Investment Theory and Risk Management

Steven Peterson 지음

Wiley 2012년 04월 18일 출간

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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 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 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.

목차

Preface xvAcknowledgments xixCHAPTER 1 Discount Rates and Returns 1Estimating Returns 1Geometric and Arithmetic Averages 4Caveats to Return Extrapolation 5Discounting Present Values of Cash Flow Streams 7Internal Rate of Return and Yield to Maturity 11Real and Nominal Returns 14Summary 14CHAPTER 2 Fixed Income Securities 17Coupon-Bearing Bonds 19Infinite Cash Flow Streams (Perpetuities) 21General Pricing Formulas for Finite Cash Flow Streams 22Interest Rate Risk 24Analysis of Duration 29Interest Rate Risk Dynamics 31Immunization and Duration 32Applications&m-Liability Discounting and Cash Matching 36Pension Logic 39Risky Coupons 42Inflation Risk and TIPS 43A Bond Portfolio Strategy (Optional) 45Summary 48Appendix 2.1: Solving Infinite and Finite Power Series 49Reference 50CHAPTER 3 Term Structure 51Discounting Using Spot Rates 51Forward Rates 53NPV Revisited 56Short Rates 57The Bootstrap Method 58Duration Redux 62Summary 66CHAPTER 4 Equity 67The Determination of Stock Prices 68Discount Rates Redux 70Price and Dividend Multiples 73Extrapolating Multiples to Forecast Returns 74Pitfalls of Trend Analysis 75The Gordon Growth Model 78Sources of Return 82Summary 85References 86CHAPTER 5 Portfolio Construction 87Stochastic Returns and Risk 87Diversification 92The Efficient Frontier 93Markowitz Portfolio Selection Criteria 97Capital Market Line and the CAPM 101Performance Evaluation 106Summary 108Appendix 5.1: Statistical Review 108Appendix 5.2: Risk-Adjusted Performance 112Reference 113CHAPTER 6 Optimal Portfolios 115Portfolio 1: Minimum Va

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저자(글) Steven Peterson

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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.