This chapter uses the case of long-short hedge fund manager to demonstrate how a quantitative portfolio manager can use value at risk to measure, manage and optimize portfolio risk. The example portfolio includes 12 long and short positions in international stock index futures contracts, futures contracts on a benchmark ... click here for more details.
This paper explores a novel algorithm for the pricing of derivative securities. There are now hundreds of different types of derivative securities, each with their own peculiar characteristics. Yet, no single approach works for every type of contract and, indeed, the literature in finance is replete with a vast number ... click here for more details.
This paper explores a novel algorithm for the pricing of derivative securities. There are now hundreds of different types of derivative securities, each with their own peculiar characteristics. Yet, no single approach works for every type of contract and, indeed, the literature in finance is replete with a vast number ... click here for more details.
Optimal portfolio choice is the central problem of equity portfolio management, asset allocation, and financial planning. Common optimality criteria such as the long-term geometric mean, utility function estimation, and return probability objectives have important theoretical or practical limitations. A portfolio choice framework consisting of resampled efficient portfolios and geometric mean ... click here for more details.
This chapter is ideal for anyone who wants a general understanding of risk calculations at a conversational level without a rigorous statistical presentation. The chapter builds a general understanding of risk as the amount of variability from the average, then discusses simple measurement techniques such as considering the range ... click here for more details.
Many practitioners are bewildered by the fact that ex post active risks of their portfolios are often significantly higher than ex ante tracking errors estimated by risk models. Why do risk models tend to underestimate active risk? The answer to this question has important implications to active management, in the ... click here for more details.
Many practitioners are bewildered by the fact that ex post active risks of their portfolios are often significantly higher than ex ante tracking errors estimated by risk models. Why do risk models tend to underestimate active risk? The answer to this question has important implications to active management, in the ... click here for more details.
This chapter considers the elements of investments that complicate performance measurement, namely management fees and expenses, taxes and currency exchange rates. The chapter provides simple explanations of how to adjust return calculations to account for these additional costs of investing, and focuses particularly on the calculation of mutual fund ... click here for more details.
Investment management, fund of funds, diversification effect, manager due diligence, risk management, risk monitoring, transparency, strategy selection, manager selection, hedge fund capacity issues, fund of funds reporting, fund of funds fees, fund of funds performance, cash flow exposure
From the author - The final chapter is based on the premise that most individual investors are best served through a division of labor, with investors assisted by investment professionals serving as advisors or portfolio managers. We review the demographic factors leading to an increased need for individuals to make ... click here for more details.
