Practical risk-adjusted performance measurement [electronic resource] / Carl R. Bacon.
- 作者： Bacon, Carl R.
- 其他題名：
- Wiley finance series.
- 出版： Chichester, West Sussex : Wiley 2022.
- 叢書名： Wiley finance series
- 主題： Financial risk management. , Performance standards. , Risk management.
- 版本：2nd ed.
- ISBN： 9781119838883 (oBook) 、 1119838886 (oBook) 、 9781119838869 (ePDF) 、 111983886X (ePDF) 、 9781119838876 (epub) 、 1119838878 (epub)
- URL：
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- 一般註：Includes bibliographical references and index. 112年度臺灣學術電子書暨資料庫聯盟採購
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讀者標籤：
- 系統號： 000304634 | 機讀編目格式
館藏資訊
A practitioner's guide to ex-post performance measurement techniques Risk within asset management firms has an undeserved reputation for being an overly complex, mathematical subject. This book simplifies the subject and demonstrates with practical examples that risk is perfectly straightforward and not as complicated as it might seem. Unlike most books written on portfolio risk, which generally focus on ex-ante risk from an academic perspective using complicated language and no worked examples, this book focuses on ex-post risk from a buy side, asset management, risk practitioners pe.
摘要註
"Risk has an undeserved reputation within asset management for being an overly complex, mathematical subject. Practical Risk-adjusted Performance Measurement, Second Edition simplifies the subject and demonstrates with practical examples that risk is perfectly straightforward and not as complicated as it might seem. Written for risk and performance measurement practitioners from a buy side, asset management perspective, this book fills the gap between practice and theory, focusing on quantitative ex-post measures rather than the qualitative aspects of risk and providing numerous, practical worked examples of risk measures and their interpretation. This fully updated new edition takes the opportunity to add several new measures, provide additional explanations where necessary and add six new chapters. Chapters 1 and 2 introduce the subject of risk in the context of asset management firms and lay out the foundations by setting out the descriptive statistics that will be used in later chapters. The following chapters are structured according to the type of risk measure being considered: simple performance appraisal measures in Chapter 3, regression measures in Chapter 4, drawdown in Chapter 5, partial moments in Chapter 6, a new Chapter 7 based on Prospect Theory, extreme risk in Chapter 8, risk measures for fixed income instruments in Chapter 9, a new Chapter 10 including miscellaneous risk measures which are difficult to characterise and risk-adjusted returns in Chapter 11. Chapters 12 to 16 are entirely new chapters for this edition. Chapter 12 classifies all of the ex-post risk measures and describes how they are linked in the form of a periodic table of risk measures. Chapter 13 discusses the use of risk-adjusted performance measures in the context of performance fees. Chapter 14 discusses dashboard design in the context of risk measures, Chapter 15 looks at the important subject of how appraisal measures should be used in the context of manager selection and C