Portfolio Risk Analysis

By Gregory Connor; Lisa Goldberg et al. | Go to book overview
Contents
Acknowledgmentsxi
Introductionxiii
Key Notationxix
1Measures of Risk and Return1
1.1 Measuring Return1
1.2 The Key Portfolio Risk Measures6
1.3 Risk–Return Preferences and Portfolio Optimization12
1.4 The Capital Asset Pricing Model and Its Applications to Risk Analysis23
1.5 The Objectives and Limitations of Portfolio Risk Analysis31
2Unstructured Covariance Matrices36
2.1 Estimating Return Covariance Matrices36
2.2 The Error-Maximization Problem47
2.3 Portfolio Choice as Decision Making under Uncertainty54
3Industry and Country Risk61
3.1 Industry–Country Component Models61
3.2 Empirical Evidence on the Relative Magnitudes of Country and Industry Risks73
3.3 Sector–Currency Models of Corporate Bond Returns77
4Statistical Factor Analysis79
4.1 Types of Factor Models79
4.2 Approximate Factor Models82
4.3 The Arbitrage Pricing Theory86
4.4 Small-n Estimation Methods88
4.5 Large-n Estimation Methods93
4.6 Number of Factors98
5The Macroeconomy and Portfolio Risk101
5.1 Estimating Macroeconomic Factor Models101
5.2 Event Studies of Macroeconomic Announcements110

-vii-

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Portfolio Risk Analysis
Table of contents

Table of contents

  • Title Page iii
  • Contents vii
  • Acknowledgments xi
  • Introduction xiii
  • Key Notation xix
  • 1: Measures of Risk and Return 1
  • 2: Unstructured Covariance Matrices 36
  • 3: Industry and Country Risk 61
  • 4: Statistical Factor Analysis 79
  • 5: The Macroeconomy and Portfolio Risk 101
  • 6: Security Characteristics and Pervasive Risk Factors 117
  • 7: Measuring and Hedging Foreign Exchange Risk 134
  • 8: Integrated Risk Models 155
  • 9: Dynamic Volatilities and Correlations 167
  • 10: Portfolio Return Distributions 191
  • 11: Credit Risk 212
  • 12: Transaction Costs and Liquidity Risk 241
  • 13: Alternative Asset Classes 271
  • 14: Performance Measurement 299
  • 15: Conclusion 319
  • References 323
  • Index 345
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