ISBN 13 : 978-1-906348-14-4

Sommaire :
Contributors

Attilio Meucci, Hari Krishnan, Norman Mains, Gianluca Fusai, David Buckle, Stephen Rees, Gang Jiang, Bob Litterman, Jacob Rosengarten, Tom Wilde, Lee Jackson, Kevin Dowd, Theofanis Darsinos, Stephen Satchell, Alexander Passow.

Contents

Preface
About the Editor
About the Authors
Introduction, Bernd Scherer

PART I View generation

1. Beyond Black-Litterman: Views on Non-normal Markets, Attilio Meucci

2. Beyond Black-Litterman in Practice, Attilio Meucci

3. The Two-factor Black-Litterman Model, Hari Krishnan, Norman Mains

4. Assessing Views , Gianluca Fusai, Attilio Meucci


PART II Portfolio construction and risk budgeting

5. Preparing the Best Risk Budget, Bernd Scherer

6. Core Satellite Investing: Harmony Through Separation, Bernd Scherer

7. Broadening Horizons, Attilio Meucci

8. Hedging of Corporate Pension Liabilities, Bernd Scherer

PART III Risk management and risk-adjusted performance measurement

9. Portfolio Skew and Kurtosis, David Buckle

10. VaR for Fund Managers, Stephen Rees

11. Style-based Value-at-Risk for UK Equities, Stephen Rees

12. Risk Contributions from Generic User-defined Factors, Attilio Meucci

13. Understanding Variations in the Risk of Multi-Strategy Portfolios, Gang Jiang, Bob Litterman, Jacob Rosengarten

14. Low Default Portfolios Without Simulation, Tom Wilde and Lee Jackson

15. Sharpe Thinking, Kevin Dowd

16. Generalising Universal Performance Measures, Theofanis Darsinos, Stephen Satchell

17. Omega Portfolio Construction with Johnson Distributions, Alexander Passow

Index

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque