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.
Über den 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, Sun Trust 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, Land America, Virginia Retirement System, and Virginia Department of Corrections.
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