Advanced Portfolio Management

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Advanced Portfolio Management

Giuseppe A. Paleologo
Advanced Portfolio Management Book PDF

Author : Giuseppe A. Paleologo
Publisher : John Wiley & Sons
Page : 208 pages
File Size : 51,8 Mb
Release : 2021-08-03
Category : Business & Economics
ISBN : 9781119789802

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Advanced Portfolio Management Book in PDF, Epub and Kindle

You have great investment ideas. If you turn them into highly profitable portfolios, this book is for you. Advanced Portfolio Management: A Quant’s Guide for Fundamental Investors is for fundamental equity analysts and portfolio managers, present, and future. Whatever stage you are at in your career, you have valuable investment ideas but always need knowledge to turn them into money. This book will introduce you to a framework for portfolio construction and risk management that is grounded in sound theory and tested by successful fundamental portfolio managers. The emphasis is on theory relevant to fundamental portfolio managers that works in practice, enabling you to convert ideas into a strategy portfolio that is both profitable and resilient. Intuition always comes first, and this book helps to lay out simple but effective "rules of thumb" that require little effort to implement and understand. At the same time, the book shows how to implement sophisticated techniques in order to meet the challenges a successful investor faces as his or her strategy grows in size and complexity. Advanced Portfolio Management also contains more advanced material and a quantitative appendix, which benefit quantitative researchers who are members of fundamental teams. You will learn how to: Separate stock-specific return drivers from the investment environment’s return drivers Understand current investment themes Size your cash positions based on Your investment ideas Understand your performance Measure and decompose risk Hedge the risk you don’t want Use diversification to your advantage Manage losses and control tail risk Set your leverage Author Giuseppe A. Paleologo has consulted, collaborated, taught, and drank strong wine with some of the best stock-pickers in the world; he has traded tens of billions of dollars hedging and optimizing their books and has helped them navigate through big drawdowns and even bigger recoveries. Whether or not you have access to risk models or advanced mathematical background, you will benefit from the techniques and the insights contained in the book—and won't find them covered anywhere else.

Advanced Portfolio Management

Giuseppe A. Paleologo
Advanced Portfolio Management Book PDF

Author : Giuseppe A. Paleologo
Publisher : John Wiley & Sons
Page : 211 pages
File Size : 51,7 Mb
Release : 2021-08-10
Category : Business & Economics
ISBN : 9781119789796

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Advanced Portfolio Management Book in PDF, Epub and Kindle

You have great investment ideas. If you turn them into highly profitable portfolios, this book is for you. Advanced Portfolio Management: A Quant’s Guide for Fundamental Investors is for fundamental equity analysts and portfolio managers, present, and future. Whatever stage you are at in your career, you have valuable investment ideas but always need knowledge to turn them into money. This book will introduce you to a framework for portfolio construction and risk management that is grounded in sound theory and tested by successful fundamental portfolio managers. The emphasis is on theory relevant to fundamental portfolio managers that works in practice, enabling you to convert ideas into a strategy portfolio that is both profitable and resilient. Intuition always comes first, and this book helps to lay out simple but effective "rules of thumb" that require little effort to implement and understand. At the same time, the book shows how to implement sophisticated techniques in order to meet the challenges a successful investor faces as his or her strategy grows in size and complexity. Advanced Portfolio Management also contains more advanced material and a quantitative appendix, which benefit quantitative researchers who are members of fundamental teams. You will learn how to: Separate stock-specific return drivers from the investment environment’s return drivers Understand current investment themes Size your cash positions based on Your investment ideas Understand your performance Measure and decompose risk Hedge the risk you don’t want Use diversification to your advantage Manage losses and control tail risk Set your leverage Author Giuseppe A. Paleologo has consulted, collaborated, taught, and drank strong wine with some of the best stock-pickers in the world; he has traded tens of billions of dollars hedging and optimizing their books and has helped them navigate through big drawdowns and even bigger recoveries. Whether or not you have access to risk models or advanced mathematical background, you will benefit from the techniques and the insights contained in the book—and won't find them covered anywhere else.

Quantitative Equity Portfolio Management

Edward E. Qian,Ronald H. Hua,Eric H. Sorensen
Quantitative Equity Portfolio Management Book PDF

Author : Edward E. Qian,Ronald H. Hua,Eric H. Sorensen
Publisher : CRC Press
Page : 464 pages
File Size : 50,6 Mb
Release : 2007-05-11
Category : Mathematics
ISBN : 9781420010794

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Quantitative Equity Portfolio Management Book in PDF, Epub and Kindle

Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for quantitative investment students. Providing a solid foundation in the subject, Quantitative Equity Portfolio Management: Modern Techniques and Applications presents a self-contained overview and a detailed mathematical treatment of various topics. From the theoretical basis of behavior finance to recently developed techniques, the authors review quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. They present advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation that include examples such as optimal multi-factor models, contextual and nonlinear models, factor timing techniques, portfolio turnover control, Monte Carlo valuation of firm values, and optimal trading. In many cases, the text frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples. Ideal for students in computational and quantitative finance programs, Quantitative Equity Portfolio Management serves as a guide to combat many common modeling issues and provides a rich understanding of portfolio management using mathematical analysis.

Advanced Project Portfolio Management and the PMO

Gerald I. Kendall,Steven C. Rollins
Advanced Project Portfolio Management and the PMO Book PDF

Author : Gerald I. Kendall,Steven C. Rollins
Publisher : J. Ross Publishing
Page : 456 pages
File Size : 54,9 Mb
Release : 2003-04-15
Category : Business & Economics
ISBN : 1932159029

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Advanced Project Portfolio Management and the PMO Book in PDF, Epub and Kindle

Advanced Project Portfolio Management is a comprehensive book which presents a roadmap for the achievement of high value enterprise strategies and superior project management results. It provides methods for best project selection, faster completion, optimal project portfolio management, and how to explicitly measure the PMO for rapidly increasing project ROI.

Quantitative Equity Portfolio Management

Ludwig B Chincarini,Daehwan Kim
Quantitative Equity Portfolio Management Book PDF

Author : Ludwig B Chincarini,Daehwan Kim
Publisher : McGraw Hill Professional
Page : 658 pages
File Size : 52,8 Mb
Release : 2010-08-18
Category : Business & Economics
ISBN : 0071492380

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Quantitative Equity Portfolio Management Book in PDF, Epub and Kindle

Quantitative Equity Portfolio Management brings the orderly structure of fundamental asset management to the often-chaotic world of active equity management. Straightforward and accessible, it provides you with nuts-and-bolts details for selecting and aggregating factors, building a risk model, and much more.

Advanced Bond Portfolio Management

Frank J. Fabozzi,Lionel Martellini,Philippe Priaulet
Advanced Bond Portfolio Management Book PDF

Author : Frank J. Fabozzi,Lionel Martellini,Philippe Priaulet
Publisher : John Wiley & Sons
Page : 576 pages
File Size : 55,6 Mb
Release : 2006-03-08
Category : Business & Economics
ISBN : 9780471785767

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Advanced Bond Portfolio Management Book in PDF, Epub and Kindle

In order to effectively employ portfolio strategies that cancontrol interest rate risk and/or enhance returns, you mustunderstand the forces that drive bond markets, as well as thevaluation and risk management practices of these complexsecurities. In Advanced Bond Portfolio Management,Frank Fabozzi, Lionel Martellini, and Philippe Priaulet havebrought together more than thirty experienced bond marketprofessionals to help you do just that. Divided into six comprehensive parts, Advanced BondPortfolio Management will guide you through thestate-of-the-art techniques used in the analysis of bonds and bondportfolio management. Topics covered include: General background information on fixed-income markets and bondportfolio strategies The design of a strategy benchmark Various aspects of fixed-income modeling that will provide keyingredients in the implementation of an efficient portfolio andrisk management process Interest rate risk and credit risk management Risk factors involved in the management of an internationalbond portfolio Filled with in-depth insight and expert advice, AdvancedBond Portfolio Management is a valuable resource for anyoneinvolved or interested in this important industry.

Quantitative Portfolio Management

Michael Isichenko
Quantitative Portfolio Management Book PDF

Author : Michael Isichenko
Publisher : John Wiley & Sons
Page : 304 pages
File Size : 49,9 Mb
Release : 2021-09-10
Category : Business & Economics
ISBN : 9781119821212

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Quantitative Portfolio Management Book in PDF, Epub and Kindle

Discover foundational and advanced techniques in quantitative equity trading from a veteran insider In Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage, distinguished physicist-turned-quant Dr. Michael Isichenko delivers a systematic review of the quantitative trading of equities, or statistical arbitrage. The book teaches you how to source financial data, learn patterns of asset returns from historical data, generate and combine multiple forecasts, manage risk, build a stock portfolio optimized for risk and trading costs, and execute trades. In this important book, you’ll discover: Machine learning methods of forecasting stock returns in efficient financial markets How to combine multiple forecasts into a single model by using secondary machine learning, dimensionality reduction, and other methods Ways of avoiding the pitfalls of overfitting and the curse of dimensionality, including topics of active research such as “benign overfitting” in machine learning The theoretical and practical aspects of portfolio construction, including multi-factor risk models, multi-period trading costs, and optimal leverage Perfect for investment professionals, like quantitative traders and portfolio managers, Quantitative Portfolio Management will also earn a place in the libraries of data scientists and students in a variety of statistical and quantitative disciplines. It is an indispensable guide for anyone who hopes to improve their understanding of how to apply data science, machine learning, and optimization to the stock market.

Portfolio Management

Scott D. Stewart,Christopher D. Piros,Jeffrey C. Heisler
Portfolio Management Book PDF

Author : Scott D. Stewart,Christopher D. Piros,Jeffrey C. Heisler
Publisher : John Wiley & Sons
Page : 720 pages
File Size : 42,5 Mb
Release : 2019-03-19
Category : Business & Economics
ISBN : 9781119397441

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Portfolio Management Book in PDF, Epub and Kindle

A career’s worth of portfolio management knowledge in one thorough, efficient guide Portfolio Management is an authoritative guide for those who wish to manage money professionally. This invaluable resource presents effective portfolio management practices supported by their underlying theory, providing the tools and instruction required to meet investor objectives and deliver superior performance. Highlighting a practitioner’s view of portfolio management, this guide offers real-world perspective on investment processes, portfolio decision making, and the business of managing money for real clients. Real world examples and detailed test cases—supported by sophisticated Excel templates and true client situations—illustrate real investment scenarios and provide insight into the factors separating success from failure. The book is an ideal textbook for courses in advanced investments, portfolio management or applied capital markets finance. It is also a useful tool for practitioners who seek hands-on learning of advanced portfolio techniques. Managing other people’s money is a challenging and ever-evolving business. Investment professionals must keep pace with the current market environment to effectively manage their client’s assets while students require a foundation built on the most relevant, up-to-date information and techniques. This invaluable resource allows readers to: Learn and apply advanced multi-period portfolio methods to all major asset classes. Design, test, and implement investment processes. Win and keep client mandates. Grasp the theoretical foundations of major investment tools Teaching and learning aids include: Easy-to-use Excel templates with immediately accessible tools. Accessible PowerPoint slides, sample exam and quiz questions and sample syllabi Video lectures Proliferation of mathematics in economics, growing sophistication of investors, and rising competition in the industry requires advanced training of investment professionals. Portfolio Management provides expert guidance to this increasingly complex field, covering the important advancements in theory and intricacies of practice.

The Science of Algorithmic Trading and Portfolio Management

Robert Kissell
The Science of Algorithmic Trading and Portfolio Management Book PDF

Author : Robert Kissell
Publisher : Academic Press
Page : 496 pages
File Size : 52,6 Mb
Release : 2013-10-01
Category : Business & Economics
ISBN : 9780124016934

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The Science of Algorithmic Trading and Portfolio Management Book in PDF, Epub and Kindle

The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects. Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. Helps readers design systems to manage algorithmic risk and dark pool uncertainty. Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.

Advances in Active Portfolio Management: New Developments in Quantitative Investing

Ronald N. Kahn,Richard C. Grinold
Advances in Active Portfolio Management New Developments in Quantitative Investing Book PDF

Author : Ronald N. Kahn,Richard C. Grinold
Publisher : McGraw Hill Professional
Page : 464 pages
File Size : 51,9 Mb
Release : 2019-09-13
Category : Business & Economics
ISBN : 9781260453720

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Advances in Active Portfolio Management: New Developments in Quantitative Investing Book in PDF, Epub and Kindle

From the leading authorities in their field—the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio management Whether you’re a portfolio manager, financial adviser, or investing novice, this important follow-up to the classic guide to active portfolio management delivers everything you need to beat the market at every turn. Advances in Active Portfolio Management gets you fully up to date on the issues, trends, and challenges in the world of active management—and shows how to apply advances in the Grinold and Kahn’s legendary approach to meet current challenges. Composed of articles published in today’s leading management publications—including several that won Journal of Portfolio Management’s prestigious Bernstein Fabozzi/Jacobs Levy Award—this comprehensive guide is filled with new insights into: • Dynamic Portfolio Management • Signal Weighting • Implementation Efficiency • Holdings-based attribution • Expected returns • Risk management • Portfolio construction • Fees Providing everything you need to master active portfolio management in today’s investing landscape, the book is organized into three sections: the fundamentals of successful active management, advancing the authors’ framework, and applying the framework in today’s investing landscape. The culmination of many decades of investing experience and research, Advances in Active Portfolio Managementmakes complex issues easy to understand and put into practice. It’s the one-stop resource you need to succeed in the world of investing today.

Strategic Risk Management

Campbell R. Harvey,Sandy Rattray,Otto Van Hemert
Strategic Risk Management Book PDF

Author : Campbell R. Harvey,Sandy Rattray,Otto Van Hemert
Publisher : John Wiley & Sons
Page : 259 pages
File Size : 40,7 Mb
Release : 2021-05-04
Category : Business & Economics
ISBN : 9781119773917

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Strategic Risk Management Book in PDF, Epub and Kindle

STRATEGIC RISK MANAGEMENT Having just experienced a global pandemic that sent equity markets into a tailspin in March 2020, risk management is a more relevant topic than ever. It remains, however, an often poorly understood afterthought. Many portfolios are designed without any thought given to risk management before they are handed off to a dedicated—but separate—risk management team. In Strategic Risk Management: Designing Portfolios and Managing Risk, Campbell R. Harvey, Sandy Rattray, and Otto Van Hemert deliver a reimagining of the risk management process. The book envisions a marriage between the investment and risk processes, an approach that has proven successful at the world’s largest publicly listed hedge fund, Man Group. The authors provide readers with a new framework for portfolio design that includes defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. You will learn about how the book’s new approach to risk management fared during the recent market drawdown at the height of the COVID-19 pandemic. You will also discover why the traditional risk weighting approach only works on certain classes of assets. The book shows you how to accurately evaluate the costs of defensive strategies and which ones offer the best and most cost-effective protection against market downturns. Finally, you will learn how to obtain a more balanced return stream by targeting volatility rather than a constant notional exposure and gain a deeper understanding of concepts like portfolio rebalancing. Perfect for people working in the asset management industry and financial policy makers, Strategic Risk Management: Designing Portfolios and Managing Risk will also earn a place in the libraries of economics and finance scholars, as well as casual readers who take an active approach to investing in their savings or pension assets. PRAISE FOR STRATEGIC RISK MANAGEMENT “Strategic Risk Management shows how to fully embed risk management into the portfolio management process as an equal partner to alpha. This should clearly be best practice for all asset managers.” —Jase Auby, Chief Investment Officer, the Teacher Retirement System of Texas “This book shows the power of integrating risk and investment management, rather than applying risk management as an afterthought to satisfy set limits. I was pleased to shepherd some of the key ideas in this book through the publication process at The Journal of Portfolio Management.” —Frank J. Fabozzi, Editor, The Journal of Portfolio Management “Financial markets today are quite different from those of the last century. Understanding leverage, correlations, tails, and other risk parameters of a portfolio is at least as important as work on signals and alpha. In that sense, bringing risk management from ‘control’ to ‘front office’ should be a priority for asset managers. This book explains how to do it.” —Marko Kolanovic, Chief Global Market Strategist, J.P. Morgan A powerful new approach to risk management in volatile and uncertain markets While the COVID-19 pandemic threw the importance of effective risk management into sharp relief, many investment firms hang on to a traditional and outdated model of risk management. Using siloed and independent portfolio management and risk monitoring teams, these firms miss out on the opportunities presented by integrated risk management. Strategic Risk Management: Designing Portfolios and Managing Risk delivers a fresh approach to risk management in difficult market conditions. The accomplished author team advocates for the amalgamation of portfolio design and risk monitoring teams, incorporating risk management into every aspect of portfolio design. The book provides a roadmap for the crucial aspects of portfolio design, including defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. You will discover how these techniques helped the authors achieve remarkable results during the market drawdown in the midst of the COVID-19 pandemic and how they can help you protect your assets against unpredictable—but inevitable—future bear markets. Ideal for professionals in the asset management industry, Strategic Risk Management: Designing Portfolios and Managing Risk is a valuable resource for financial policy makers, economics and finance scholars, and anyone with even a passing interest in taking an active role in investing for their future.

Pioneering Portfolio Management

David F. Swensen
Pioneering Portfolio Management Book PDF

Author : David F. Swensen
Publisher : Simon and Schuster
Page : 400 pages
File Size : 43,6 Mb
Release : 2009-01-06
Category : Business & Economics
ISBN : 1416554033

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Pioneering Portfolio Management Book in PDF, Epub and Kindle

In the years since the now-classic Pioneering Portfolio Management was first published, the global investment landscape has changed dramatically -- but the results of David Swensen's investment strategy for the Yale University endowment have remained as impressive as ever. Year after year, Yale's portfolio has trumped the marketplace by a wide margin, and, with over $20 billion added to the endowment under his twenty-three-year tenure, Swensen has contributed more to Yale's finances than anyone ever has to any university in the country. What may have seemed like one among many success stories in the era before the Internet bubble burst emerges now as a completely unprecedented institutional investment achievement. In this fully revised and updated edition, Swensen, author of the bestselling personal finance guide Unconventional Success, describes the investment process that underpins Yale's endowment. He provides lucid and penetrating insight into the world of institutional funds management, illuminating topics ranging from asset-allocation structures to active fund management. Swensen employs an array of vivid real-world examples, many drawn from his own formidable experience, to address critical concepts such as handling risk, selecting advisors, and weathering market pitfalls. Swensen offers clear and incisive advice, especially when describing a counterintuitive path. Conventional investing too often leads to buying high and selling low. Trust is more important than flash-in-the-pan success. Expertise, fortitude, and the long view produce positive results where gimmicks and trend following do not. The original Pioneering Portfolio Management outlined a commonsense template for structuring a well-diversified equity-oriented portfolio. This new edition provides fund managers and students of the market an up-to-date guide for actively managed investment portfolios.

Portfolio Management under Stress

Riccardo Rebonato,Alexander Denev
Portfolio Management under Stress Book PDF

Author : Riccardo Rebonato,Alexander Denev
Publisher : Cambridge University Press
Page : 519 pages
File Size : 55,7 Mb
Release : 2014-01-09
Category : Business & Economics
ISBN : 9781107048119

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Portfolio Management under Stress Book in PDF, Epub and Kindle

A rigorous presentation of a novel methodology for asset allocation in financial portfolios under conditions of market distress.

Practical Portfolio Performance Measurement and Attribution

Carl R. Bacon
Practical Portfolio Performance Measurement and Attribution Book PDF

Author : Carl R. Bacon
Publisher : John Wiley & Sons
Page : 402 pages
File Size : 51,7 Mb
Release : 2011-02-23
Category : Business & Economics
ISBN : 1119995477

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Practical Portfolio Performance Measurement and Attribution Book in PDF, Epub and Kindle

Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved. Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in today's financial environment, enabling readers to apply their knowledge with immediate effect. Fully updated from the first edition, this book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards. The book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management.

Asset Management

Andrew Ang
Asset Management Book PDF

Author : Andrew Ang
Publisher : Oxford University Press
Page : 368 pages
File Size : 51,6 Mb
Release : 2014-07-07
Category : Business & Economics
ISBN : 9780199959334

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Asset Management Book in PDF, Epub and Kindle

In Asset Management: A Systematic Approach to Factor Investing, Professor Andrew Ang presents a comprehensive, new approach to the age-old problem of where to put your money. Years of experience as a finance professor and a consultant have led him to see that what matters aren't asset class labels, but instead the bundles of overlapping risks they represent. Factor risks must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Clearly written yet full of the latest research and data, Asset Management is indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, to harvest them efficiently in their portfolios, and to embark on the search for true alpha.