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Practical risk-adjusted performance measurement /
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 straightforwar...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, N.J. :
Wiley,
2013.
|
| Colección: | Wiley finance series.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Bacon, Carl R. | |
| 245 | 1 | 0 | |a Practical risk-adjusted performance measurement / |c Carl R. Bacon. |
| 260 | |a Hoboken, N.J. : |b Wiley, |c 2013. | ||
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a [Wiley finance series] | |
| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Print version record and CIP data provided by publisher. | |
| 505 | 0 | |a ""Series Page""; ""Title Page""; ""Copyright""; ""Dedication""; ""Preface""; ""Acknowledgements""; ""Chapter 1: Introduction""; ""DEFINITION OF RISK""; ""Chapter 2: Descriptive Statistics""; ""Mean (or arithmetic mean)""; ""Annualised return""; ""Continuously compounded returns (or log returns)""; ""Winsorised mean""; ""Mean absolute deviation (or mean deviation)""; ""Variance""; ""Mean difference (absolute mean difference or Gini mean difference)""; ""Relative mean difference""; ""Bessel's correction (population or sample, n or nâˆ'1)""; ""Sample variance"" | |
| 505 | 8 | |a ""Up number ratio""""Down number ratio""; ""Up percentage ratio""; ""Down percentage ratio""; ""Percentage gain ratio""; ""Hurst index (or Hurst exponent)""; ""Bias ratio""; ""Chapter 3: Simple Risk Measures""; ""Performance appraisal""; ""Sharpe ratio (reward to variability, Sharpe index)""; ""Roy ratio""; ""Risk free rate""; ""Alternative Sharpe ratio""; ""Revised Sharpe ratio""; ""Adjusted Sharpe ratio""; ""Skewness-kurtosis ratio""; ""MAD ratio""; ""Gini ratio""; ""Relative risk""; ""Tracking error (or tracking risk, relative risk, active risk)""; ""Relative skewness"" | |
| 505 | 8 | |a ""Relative kurtosis""""Information ratio""; ""Geometric information ratio""; ""Modified information ratio""; ""Adjusted information ratio""; ""Relative Hurst""; ""Chapter 4: Regression Analysis""; ""Regression equation""; ""Regression alpha (αR)""; ""Regression beta (βR)""; ""Regression epsilon (É›R)""; ""Capital Asset Pricing Model (CAPM)""; ""Beta (β) (systematic risk or volatility)""; ""Jensen's alpha (Jensen's measure or Jensen's differential return or ex-post alpha)""; ""Annualised alpha""; ""Bull beta (β+)""; ""Bear beta (βâˆ')""; ""Beta timing ratio""; ""Market timing"" | |
| 505 | 8 | |a ""Systematic risk""""R2 (or coefficient of determination)""; ""Specific or residual risk""; ""Treynor ratio (reward to volatility)""; ""Modified Treynor ratio""; ""Appraisal ratio (or Treynor-Black ratio)""; ""Modified Jensen""; ""Fama decomposition""; ""Selectivity""; ""Diversification""; ""Net selectivity""; ""Fama-French three factor model""; ""Three factor alpha (or Fama-French alpha)""; ""Carhart four factor model""; ""Four factor alpha (or Carhart's alpha)""; ""K ratio""; ""Chapter 5: Drawdown""; ""Drawdown""; ""Average drawdown""; ""Maximum drawdown (or peak to valley drawdown)"" | |
| 520 | |a 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. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Financial risk management. | |
| 650 | 0 | |a Performance standards. | |
| 650 | 0 | |a Risk management. | |
| 650 | 6 | |a Finances |x Gestion du risque. | |
| 650 | 6 | |a Rendement au travail |x Normes. | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Insurance |x Risk Assessment & Management. |2 bisacsh | |
| 650 | 7 | |a Financial risk management |2 fast | |
| 650 | 7 | |a Performance standards |2 fast | |
| 650 | 7 | |a Risk management |2 fast | |
| 650 | 2 | |a Risk Management | |
| 655 | 7 | |a dissertations. |2 aat | |
| 655 | 7 | |a Academic theses |2 fast | |
| 655 | 7 | |a Academic theses. |2 lcgft | |
| 655 | 7 | |a Thèses et écrits académiques. |2 rvmgf | |
| 758 | |i has work: |a Practical risk-adjusted performance measurement (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGfVQxtFW4Xctgy4FqmFmm |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Bacon, Carl R. |t Practical risk-adjusted performance measurement. |d Hoboken, N.J. : Wiley, 2013 |z 9781118369746 |w (DLC) 2012023317 |
| 830 | 0 | |a Wiley finance series. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=947704 |z Texto completo |
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