A through guide covering Modern Portfolio Theory as well as the recent developments surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper «Portfolio Selection» in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students. Modern Portfolio Theory provides a summary of the important findings from all of the financial research done since MPT was created and presents all the MPT formulas and models using one consistent set of mathematical symbols. Opening with an informative introduction to the concepts of probability and utility theory, it quickly moves on to discuss Markowitz's seminal work on the topic with a thorough explanation of the underlying mathematics. Analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of MPT literature Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT Companion Website contains Excel spreadsheets that allow you to compute and graph Markowitz efficient frontiers with riskless and risky assets If you want to gain a complete understanding of modern portfolio theory this is the book you need to read.
A comprehensive portfolio optimization guide, with provided MATLAB code Robust Equity Portfolio Management + Website offers the most comprehensive coverage available in this burgeoning field. Beginning with the fundamentals before moving into advanced techniques, this book provides useful coverage for both beginners and advanced readers. MATLAB code is provided to allow readers of all levels to begin implementing robust models immediately, with detailed explanations and applications in the equity market included to help you grasp the real-world use of each technique. The discussion includes the most up-to-date thinking and cutting-edge methods, including a much-needed alternative to the traditional Markowitz mean-variance model. Unparalleled in depth and breadth, this book is an invaluable reference for all risk managers, portfolio managers, and analysts. Portfolio construction models originating from the standard Markowitz mean-variance model have a high input sensitivity that threatens optimization, spawning a flurry of research into new analytic techniques. This book covers the latest developments along with the basics, to give you a truly comprehensive understanding backed by a robust, practical skill set. Get up to speed on the latest developments in portfolio optimization Implement robust models using provided MATLAB code Learn advanced optimization methods with equity portfolio applications Understand the formulations, performances, and properties of robust portfolios The Markowitz mean-variance model remains the standard framework for portfolio optimization, but the interest in—and need for—an alternative is rapidly increasing. Resolving the sensitivity issue and dramatically reducing portfolio risk is a major focus of today's portfolio manager. Robust Equity Portfolio Management + Website provides a viable alternative framework, and the hard skills to implement any optimization method.
Build an agile, responsive portfolio with a new approach to global asset allocation Adaptive Asset Allocation is a no-nonsense how-to guide for dynamic portfolio management. Written by the team behind Gestaltu.com, this book walks you through a uniquely objective and unbiased investment philosophy and provides clear guidelines for execution. From foundational concepts and timing to forecasting and portfolio optimization, this book shares insightful perspective on portfolio adaptation that can improve any investment strategy. Accessible explanations of both classical and contemporary research support the methodologies presented, bolstered by the authors' own capstone case study showing the direct impact of this approach on the individual investor. Financial advisors are competing in an increasingly commoditized environment, with the added burden of two substantial bear markets in the last 15 years. This book presents a framework that addresses the major challenges both advisors and investors face, emphasizing the importance of an agile, globally-diversified portfolio. Drill down to the most important concepts in wealth management Optimize portfolio performance with careful timing of savings and withdrawals Forecast returns 80% more accurately than assuming long-term averages Adopt an investment framework for stability, growth, and maximum income An optimized portfolio must be structured in a way that allows quick response to changes in asset class risks and relationships, and the flexibility to continually adapt to market changes. To execute such an ambitious strategy, it is essential to have a strong grasp of foundational wealth management concepts, a reliable system of forecasting, and a clear understanding of the merits of individual investment methods. Adaptive Asset Allocation provides critical background information alongside a streamlined framework for improving portfolio performance.
This book describes the way that pharmaceutical projects and programs are currently managed, and offers views from many highly experienced practitioners from within the industry on future directions for drug program management. The book integrates portfolio, program, and project management processes as fundamental for effective and efficient drug product development. Contributing expert authors provide their view of how the projectization approach can be taken forward by the drug industry over the coming years.
Introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book. Financial Risk Modelling and Portfolio Optimization with R: Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field. Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies. Explores portfolio risk concepts and optimization with risk constraints. Enables the reader to replicate the results in the book using R code. Is accompanied by a supporting website featuring examples and case studies in R. Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study.
Optimal Portfolio Modeling is an easily accessible introduction to portfolio modeling for those who prefer an intuitive approach to this discipline. While early chapters provide engaging insights on the statistical properties of markets, this book quickly moves on to illustrate invaluable trading and risk control models based on popular programs such as Excel and the statistical modeling language R. This reliable resource presents modeling formulas that will allow you to effectively maximize the performance, minimize the drawdown, and manage the risk of your portfolio.
Praise for Energy and Power Risk Management «Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals.» -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC «The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals.» -Vincent Kaminski, Managing Director Citadel Investment Group LLC «Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market.» -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading «This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation.» -Ron Erd, Senior Vice President American Electric Power
New research and investment strategies for asset managers in precious metals In this handy new e-book, bestselling author David M. Darst provides valuable perspective on the role and positioning of gold and other precious metals within an economic, financial, and portfolio context. It covers the advantages and disadvantages, risks and rewards of investing in precious metals and sheds light on the key factors that drive prices, including supply and demand forces, inflation and deflation, geopolitical conditions, interest rates, and the global monetary system. The book also offers detailed information on specific vehicles that provide exposure to precious metals, as well as sources of further information available in print and online. Portfolio Investment Opportunities in Precious Metals gives investors the information they need to make intelligent investment decisions in precious metals. Covers key factors investors need to know about precious metals, including advantages, risks, and investment performance Written by David M. Darst, CFA, the bestselling author of The Little Book That Saves Your Assets Perfect for individual investors, financial advisors, and CFAs interested in the role that precious metals play in investment portfolios
An industry leader candidly examines the role of investment leadership in portfolio management Investment Leadership & Portfolio Management provides a top down analysis of successful strategies, structures, and actions that create an environment that leads to strong macro investment performance and rewarding investor outcomes. By examining how to manage and lead an investment firm through successful investment decision-making processes and actions, this book reveals what it will take to succeed in a radically changed investment landscape. From firm governance and firm structure-for single capability, multi-capability, and investment and product firms-to culture, strategy, vision, and execution, authors Brian Singer, Barry Mandinach, and Greg Fedorinchik touch upon key topics including the differences between leading and managing; investment philosophy, process, and portfolio construction; communication and transparency; and ethics and integrity. Leadership issues in investment firms are a serious concern, and this book addresses those concerns Details the strong correlation between excellence in investment leadership and excellence in portfolio management Written by a group of experienced professionals in the field, including the Chairman of the CFA Institute Board of Governors Understanding how to operate in today's dynamic investment environment is critical. Investment Leadership & Portfolio Management contains the insights and information needed to make significant strides in this dynamic arena.
A comprehensive resource providing extensive coverage of the state of the art in credit secruritisations, derivatives, and risk management Credit Securitisations and Derivatives is a one-stop resource presenting the very latest thinking and developments in the field of credit risk. Written by leading thinkers from academia, the industry, and the regulatory environment, the book tackles areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitisations and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitisations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. As well as a thorough analysis of the existing models used in the industry, the book will also draw on real life cases to illustrate model performance under different parameters and the impact that using the wrong risk measures can have.