The Sortino Framework for Constructing Portfolios
The Sortino Framework for Constructing Portfolios

Author: Frank A. Sortino

Publisher: Elsevier

Published: 2009-11-27

Total Pages: 177

ISBN-13: 0080961681

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The most common way of constructing portfolios is to use traditional asset allocation strategies, which match the client's risk appetite to a weighted allocation strategy of fixed income, equities, and other types of assets. This method focuses on how the money is allocated, rather than on future returns.The Sortino method presents an innovative change from this traditional approach. Rather than using the client's risk as the main factor, this method uses the client's desired return. - Only book to describe the Sortino method and Desired Target ReturnTM in a way that enables portfolio managers to adopt the method - Software to implement the portfolio construction method is included free of charge to book buyers on a password protected Elsevier website. Book buyers can use the software to construct portfolios using this method right away, in real time. They can also load in their current portfolios and measure them against these measures - The Sortino method has been tested over 20 years at the Pension Research Institute. Portfolio managers can be confident of the success of the method, even returns in the economic crisis, in which the method has still beaten all S&P benchmarks

Muscular Portfolios
Muscular Portfolios

Author: Brian Livingston

Publisher: BenBella Books

Published: 2018-10-09

Total Pages: 448

ISBN-13: 1946885630

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Muscular Portfolios is here to change the investing game — and help you leave stress behind with a stronger, smarter approach to investing. For decades, the financial services industry has sold risky investments, claiming that this was the only path to large gains. But this strategy is highly vulnerable to big losses that can devastate your portfolio. Today, there's a better approach. It combines the latest academic research in finance with the new ultra-low-cost index funds (exchange-traded funds). The result is an approach that provides market-like returns with dramatically smaller losses and requires only 15 minutes a month or less. Muscular Portfolios lays out the basic principles of this kind of investing so you can manage your own money successfully — without turning it into your second job. Investigative journalist Brian Livingston takes you behind the curtain of Wall Street and lays out a game-changing approach to investing: Muscular Portfolios, which are easy-to-use financial strategies you can set up yourself, even if you have no investment experience at all. Filled with helpful illustrations, compelling evidence, and simple, no-nonsense instructions, Muscular Portfolios is a resource, not a sales pitch. There are no financial products to buy, no secret formula to pay for. Everything is fully disclosed in bite-sized steps — and on a totally free website — that you can start using today to grow your wealth. Driven by cutting-edge investment research and backed by extensive market testing, Muscular Portfolios will revolutionize investing for families and individual investors.

Optimizing Optimization
Optimizing Optimization

Author: Stephen Satchell

Publisher: Academic Press

Published: 2009-09-19

Total Pages: 323

ISBN-13: 0080959202

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The practical aspects of optimization rarely receive global, balanced examinations. Stephen Satchell's nuanced assembly of technical presentations about optimization packages (by their developers) and about current optimization practice and theory (by academic researchers) makes available highly practical solutions to our post-liquidity bubble environment. The commercial chapters emphasize algorithmic elements without becoming sales pitches, and the academic chapters create context and explore development opportunities. Together they offer an incisive perspective that stretches toward new products, new techniques, and new answers in quantitative finance. - Presents a unique "confrontation" between software engineers and academics - Highlights a global view of common optimization issues - Emphasizes the research and market challenges of optimization software while avoiding sales pitches - Accentuates real applications, not laboratory results

Extreme Events in Finance
Extreme Events in Finance

Author: Francois Longin

Publisher: John Wiley & Sons

Published: 2016-10-17

Total Pages: 638

ISBN-13: 1118650190

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A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.

Proceedings of the 2022 6th International Seminar on Education, Management and Social Sciences (ISEMSS 2022)
Proceedings of the 2022 6th International Seminar on Education, Management and Social Sciences (ISEMSS 2022)

Author: Ghaffar Ali

Publisher: Springer Nature

Published: 2023-09-16

Total Pages: 3792

ISBN-13: 2494069319

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This is an open access book. The aim of 2022 6th International Seminar on Education, Management and Social Sciences (ISEMSS 2022) is to bring together innovative academics and industrial experts in the field of Education, Management and Social Sciences to a common forum. The primary goal of the conference is to promote research and developmental activities in Education, Management and Social Sciences and another goal is to promote scientific information interchange between researchers, developers, students, and practitioners working all around the world. The conference will be held every year to make it an ideal platform for people to share views and experiences in Education, Management and Social Sciences and related areas.

Asset Management and Institutional Investors
Asset Management and Institutional Investors

Author: Ignazio Basile

Publisher: Springer

Published: 2016-07-27

Total Pages: 469

ISBN-13: 3319327968

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This book analyses investment management policies for institutional investors. It is composed of four parts. The first one analyses the various types of institutional investors, institutions which, with different objectives, professionally manage portfolios of financial and real assets on behalf of a wide variety of individuals. This part goes on with an in-depth analysis of the economic, technical and regulatory characteristics of the different types of investment funds and of other types of asset management products, which have a high rate of substitutability with investment funds and represent their natural competitors. The second part of the book identifies and investigates the stages of the investment portfolio management. Given the importance of strategic asset allocation in explaining the ex post performance of any type of investment portfolio, this part provides an in-depth analysis of asset allocation methods, illustrating the different theoretical and operational solutions available to institutional investors. The third part describes performance assessment, its breakdown and risk control, with an in-depth examination of performance evaluation techniques, returns-based style analysis approaches, and performance attribution models. Finally, the fourth part deals with the subject of diversification into alternative asset classes, identifying the common characteristics and their possible role within the framework of investment management policies. This part analyses hedge funds, private equity, real estate, commodities, and currency overlay techniques.

Blockchain, Crypto and DeFi
Blockchain, Crypto and DeFi

Author: Marco Di Maggio

Publisher: John Wiley & Sons

Published: 2024-09-25

Total Pages: 759

ISBN-13: 1394275900

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Unlock the future of finance with Blockchain, Crypto, and DeFi Step into the realm of blockchain and cryptocurrency like never before with Blockchain, Crypto, and DeFi: Bridging Finance and Technology. Crafted by Marco Di Maggio, not just a Harvard Professor of Finance but an esteemed advisor to giants like Coinbase, this is your roadmap from foundational theories to cutting-edge applications. This is far from an academic discourse detached from reality; it seamlessly integrates theory with practice through detailed case studies and practical coding tutorials. Navigating the digital landscape today demands more than just passing familiarity with the latest technologies. Delving deep into blockchain and cryptocurrencies has become a pivotal skill set for anyone looking to thrive in this constantly shifting digital era. Whether you're a student aiming for a career in finance and technology, an academic seeking to expand your knowledge base, or a professional looking to stay ahead of the curve, this textbook offers unparalleled insights into the mechanics and implications of blockchain technologies. What Sets This Book Apart: Expertise Beyond the Classroom: Direct from the boards of the crypto world's titans, this book offers comprehensive coverage ensuring the book stands as an indispensable industry reference. Theory Meets Practice: Engage with complex blockchain concepts through practical case studies and coding tutorials. Learn, Build, Invest: Equip yourself to navigate the industry as an investor, entrepreneur, or innovator. Master the art of assessing protocols, crafting your own, and seizing opportunities in the blockchain and crypto space. Wit Meets Wisdom: Enjoy the journey with a narrative that combines profound insights with a witty tone, ensuring both enlightenment and entertainment. Blockchain, Crypto, and DeFi is not just a textbook but a journey into the heart of digital finance, marked by Di Maggio's engaging style and deep expertise. Accompanied by additional online resources, including slide decks and tutorials, this book is your go-to resource and your gateway to mastering the blockchain revolution. Embark on your blockchain adventure today. Table of Contents Chapter One: Chain Reactions: From Basement Miners to Blockchain Revolutionaries Chapter Two: Ethereum: The “Windows” to the Blockchain Universe – Now Loading Smart Contracts and Oracle Magic Chapter Three: Beyond Ethereum: A Gas-Guzzling Escape to the Holy Grail of Scalability Chapter Four: Riding the Crypto Rollercoaster: How Stablecoins Keep Their Cool Chapter Five: The CBDC Saga: Rewriting the Rules of Money Chapter Six: Money Grows on Distributed Trees: The DeFi Forest of DAOs and DApps Chapter Seven: The AMM Time machine: Back to the Future of Finance Chapter Eight: Liquidity Pools: Dive Deep into the Ocean of DeFi (Lifebuoys Not Included) Chapter Nine: The Tokenization Transformation from Wall Street to Your Street Chapter Ten: Digital Da Vincis: The Renaissance of Art in the Age of NFTs Chapter Eleven: Regulatory Framework: Work in Progress Chapter Twelve: Beyond HODL: Mastering the Art and Science of Crypto Trading Chapter Thirteen: Game Over for Bankers: The Unlikely Rise of Sofa-Surfing Capitalists Chapter Fourteen: Branding on the Block: How Blockchain Is Redefining Connections in the Web3 Era Chapter Fifteen: When HAL Meets Satoshi: Merging Minds and Money on the Blockchain

Pension Fund Investment Management
Pension Fund Investment Management

Author: Frank J. Fabozzi

Publisher: John Wiley & Sons

Published: 1997-08-15

Total Pages: 322

ISBN-13: 9781883249267

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Every investment professional involved with the management of pension funds will embrace this wide-ranging handbook. Consisting of articles by an esteemed panel of contributors, it covers the basics as well as the latest on pension fund governance, operations, and value creation.

Advances in Portfolio Construction and Implementation
Advances in Portfolio Construction and Implementation

Author: Alan Scowcroft

Publisher: Elsevier

Published: 2003-06-25

Total Pages: 384

ISBN-13: 0080471846

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Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification.Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management.Advances in Portfolio Construction and Implementation offers practical guidance in addition to the theory, and is therefore ideal for Risk Mangers, Actuaries, Investment Managers, and Consultants worldwide. Issues are covered from a global perspective and all the recent developments of financial risk management are presented. Although not designed as an academic text, it should be useful to graduate students in finance.*Provides practical guidance on financial risk management*Covers the latest developments in investment portfolio construction*Full coverage of the latest cutting edge research on measuring portfolio risk, alternatives to mean variance analysis, expected returns forecasting, the construction of global portfolios and hedge portfolios (funds)

Managing Equity Portfolios
Managing Equity Portfolios

Author: Michael A. Ervolini

Publisher: MIT Press

Published: 2023-05-09

Total Pages: 301

ISBN-13: 0262547902

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A groundbreaking framework for improving portfolio performance that goes beyond traditional analytics, offering new ways to understand investment skills, process, and behaviors. Portfolio management is a tough business. Each day, managers face the challenges of an ever-changing and unforgiving market, where strategies and processes that worked yesterday may not work today, or tomorrow. The usual advice for improving portfolio performance—refining your strategy, staying within your style, doing better research, trading more efficiently—is important, but doesn't seem to affect outcomes sufficiently. This book, by an experienced advisor to institutional money managers, goes beyond conventional thinking to offer a new analytic framework that enables investors to improve their performance confidently, deliberately, and simply, by applying the principles of behavioral finance. W. Edwards Deming observed that you can't improve what you don't measure. Active portfolio management lacks methods for measuring key inputs to management success like skills, process, and behavioral tendencies. Michael Ervolini offers a conceptually straightforward and well-tested framework that does just that, with evidence of how it helps managers enhance self-awareness and become better investors. In a series of short, accessible chapters, Ervolini investigates a range of topics from psychology and neuroscience, describing their relevance to the challenges of portfolio management. Finally, Ervolini offers seven ideas for improving. These range from maintaining an investment diary to performing rudimentary calculations that quantify basic skills; each idea, or “project,” helps managers gain a deeper understanding of their strengths and shortcomings and how to use this knowledge to improve investment performance.