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Practical Risk-Adjusted Performance Measurement. 2nd ed. リスク調整した成果測定 第2版
・ISBN 978-1-119-83884-5 2021 hard US$ 94.00
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-119-83888-3
| 著者・編者 | Bacon, Carl R., |
|---|---|
| シリーズ | Wiley Finance |
| 出版社 | (Wiley, US) |
| 出版年月 | 2021.12 |
| ページ数 | 256 pp. |
| 言語 | ENG |
| ニュース番号 | ＜664-1400＞ |
解説
Explore different measures of ex-post risk-adjusted performance measurement and learn to choose the correct one
In the newly revised Second Edition of Practical Risk-Adjusted Performance Measurement, accomplished risk and investment expert Carl R. Bacon delivers an insightful, accessible, and real-world guide to ex-post risk measurement. The author bridges the gap between theory and practice, showing you how to apply the former to the latter without introducing unnecessary mathematical complexity.
The book describes the fundamentals of risk in the asset management context and the descriptive statistics used to describe it. It builds on that foundation with detailed examinations of concepts like regression, drawdown, and partial moments, before moving on to topics like fixed income risk and Prospect Theory.
With helpful additions that include recently developed measures of risk, supplementary explanatory sections, and six brand-new chapters, this book also offers:
- A practical classification of all ex-post risk measures and how they connect to one another
- An explanation of how risk-adjusted performance measures impact performance fees
- A discussion of risk measure dashboard designs
- Instructions on how appraisal measures should be used for manager selection
Perfect for portfolio managers, asset owners, risk controllers, and investment performance analysts, Practical Risk-Adjusted Performance Measurement is an indispensable resource for anyone looking for a hands-on exploration of the buy-side, asset management perspective.