Think on the Downside. A few alternative measures of market risk that lead to safer and more profitable investment strategies

      Аннотация: In this book you will find a few strategies at the cutting edge of asset pricing research that will help you lower or even eliminate your exposure to market cycles. For a portfolio holder or manager, these strategies provide a framework for analysing and rebalancing the portfolio you already have or might think of investing in, without suggesting to add any complex financial instruments to the mix. For a pension fund, a hedge fund or a similar type of firm, these strategies represent potential investment products not unlike "Size", "Value" or "Momentum", with both a theoretical justification and a wide range of performance tests already provided. For an academic, this book provides a completely new three-factor model that prices the Momentum factor while being completely justified by modern finance theory. In summary, this book will provide something of interest to anyone who wants to know more about the financial market.

Ключевые слова: Risk Management, asset pricing, Investment Strategy, Home Bias, alternative risk measures, Downside risk, MLPM, Omega, co-skewness, co-kurtosis, Multi-Factor Model