book

Advanced Portfolio Management

August 2021

Intermediate to advanced

208 pages

5h 2m

English

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1.1 What You Will Find Here1.2 Asterisks; Or, How to Read This Book1.3 Acknowledgments
2.1 How to Invest in Your Edge, and Hedge the Rest2.2 How to Size Your Positions2.3 How to Learn from Your History2.4 How to Trade Efficiently2.5 How to Limit Factor Risk2.6 How to Control Maximum Losses2.7 How to Determine Your Leverage2.8 How to Analyze New Sources of DataNotes
3.1 Introduction3.2 Alpha and Beta3.3 Where Does Alpha Come From?3.4 Estimate Risk in Advance3.5 First Steps in Risk Decomposition3.6 Simple Hedging3.7 Separation of Concerns3.8 Takeaway MessagesNotes
4.1 From One Factor to Many4.2 ★Frequently Asked Questions About Risk4.3 ★The Machinery of Risk Models4.4 Takeaway MessagesNotes
5.1 The Economic Environment5.2 The Trading Environment5.3 The Company: Valuation Factors5.4 Takeaway MessagesNotes
6.1 Sharpe Ratio6.2 Estimating Expected Returns6.3 Risk-Based Sizing6.4 ★Empirical Analysis of the Sizing Rules6.5 From Ideas to Positions6.6 Time-Series Risk-Based Portfolio Targeting6.7 ★Frequently Asked Questions About Performance6.8 Takeaway MessagesNotes

7.1 Tactical Factor Risk Management7.2 Strategic Factor Risk Management7.3 Systematic Hedging and Portfolio Management7.4 Takeaway MessagesNotes
8.1 Factor8.2 Idiosyncratic8.3 Trade Events Efficiently8.4 ★Use Alternative Data!8.5 ★Frequently Asked Questions About Performance8.6 Takeaway MessagesNotes
9.1 How Stop-Loss Works9.2 Why a Stop-Loss Policy?9.3 The Costs and Benefits of Stop-Loss9.4 Takeaway MessagesNotes
10.1 A Framework for Leverage Decisions10.2 Takeaway MessagesNotes
11.1 Essential Risk Model Formulas11.2 Diversification11.3 Mean-Variance Formulations11.4 Proportional-Rule Formulations11.5 Generating Custom Factors11.6 Optimization Formulations11.7 Tactical Portfolio Optimization11.8 Hedging Formulations11.9 Optimal Event TradingNotes

Michael Isichenko

Frank J. Fabozzi, Harry M. Markowitz

Project Management Institute

Scott D. Stewart, Christopher D. Piros, Jeffrey C. Heisler

ISBN: 9781119789796Purchase Link