Positive Alpha Generation: Designing Sound Investment...

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Positive Alpha Generation: Designing...

Positive Alpha Generation: Designing Sound Investment Processes (The Wiley Finance Series)

Name: Positive Alpha Generation: Designing Sound Investment Processes (The Wiley Finance Series)
ISBN: 9780470061114

Claude Diderich

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Think of this book perhaps as providing a meta-alpha framework. It explains an approach that lets you assess and implement different alpha models. Many risk based models are described. The mathematical treatment is rather advanced. By way of example, you are or should already know at a detailed level the ideas behind CAPM (Capital Asset Pricing Model).One important section talks about portfolio construction algorithms, and how to get total risk from specific and systematic sources.For institutional investors, the book recommends the use of benchmarks. Indeed, it is hard to imagine such an investor not using benchmarks these days. Several sources of benchmarks are proferred.The agency problem is also addressed. Where this distinguishes responsibility for different parts of a portfolio return.

سب زمرہ:

Business & Economics - Management & Leadership

سال:

2009

ناشر کتب:

Wiley

زبان:

english

صفحات:

369

ISBN 10:

0470061111