risk and asset allocation

Active 130/30 Extensions is the newest wave of disciplined investment strategies that involves asymmetric decision-making on long/short portfolio decisions, concentrated investment risk-taking in contrast to diversification, systematic portfolio risk management, and flexibility in portfolio design. This strategy is the building block for a number of 130/30 and 120/20 investment strategies offered to institutional and sophisticated high net worth individual investors who want to manage their portfolios actively and aggressively to outperform the market.

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• Matlab is used within nearly all investment banks and is a requirement in most quant job ads. There is no other book written for finance practitioners that covers this
• Enables readers to implement financial and econometric models in Matlab
• All central concepts and theories are illustrated by Matlab implementations which are accompanied by detailed descriptions of the programming steps needed
• All concepts and techniques are introduced from a basic level
• Chapter 1 introduces Matlab and matrix algebra, it serves to make the reader familiar with the use and basic capabilities if Matlab. The chapter concludes with a walkthrough of a linear regression model, showing how Matlab can be used to solve an example problem analytically and by the use of optimization and simulation techniques
• Chapter 2 introduces expected return and risk as central concepts in finance theory using fixed income instruments as examples, the chapter illustrates how risk measures such as standard deviation, Modified duration, VaR, and expected shortfall can be calculated empirically and in closed form
• Chapter 3 introduces the concept of diversification and illustrates how the efficient investment frontier can be derived – a Matlab is developed that can be used to calculate a given number of portfolios that lie on an efficient frontier, the chapter also introduces the CAPM
• Chapter 4 introduces econometric tools: principle component analysis is presented and used as a prelude to yield-curve factor models. The Nelson-Siegel model is used to introduce the Kalman-Filter as a way to add time-series dynamics to the evolution of yield curves over time, time series models such as Vector Autoregression and regime-switching are also presented
• Supported by a website with online resources – www.kennyholm.com where all Matlab programs referred to in the text can be downloaded. The site also contains lecture slides and answers to end of chapter exercises

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Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the few books entirely devoted to numerical methods as applied to the financial field.

Presenting state-of-the-art methods in this area, the book first discusses the coherent risk measures theory and how it applies to practical risk management. It then proposes a new method for pricing high-dimensional American options, followed by a description of the negative inter-risk diversification effects between credit and market risk. After evaluating counterparty risk for interest rate payoffs, the text considers strategies and issues concerning defined contribution pension plans and participating life insurance contracts. It also develops a computationally efficient swaption pricing technology, extracts the underlying asset price distribution implied by option prices, and proposes a hybrid GARCH model as well as a new affine point process framework. In addition, the book examines performance-dependent options, variance reduction, Value at Risk (VaR), the differential evolution optimizer, and put-call-futures parity arbitrage opportunities.

Sponsored by DEPFA Bank, IDA Ireland, and Pioneer Investments, this concise and well-illustrated book equips practitioners with the necessary information to make important financial decisions.

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Global Tactical Asset Allocation (GTAA) – This Risk Executive Report explains what it is, what products exist and how these are managed. GTAA is the area in active investment management that seeks to exploit relative price movements between asset classes, markets, investment styles, currencies and commodities, with an absolute return focus to ensure maximum gains.

Almost everyone in the global investment community will have heard the buzz surrounding GTAA, for example the French state pension fund, the Fonds de réserve des retraites (FRR), tendering a GTAA mandate over its EUR 31 billion in assets. Most large institutional investors in the world are contemplating investing in GTAA products, but few are using it effectively.

This compelling report is an essential introduction for portfolio managers, investors and pension fund trustees who want a better understanding of GTAA and the processes generating the investment returns. Written by true insiders working exclusively on GTAA, it is written in a language that every investment professional will clearly understand. It assumes little knowledge of this area, and by presenting and explaining exactly what GTAA is and with the help of case study examples of its use, you will gain all the tools you need to begin using GTAA to enhance returns on your portfolios.

This is an extremely valuable resource for anyone starting to use GTAA as part of their portfolio management strategy.

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GLOBAL INVESTMENT RISK MANAGEMENT outlines hands-on systems, policies, and procedures that will help you take advantage of the returns available in overseas markets, while keeping closer track of the risks–not only those risks you can see but those you cannot. This practical guide to understanding and managing all aspects of international investment risk–from currency and equity risk to interest rate and commodity risk–includes: When, how, and why to use futures, options, swaps, and customized derivatives; Emerging markets investment strategies to help you seize ground-floor opportunities–while hedging against financial meltdowns; Cautionary tales of mega-billion dollar investment debacles–and how they could have been avoided; Long-term global diversification strategies from asset allocation pioneer Roger C. Gibson; Steps to design a detailed risk management program that fits your institution’s risk and investment objectives; A detailed introduction and explanation of Value at Risk (VaR); Internet resources for valuable and cost-free global investment risk management information. Combining the knowledge and experience of 20 of the world’s foremost global investment experts, GLOBAL INVESTMENT RISK MANAGEMENT is the first guidebook that explains–in practical and easy-to-understand language–how to understand and hedge against everpresent international investment risks. It will help you expand the boundaries of your investment program, ensuring that your organization makes full use of the world of investment opportunities, while sensibly and strategically hedging against international investment risks. Contributors include: David Beers. Vinod Chandrashekaran. Jason Cook. Christopher L. Culp. Ray Dalio. Roger C. Gibson. Steve H. Hanke. Joanne M. Hill. Michael J. Howell. Richard Johnston. Ira G. Kawaller. Ron Mensink. Ranga Nathan. Andrea M.P. Neves. Todd E. Petzel. Steven A. Schoenfeld. Istvan Szoke. Lee Thomas. Maria E. Tsu. Richard Vogel. Ezra Zask

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Using Asset Allocation to Reduce Risk and Boost Investing Returns

Presenting a revolutionary new investment philosophy that redefines how we view sector investing, The Sector Strategist challenges long held ideas about how this unique area of finance operates. Misconceptions, such as the belief that international stocks provide diversification, are preventing investors from making the most of the opportunities for financial growth that sectors provide, and the book presents practical, applicable evidence that a better, more profitable option is available. Additionally, the book hopes to give readers an opportunity to improve returns and protect retirement assets by providing a wide range of techniques and tools designed to optimize wealth that the author has developed over the last decade.

• Designed to help investors avoid the often inaccurate assumptions made by “experts” which promote typical asset allocation
• Written by Timothy McIntosh, investment expert and founder of SIPCO/Strategic Investment Partners, whose firm’s stock portfolio has earned five-star returns from Morningstar annually since 2003
• Contains easy-to-apply tools for wealth protection and growth that have been proven successful during the market fluctuations of 2002 and 2008

The history and opportunities afforded by sectors have been written about at length, but no book has broken with tradition so radically, and with such success, as The Sector Strategist.

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