Investment Theory and Risk Management - (Wiley Finance) by Steven Peterson (Hardcover)

About the Book

"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.

Book Synopsis

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 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.

From the Back Cover

As markets become more competitive, volatile, and inherently more risky, embracing the opportunity to develop the skills that will allow you to become more effective in this investment environment is essential.

Nobody understands this better than author Steven Peterson. And now, with Investment Theory & Risk Management + Website, he combines his twenty-plus years of academic experience teaching at Virginia Commonwealth University's School of Business with his professional roles as Director of Research and Senior Risk Officer for the Virginia Retirement System to put this discipline in perspective.

Written in a straightforward, conversational tone, Investment Theory & Risk Management + Website emphasizes the underlying theoretical principles of this approach in a setting rich with direct applications using market data. Step by step, it skillfully introduces issues in financial economics and follows this up with information that will help you understand the intuition behind the theory.

Designed for every level of expertise, from professional portfolio manager to those just getting started, this reliable resource covers a broad range of topics that are essential to your success. Peterson takes the time to examine equity pricing models and how pricing is approached by practitioners--with some discussion of the caveats associated with these models. He also addresses optimization and statistical concepts more rigorously than most other investment books and provides comprehensive insights on portfolio optimization, construction, and risk management.

Along the way, you'll be introduced to topics of increasing interest to those in the area of investing and risk management, including anomalies, active portfolio management, Monte Carlo techniques, factor models, systemic risk, hedging, and structured finance. And you'll also gain valuable information on futures, forwards, swaps, and options as well as private equity.

Throughout the book, Peterson puts an emphasis on practical application. To that end, most chapters have a set of spreadsheets, containing data and applications, on a companion website. All the data used in the text appears in these chapter spreadsheets, as do all of the tables and figures--allowing you to continue to learn in a hands-on fashion long after closing the book.

Applying investment theory and risk management to real-world situations is much easier said than done. With this book as your guide, you'll discover what it takes to achieve these difficult goals and learn how doing so can improve your long-term investment endeavors.

About the Author

STEVEN PETERSON is 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. He is directly responsible for the measurement, forecasting, and attribution of risk at both the program and plan levels, with risk broadly defined to include various market and nonmarket risks. Peterson has done consulting for Crestar Investment Bank, SunTrust Bank, Ford Motor Company, Virginia Center for Urban Development (VCU Center for Public Policy), Virginia Department of Social Services, Virginia Division of Child Support Enforcement, LandAmerica, Virginia Retirement System, and Virginia Department of Corrections.