Strategic risk management: designing portfolios and managing risk
"Risk management is a trending topic. We have recently lived through the global pandemic, which sent equity markets into a tailspin. Despite its relevance, risk management remains a poorly understood afterthought, with portfolios designed and handed off to the risk management team without a bac...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken, New Jersey
John Wiley & Sons, Inc.
[2021]
|
| Series: | Wiley finance
|
| Subjects: | |
| Links: | https://learning.oreilly.com/library/view/-/9781119773917/?ar |
| Summary: | "Risk management is a trending topic. We have recently lived through the global pandemic, which sent equity markets into a tailspin. Despite its relevance, risk management remains a poorly understood afterthought, with portfolios designed and handed off to the risk management team without a backward glance. Our book presents a different vision. It is based on the integration of the investment and risk processes, the cornerstone of the success of the world's largest publicly listed hedge fund company, Man Group, to which the authors are affiliated. Market selloffs, such as the one we experienced in the first quarter of 2020 with the global Covid-19 pandemic, are fresh reminders of the importance of risk management. Unfortunately, it is only after these painful episodes that investment processes are re-examined. Indeed, a popular approach is to have two separate groups with a fund. The portfolio is designed by an investment management team and then handed off and monitored by a risk management team. This approach essentially sets tripwires that trigger risk reductions. We advocate a different approach. Risk management should be an integral part of the portfolio design. This is what we refer to as strategic risk management. In this book, we set forward this new framework where we explore critical aspects of portfolio design including: defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. We have published a number of research papers on these components of risk management. The first quarter of 2020 provided a unique out-of-sample test. Our book also explores how our recommendations fared in the most recent drawdown"-- |
| Item Description: | Includes index. - Description based on online resource; title from digital title page (viewed on December 15, 2021) |
| Physical Description: | 1 Online-Ressource. |
| ISBN: | 9781119773924 111977392X 9781119773948 1119773946 9781119773917 |
Staff View
MARC
| LEADER | 00000cam a22000002c 4500 | ||
|---|---|---|---|
| 001 | ZDB-30-ORH-067584284 | ||
| 003 | DE-627-1 | ||
| 005 | 20240228121319.0 | ||
| 007 | cr uuu---uuuuu | ||
| 008 | 210811s2021 xx |||||o 00| ||eng c | ||
| 020 | |a 9781119773924 |c electronic book |9 978-1-119-77392-4 | ||
| 020 | |a 111977392X |c electronic book |9 1-119-77392-X | ||
| 020 | |a 9781119773948 |c electronic book |9 978-1-119-77394-8 | ||
| 020 | |a 1119773946 |c electronic book |9 1-119-77394-6 | ||
| 020 | |a 9781119773917 |9 978-1-119-77391-7 | ||
| 035 | |a (DE-627-1)067584284 | ||
| 035 | |a (DE-599)KEP067584284 | ||
| 035 | |a (ORHE)9781119773917 | ||
| 035 | |a (DE-627-1)067584284 | ||
| 040 | |a DE-627 |b ger |c DE-627 |e rda | ||
| 041 | |a eng | ||
| 082 | 0 | |a 332.6 |2 23 | |
| 100 | 1 | |a Harvey, Campbell R. |e VerfasserIn |4 aut | |
| 245 | 1 | 0 | |a Strategic risk management |b designing portfolios and managing risk |c Campbell R. Harvey, Sandy Rattray, Otto Van Hemert |
| 264 | 1 | |a Hoboken, New Jersey |b John Wiley & Sons, Inc. |c [2021] | |
| 300 | |a 1 Online-Ressource. | ||
| 336 | |a Text |b txt |2 rdacontent | ||
| 337 | |a Computermedien |b c |2 rdamedia | ||
| 338 | |a Online-Ressource |b cr |2 rdacarrier | ||
| 490 | 0 | |a Wiley finance | |
| 500 | |a Includes index. - Description based on online resource; title from digital title page (viewed on December 15, 2021) | ||
| 520 | |a "Risk management is a trending topic. We have recently lived through the global pandemic, which sent equity markets into a tailspin. Despite its relevance, risk management remains a poorly understood afterthought, with portfolios designed and handed off to the risk management team without a backward glance. Our book presents a different vision. It is based on the integration of the investment and risk processes, the cornerstone of the success of the world's largest publicly listed hedge fund company, Man Group, to which the authors are affiliated. Market selloffs, such as the one we experienced in the first quarter of 2020 with the global Covid-19 pandemic, are fresh reminders of the importance of risk management. Unfortunately, it is only after these painful episodes that investment processes are re-examined. Indeed, a popular approach is to have two separate groups with a fund. The portfolio is designed by an investment management team and then handed off and monitored by a risk management team. This approach essentially sets tripwires that trigger risk reductions. We advocate a different approach. Risk management should be an integral part of the portfolio design. This is what we refer to as strategic risk management. In this book, we set forward this new framework where we explore critical aspects of portfolio design including: defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. We have published a number of research papers on these components of risk management. The first quarter of 2020 provided a unique out-of-sample test. Our book also explores how our recommendations fared in the most recent drawdown"-- | ||
| 650 | 0 | |a Portfolio management | |
| 650 | 0 | |a Risk management | |
| 650 | 4 | |a Gestion de portefeuille | |
| 650 | 4 | |a Gestion du risque | |
| 650 | 4 | |a risk management | |
| 650 | 4 | |a Portfolio management | |
| 650 | 4 | |a Risk management | |
| 700 | 1 | |a Rattray, Sandy |e VerfasserIn |4 aut | |
| 700 | 1 | |a Hemert, Otto van |d 1977- |e VerfasserIn |4 aut | |
| 776 | 1 | |z 9781119773917 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 9781119773917 |
| 966 | 4 | 0 | |l DE-91 |p ZDB-30-ORH |q TUM_PDA_ORH |u https://learning.oreilly.com/library/view/-/9781119773917/?ar |m X:ORHE |x Aggregator |z lizenzpflichtig |3 Volltext |
| 912 | |a ZDB-30-ORH | ||
| 912 | |a ZDB-30-ORH | ||
| 951 | |a BO | ||
| 912 | |a ZDB-30-ORH | ||
| 049 | |a DE-91 | ||
Record in the Search Index
| DE-BY-TUM_katkey | ZDB-30-ORH-067584284 |
|---|---|
| _version_ | 1831287049416605696 |
| adam_text | |
| any_adam_object | |
| author | Harvey, Campbell R. Rattray, Sandy Hemert, Otto van 1977- |
| author_facet | Harvey, Campbell R. Rattray, Sandy Hemert, Otto van 1977- |
| author_role | aut aut aut |
| author_sort | Harvey, Campbell R. |
| author_variant | c r h cr crh s r sr o v h ov ovh |
| building | Verbundindex |
| bvnumber | localTUM |
| collection | ZDB-30-ORH |
| ctrlnum | (DE-627-1)067584284 (DE-599)KEP067584284 (ORHE)9781119773917 |
| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03641cam a22005292c 4500</leader><controlfield tag="001">ZDB-30-ORH-067584284</controlfield><controlfield tag="003">DE-627-1</controlfield><controlfield tag="005">20240228121319.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">210811s2021 xx |||||o 00| ||eng c</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781119773924</subfield><subfield code="c">electronic book</subfield><subfield code="9">978-1-119-77392-4</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">111977392X</subfield><subfield code="c">electronic book</subfield><subfield code="9">1-119-77392-X</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781119773948</subfield><subfield code="c">electronic book</subfield><subfield code="9">978-1-119-77394-8</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1119773946</subfield><subfield code="c">electronic book</subfield><subfield code="9">1-119-77394-6</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781119773917</subfield><subfield code="9">978-1-119-77391-7</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627-1)067584284</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)KEP067584284</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ORHE)9781119773917</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627-1)067584284</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.6</subfield><subfield code="2">23</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Harvey, Campbell R.</subfield><subfield code="e">VerfasserIn</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Strategic risk management</subfield><subfield code="b">designing portfolios and managing risk</subfield><subfield code="c">Campbell R. Harvey, Sandy Rattray, Otto Van Hemert</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Hoboken, New Jersey</subfield><subfield code="b">John Wiley & Sons, Inc.</subfield><subfield code="c">[2021]</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">Computermedien</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Wiley finance</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes index. - Description based on online resource; title from digital title page (viewed on December 15, 2021)</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">"Risk management is a trending topic. We have recently lived through the global pandemic, which sent equity markets into a tailspin. Despite its relevance, risk management remains a poorly understood afterthought, with portfolios designed and handed off to the risk management team without a backward glance. Our book presents a different vision. It is based on the integration of the investment and risk processes, the cornerstone of the success of the world's largest publicly listed hedge fund company, Man Group, to which the authors are affiliated. Market selloffs, such as the one we experienced in the first quarter of 2020 with the global Covid-19 pandemic, are fresh reminders of the importance of risk management. Unfortunately, it is only after these painful episodes that investment processes are re-examined. Indeed, a popular approach is to have two separate groups with a fund. The portfolio is designed by an investment management team and then handed off and monitored by a risk management team. This approach essentially sets tripwires that trigger risk reductions. We advocate a different approach. Risk management should be an integral part of the portfolio design. This is what we refer to as strategic risk management. In this book, we set forward this new framework where we explore critical aspects of portfolio design including: defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. We have published a number of research papers on these components of risk management. The first quarter of 2020 provided a unique out-of-sample test. Our book also explores how our recommendations fared in the most recent drawdown"--</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Portfolio management</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Risk management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Gestion de portefeuille</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Gestion du risque</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">risk management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Portfolio management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Rattray, Sandy</subfield><subfield code="e">VerfasserIn</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Hemert, Otto van</subfield><subfield code="d">1977-</subfield><subfield code="e">VerfasserIn</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="1" ind2=" "><subfield code="z">9781119773917</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="z">9781119773917</subfield></datafield><datafield tag="966" ind1="4" ind2="0"><subfield code="l">DE-91</subfield><subfield code="p">ZDB-30-ORH</subfield><subfield code="q">TUM_PDA_ORH</subfield><subfield code="u">https://learning.oreilly.com/library/view/-/9781119773917/?ar</subfield><subfield code="m">X:ORHE</subfield><subfield code="x">Aggregator</subfield><subfield code="z">lizenzpflichtig</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-30-ORH</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-30-ORH</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">BO</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-30-ORH</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-91</subfield></datafield></record></collection> |
| id | ZDB-30-ORH-067584284 |
| illustrated | Not Illustrated |
| indexdate | 2025-05-05T13:23:44Z |
| institution | BVB |
| isbn | 9781119773924 111977392X 9781119773948 1119773946 9781119773917 |
| language | English |
| open_access_boolean | |
| owner | DE-91 DE-BY-TUM |
| owner_facet | DE-91 DE-BY-TUM |
| physical | 1 Online-Ressource. |
| psigel | ZDB-30-ORH TUM_PDA_ORH ZDB-30-ORH |
| publishDate | 2021 |
| publishDateSearch | 2021 |
| publishDateSort | 2021 |
| publisher | John Wiley & Sons, Inc. |
| record_format | marc |
| series2 | Wiley finance |
| spelling | Harvey, Campbell R. VerfasserIn aut Strategic risk management designing portfolios and managing risk Campbell R. Harvey, Sandy Rattray, Otto Van Hemert Hoboken, New Jersey John Wiley & Sons, Inc. [2021] 1 Online-Ressource. Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Wiley finance Includes index. - Description based on online resource; title from digital title page (viewed on December 15, 2021) "Risk management is a trending topic. We have recently lived through the global pandemic, which sent equity markets into a tailspin. Despite its relevance, risk management remains a poorly understood afterthought, with portfolios designed and handed off to the risk management team without a backward glance. Our book presents a different vision. It is based on the integration of the investment and risk processes, the cornerstone of the success of the world's largest publicly listed hedge fund company, Man Group, to which the authors are affiliated. Market selloffs, such as the one we experienced in the first quarter of 2020 with the global Covid-19 pandemic, are fresh reminders of the importance of risk management. Unfortunately, it is only after these painful episodes that investment processes are re-examined. Indeed, a popular approach is to have two separate groups with a fund. The portfolio is designed by an investment management team and then handed off and monitored by a risk management team. This approach essentially sets tripwires that trigger risk reductions. We advocate a different approach. Risk management should be an integral part of the portfolio design. This is what we refer to as strategic risk management. In this book, we set forward this new framework where we explore critical aspects of portfolio design including: defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. We have published a number of research papers on these components of risk management. The first quarter of 2020 provided a unique out-of-sample test. Our book also explores how our recommendations fared in the most recent drawdown"-- Portfolio management Risk management Gestion de portefeuille Gestion du risque risk management Rattray, Sandy VerfasserIn aut Hemert, Otto van 1977- VerfasserIn aut 9781119773917 Erscheint auch als Druck-Ausgabe 9781119773917 |
| spellingShingle | Harvey, Campbell R. Rattray, Sandy Hemert, Otto van 1977- Strategic risk management designing portfolios and managing risk Portfolio management Risk management Gestion de portefeuille Gestion du risque risk management |
| title | Strategic risk management designing portfolios and managing risk |
| title_auth | Strategic risk management designing portfolios and managing risk |
| title_exact_search | Strategic risk management designing portfolios and managing risk |
| title_full | Strategic risk management designing portfolios and managing risk Campbell R. Harvey, Sandy Rattray, Otto Van Hemert |
| title_fullStr | Strategic risk management designing portfolios and managing risk Campbell R. Harvey, Sandy Rattray, Otto Van Hemert |
| title_full_unstemmed | Strategic risk management designing portfolios and managing risk Campbell R. Harvey, Sandy Rattray, Otto Van Hemert |
| title_short | Strategic risk management |
| title_sort | strategic risk management designing portfolios and managing risk |
| title_sub | designing portfolios and managing risk |
| topic | Portfolio management Risk management Gestion de portefeuille Gestion du risque risk management |
| topic_facet | Portfolio management Risk management Gestion de portefeuille Gestion du risque risk management |
| work_keys_str_mv | AT harveycampbellr strategicriskmanagementdesigningportfoliosandmanagingrisk AT rattraysandy strategicriskmanagementdesigningportfoliosandmanagingrisk AT hemertottovan strategicriskmanagementdesigningportfoliosandmanagingrisk |