Investment theory and risk management / (Record no. 162640)

000 -LEADER
fixed length control field 07842cam a22004094a 4500
001 - CONTROL NUMBER
control field 17103550
003 - CONTROL NUMBER IDENTIFIER
control field OSt
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20131224121151.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 120103s2012 njua b 001 0 eng
010 ## - LIBRARY OF CONGRESS CONTROL NUMBER
LC control number 2011050888
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781118129593 (hardback)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1118129598 (hardback)
035 ## - SYSTEM CONTROL NUMBER
System control number (OCoLC)ocn759177358
040 ## - CATALOGING SOURCE
Original cataloging agency DLC
Language of cataloging eng
Transcribing agency DLC
Modifying agency YDX
-- BTCTA
-- BDX
-- YDXCP
-- DLC
-- SIU Central Library
042 ## - AUTHENTICATION CODE
Authentication code pcc
050 00 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HG4529
Item number .P478 2012
082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.601
Edition number 23
Item number 39301
084 ## - OTHER CLASSIFICATION NUMBER
Classification number BUS036000
Source of number bisacsh
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Peterson, Steven P.
245 10 - TITLE STATEMENT
Title Investment theory and risk management /
Statement of responsibility, etc Steven P. Peterson.
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc Hoboken, N.J. :
Name of publisher, distributor, etc Wiley,
Date of publication, distribution, etc 2012.
300 ## - PHYSICAL DESCRIPTION
Extent xix, 441 p. :
Other physical details ill. ;
Dimensions 24 cm.
365 ## - TRADE PRICE
Price amount Rs.6171.75
Price note 94.95 USD
366 ## - TRADE AVAILABILITY INFORMATION
Source of availability status code Radiant Book Services, Pune.
490 1# - SERIES STATEMENT
Series statement Wiley finance series
504 ## - BIBLIOGRAPHY, ETC. NOTE
Bibliography, etc Includes bibliographical references and index.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note Machine generated contents note: Preface Acknowledgments Chapter 1: Discount Rates and Returns Estimating Returns Geometric and Arithmetic Averages Caveats to Return Extrapolation Discounting Present Values of Cash Flow Streams Internal Rate of Return and Yield to Maturity Real and Nominal Returns Summary Chapter 2: Fixed Income Securities Coupon Bearing Bonds Infinite Cash Flow Streams (Perpetuities) General Pricing Formulas for Finite Cash Flow Streams Interest Rate Risk Analysis of Duration Interest Rate Risk Dynamics Immunization and Duration Applications -- Liability Discounting and Cash Matching Pension Logic Risky Coupons Inflation Risk and TIPS A Bond Portfolio Strategy (Optional) Summary Appendix 2.1: Solving Infinite and Finite Power Series References Chapter 3: Term Structure Discounting Using Spot Rates Forward Rates NPV revisited Short Rates The Bootstrap Method Duration Redux Summary Chapter 4: Equity The Determination of Stock Prices Discount Rates Redux Price and Dividend Multiples Extrapolating Multiples to Forecast Returns Pitfalls of Trend Analysis The Gordon Growth Model Sources of Return Summary References Chapter 5: Portfolio Construction Stochastic Returns and Risk Diversification The Efficient Frontier Markowitz Portfolio Selection Criteria Capital Market Line and the CAPM Performance Evaluation Summary Appendix 5.1: Statistical Review Appendix 5.2: Risk Adjusted Performance References Chapter 6: Optimal Portfolios Portfolio 1: Minimum Variance Portfolio (Fully Invested) Portfolio 2: Minimum Variance Portfolios with Targeted Return Portfolio 3: Minimum Variance Portfolios with No Short Sales Portfolio 4: Minimum Variance Portfolios with Capped Allocations Portfolio 5: Maximum Risk-Adjusted Return Performance Attribution The Efficient Frontier (Again) Summary Appendix 6.1: Matrix Operations Chapter 7: Data and Applications Analyzing Returns on a Ten Asset Portfolio Performance Attribution Changing the Investment Horizon Benchmarking to the Market Portfolio The Cost of Constraints A Bond Strategy Summary Chapter 8: Anomalies Deviations from the CAPM Behavioral Finance Summary References Chapter 9: Factor Models Arbitrage Pricing Theory (APT) Factor Selection Model Estimation Principal Components Applications and Examples Summary References Chapter 10: Active Portfolio Management Active Portfolio Construction and Attribution Analysis Performance Attribution Summary Appendix 10.1: Active Space Chapter 11: Risk The Failure of VaR Taxonomy of Risk Visualizing Risk Estimating Volatilities Maximum Likelihood Estimation (Optional) Credit Risk Adjusting for Leverage Adjusting for Illiquidity Other Risks Summary References Chapter 12: Monte Carlo Methods Example 1: Generating Random Numbers -- Estimating pi Example 2: Confirming the Central Limit Theorem Example 3: Credit Default Risk Non-Normal Distributions The Gaussian Copula Summary References Chapter 13: Systemic Risk Extreme Value Theory Estimating the Hazards of Downside Risks A Systemic Risk Indicator Summary References Chapter 14: Incorporating Subjective Views Methodological Concepts An Example using Black-Litterman Active Space Risk Attribution Summary References Chapter 15: Futures, Forwards, and Swaps Institutional Detail and Futures Mechanics The Relationship between Spot Prices and Forward (Futures) Prices Hedging Basis Risk Hedging Portfolio Risk Futures Pricing Swaps Summary References Chapter 16: Introduction to Options Option Payoffs and Put-Call Parity Pricing European Call Options Pricing European Put Options Option Strategies Real Options Summary References Chapter 17: Models of Stock Price Dynamics Stock Price Dynamics Ito Processes Lognormal Stock Prices Deriving the Parameters of the Binomial Lattice Black-Scholes-Merton Model The Greek Letters Monte Carlo Methods Summary Appendix 17.1: Derivation of Ito's Lemma Chapter 18: Hedging Portfolio Risk Simple Hedging Strategies S&P 500 Index Puts Selling Volatility VIX Calls Liability Driven Investment Summary References Chapter 19: Private Equity The Private Equity Model Return and Risk Methodology Summary Appendix 19.1: CAPM References Chapter 20: Structured Credit Securitization Credit Enhancement Basics of Pricing Interest Rate Derivatives Interest Rate Dynamics CDO Valuation The Crash of the Housing Bubble Summary References Chapter 21: Optimal Rebalancing Trigger Strategies and No-trade Regions An Optimal Control Problem Implications Optimal Rebalancing in a Static Optimization Model The Comparative Statics of Transactions Costs References Chapter 22: Data Problems* Covariance Estimation An Example Empirical Results Overlapping Observations Conclusions Appendix 22.1: Covariance Matrix Estimation Removing the effects of smoothing References About the Author Index.
520 ## - SUMMARY, ETC.
Summary, etc "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 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"--Provided by publisher.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Investment analysis.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Portfolio management.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Risk management.
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title Wiley finance series.
856 42 - ELECTRONIC LOCATION AND ACCESS
Materials specified Cover image
Uniform Resource Identifier <a href="http://catalogimages.wiley.com/images/db/jimages/9781118129593.jpg">http://catalogimages.wiley.com/images/db/jimages/9781118129593.jpg</a>
906 ## - LOCAL DATA ELEMENT F, LDF (RLIN)
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942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme
Koha item type Books
Holdings
Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Collection code Permanent Location Current Location Date acquired Source of acquisition Cost, normal purchase price Full call number Barcode Date last seen Price effective from Koha item type
        Not For Loan Reference Symbiosis International University Central Library Symbiosis International University Central Library 2013-12-06 Radiant Book Services, Pune. Invoice No.1160 6171.75 332.601/PET 39301 siu-b-39301 2014-04-03 2013-12-14 Books