset class to portfolio management concepts central to alternative investments. Uses investment analytics to examine each alternative asset class Examines quantitative techniques used by investment professionals Addresses the unique attributes associated with the alternative investment space Offers an online study guide outlining learning objectives and keywords This book is a must-have resource for anyone contemplating taking the CAIA Level I exam. So if you're ready to take your first step toward the CAIA charter, take the time to understand the insights offered here.

Download or read book Financial Risk Forecasting written by Jon Danielsson and published by John Wiley & Sons. This book was released on 2011-04-20 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.

Download or read book A Glossary of Terms Used in the Federal Budget Process written by and published by DIANE Publishing. This book was released on 1993-12 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: A basic reference document for persons interested in the federal budget-making process. Emphasizes budget terms in addition to relevant economic and accounting terms to help the user appreciate the dynamics of the budget process. Also distinguishes between any differences in budgetary and non-budgetary meanings of terms. Over 300 terms defined. Index. Appendices: overview of the federal budget process, budget functional classification, and more.

Download or read book Capital Budgeting Valuation written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2011-06-28 with total page 533 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide to valuation techniques and financial analysis With the collapse of the economy and financial systems, many institutions are reevaluating what they are willing to spend money on. Project valuation is key to both cost effectiveness measures and shareholder value. The purpose of this book is to provide a comprehensive examination of critical capital budgeting topics. Coverage extends from discussing basic concepts, principles, and techniques to their application to increasingly complex, real-world situations. Throughout, the book emphasizes how financially sound capital budgeting facilitates the process of value creation and discusses why various theories make sense and how firms can use them to solve problems and create wealth. Offers a strategic focus on the application of various techniques and approaches related to a firm's overall strategy Provides coverage of international topics based on the premise that managers should view business from a global perspective Emphasizes the importance of using real options Comprised of contributed chapters from both experienced professionals and academics, Capital Budgeting Valuation offers a variety of perspectives and a rich interplay of ideas related to this important financial discipline.

Download or read book Handbook of Alternative Assets written by Mark J. P. Anson and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the first edition of the Handbook of Alternative Assets was published, significant events-from the popping of the technology bubble and massive accounting scandals to recessions and bear markets-have shifted the financial landscape. These changes have provided author Mark J. P. Anson with an excellent opportunity to examine alternative assets during a different part of the economic cycle than previously observed in the first edition. Fully revised and updated to reflect today's financial realities, the Handbook of Alternative Assets, Second Edition covers the five major classes of alternative assets-hedge funds, commodity and managed futures, private equity, credit derivatives, and corporate governance-and outlines the strategies you can use to efficiently incorporate these assets into any portfolio. Throughout the book, new chapters have been added, different data sources accessed, and new conclusions reached. Designed as both an introduction to the world of alternative assets and as a reference for the active investor, the Handbook of Alternative Assets, Second Edition will help you match alternative assets with your various investment goals.

Download or read book Capital Budgeting written by Pamela P. Peterson and published by John Wiley & Sons. This book was released on 2004-01-21 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Capital investment decisions are a constant challenge to all levels of financial managers. Capital Budgeting: Theory and Practice shows you how to confront them using state-of-the-art techniques. Broken down into four comprehensive sections, Capital Budgeting: Theory and Practice explores and illustrates all aspects of the capital budgeting decision process. Pamela Peterson and Frank Fabozzi examine the critical issues and limitations of capital budgeting techniques with an in-depth analysis of: Classifying capital budgeting proposals Determining the relevant cash flows for capital budgeting proposals Assessing the economic value of a capital budgeting proposal using different techniques Incorporating risk into the capital budgeting decision Evaluating whether to lease or borrow-to-buy Capital Budgeting: Theory and Practice provides the knowledge, insight, and advice that will allow you to handle one of the most important aspects of your firm's financial management. Advanced enough for practitioners yet accessible enough for the novice, Capital Budgeting: Theory and Practice is your complete guide to understanding and benefiting from the essential techniques of capital budgeting.

Download or read book Explore Budgeting Student Book written by and published by . This book was released on 2012-09-01 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: New from Attainment's Explore Series!Explore Budgeting focuses on the skills needed to set and stick to a budget. But learning how to do it isn't easy. First, how much money do you have available and what's its relative value? What are projected expenses, and how do you keep track of them? And how can you avoid splurges and other unnecessary purchases? Author Judi Kinney tackles all these issues--and more--in this exceptionally practical, easy-to-teach curriculum.