Risk Parity Fundamentals
Autor Edward E. Qianen Limba Engleză Hardback – 23 feb 2016
Despite recent progress in the theoretical analysis and practical applications of risk parity, many important fundamental questions still need to be answered. Risk Parity Fundamentals uses fundamental, quantitative, and historical analysis to address these issues, such as:
- What are the macroeconomic dimensions of risk in risk parity portfolios?
- What are the appropriate risk premiums in a risk parity portfolio?
- What are market environments in which risk parity might thrive or struggle?
- What is the role of leverage in a risk parity portfolio?
| Toate formatele și edițiile | Preț | Express |
|---|---|---|
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| CRC Press – 14 oct 2024 | 309.67 lei 6-8 săpt. | |
| Hardback (1) | 369.89 lei 6-8 săpt. | |
| CRC Press – 23 feb 2016 | 369.89 lei 6-8 săpt. |
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Specificații
ISBN-13: 9781498738798
ISBN-10: 1498738796
Pagini: 264
Ilustrații: 91 black & white illustrations, 102 black & white tables
Dimensiuni: 178 x 254 x 20 mm
Greutate: 0.62 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Locul publicării:Boca Raton, United States
ISBN-10: 1498738796
Pagini: 264
Ilustrații: 91 black & white illustrations, 102 black & white tables
Dimensiuni: 178 x 254 x 20 mm
Greutate: 0.62 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Locul publicării:Boca Raton, United States
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Public țintă
Professional Practice & DevelopmentCuprins
An Introduction to Risk Parity Principle. The "Colors" of Risk Premiums. The "Death" of Interest Rate Risk Premium. See the Forest for the Trees. The "Peculiarity" of Risk Parity Portfolios. History Lessons. The "Wild West" of Risk Parity. Risk Parity Everywhere: Much of a Good Thing Is a Great Thing.
Notă biografică
Edward E. Qian, PhD, CFA, is the chief investment officer and head of research of the Multi Asset Group at PanAgora Asset Management. He was previously a postdoctoral researcher in astrophysics at the University of Leiden in the Netherlands, and a National Science Foundation Postdoctoral Mathematical Research Fellow at the Massachusetts Institute of Technology (MIT). Dr. Qian has made substantial contributions to risk parity investment strategies and quantitative equity portfolio management. He coined the term "risk parity" and pioneered the use of portfolio theory for evaluating alpha factors and constructing multifactor models. He is the coauthor of the highly praised Chapman & Hall/CRC book Quantitative Equity Portfolio Management: Modern Techniques and Applications. Dr. Qian earned a BS in mathematics from Peking University and a PhD in applied mathematics from Florida State University.
Recenzii
"Edward Qian has been a significant researcher and practitioner in the area of risk parity, with his efforts extending further back than before he coined the term ‘risk parity.’ Risk Parity Fundamentals should be on the bookshelf of anyone considering or investing in multi-asset, risk-managed strategies like risk parity, both as a cover-to-cover read and as a quick reference manual."
—Michael Campbell, MBA, CAIA, Deputy Chief Investment Officer, Workplace Safety and Insurance Board (WSIB), Toronto, Canada
"Edward Qian’s book is a must-read for both risk parity investors and practitioners. For investors, it is the ‘buyer’s guide’ of a financial product category with lots of buzz, but not many structures. For practitioners, it is a DIY book written by a leading practitioner and theorist. Skillfully illustrating complex mathematical concepts through easy-to-understand analogies, Dr. Qian makes his investment insights available to both quantitative and non-quantitative oriented audiences. Dr. Qian carefully examines many important debates regarding risk parity investing and offers his insightful analyses. We can all learn something new from Dr. Qian’s writing."
—Ronald Hua, Managing Director, Goldman Sachs Asset Managements
"Dr. Edward Qian, the inventor of the term ‘risk parity,’ started to manage risk parity portfolios in 2006—long before the strategy gained popularity in recent years. This book was based on a collection of essays for investors that Dr. Qian wrote over the years. With additional effort, Dr. Qian turned it into a comprehensive framework on multi-asset investment, a ready-to-use textbook for serious investors. As an investor and then a portfolio manager of risk rarity strategy, I find Dr. Qian’s book serves as a great reference. It’s a must-have for people who are interested in asset allocation and multi-asset investing, with rigorous theory as well as real money management considerations."
—Dr. Hua Fan, Senior Managing Director, Head of Fixed Income and Absolute Return Investment Department, China Investment Corp
—Michael Campbell, MBA, CAIA, Deputy Chief Investment Officer, Workplace Safety and Insurance Board (WSIB), Toronto, Canada
"Edward Qian’s book is a must-read for both risk parity investors and practitioners. For investors, it is the ‘buyer’s guide’ of a financial product category with lots of buzz, but not many structures. For practitioners, it is a DIY book written by a leading practitioner and theorist. Skillfully illustrating complex mathematical concepts through easy-to-understand analogies, Dr. Qian makes his investment insights available to both quantitative and non-quantitative oriented audiences. Dr. Qian carefully examines many important debates regarding risk parity investing and offers his insightful analyses. We can all learn something new from Dr. Qian’s writing."
—Ronald Hua, Managing Director, Goldman Sachs Asset Managements
"Dr. Edward Qian, the inventor of the term ‘risk parity,’ started to manage risk parity portfolios in 2006—long before the strategy gained popularity in recent years. This book was based on a collection of essays for investors that Dr. Qian wrote over the years. With additional effort, Dr. Qian turned it into a comprehensive framework on multi-asset investment, a ready-to-use textbook for serious investors. As an investor and then a portfolio manager of risk rarity strategy, I find Dr. Qian’s book serves as a great reference. It’s a must-have for people who are interested in asset allocation and multi-asset investing, with rigorous theory as well as real money management considerations."
—Dr. Hua Fan, Senior Managing Director, Head of Fixed Income and Absolute Return Investment Department, China Investment Corp
Descriere
Written by an experienced researcher and portfolio manager who coined the term "risk parity," this book provides readers with a practical understanding of the risk parity investment approach. It uses fundamental, quantitative, and historical analysis to address the merit of risk parity as well as the practical and underlying aspects of risk parity investing. Requiring no advanced degrees in quantitative fields, the book analyzes risk parity performance from historical periods and more recent market environments.