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Informationen zum Autor 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. Klappentext 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 BusinessInvestment 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. Zusammenfassung 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. Inhaltsverzeichnis Preface xv Acknowledgments xix CHAPTER 1 Discount Rates and Returns 1 Estimating Returns 1 Geometric and Arithmetic Averages 4 Caveats to Return Extrapolation 5 Discounting Present Values of Cash Flow Streams 7 Internal Rate of Return and Yield to Maturity 11 Real and Nominal Returns 14 Summary 14 CHAPTER 2 Fixed Income Securities 17 Coupon-Bearing Bonds 19 Infinite Cash Flow Streams (Perpetuities) 21 General Pricing Formulas for Finite Cash Flow Streams 22 Interest Rate Risk 24 Analysis of Duration 29 Interest Rate Risk Dynamics 31 Immunization and Duration 32 Applications-Liability Discounting and Cash Matching 36 Pension Logic 39 Risky Coupons 42 Inflation Risk and TIPS 43 A Bond Portfolio Strategy (Optional) 45 Summary 48 Appendix 2.1: Solving Infinite and Finite Power Series 49 Reference 50 CHAPTER 3 Term Structure 51 Discounting Using Spot Rates 51 Forward Rates 53 NPV Revisited 56 Short Rates 57 The Bootstrap Method 58 Duration Redux 62 Summary 66 CHAPTER 4 Equity 67 The Determin...
