图书简介
Investment Analytics: Theory and Practice is a textbook designed for:
• Advanced undergraduates hoping to acquire a solid introduction to investment analytics used by the asset management industry
• Graduate students with backgrounds in engineering mathematics, seeking to move into investment-related roles; and
• Investment professionals taking a deep professional education module to get up to date on the advanced investment analytics used by leading global asset managers.
Bernard Lee, renowned author and practitioner, seeks to achieve a practical balance in this textbook. The majority of existing popular investment textbooks represent either the academically precise end of the spectrum, which often aim at summarizing investment research conducted for its own sake, or the practitioner-end of the spectrum, which avoids any detailed step-by-step discussion on implementation for competitive reasons.
This textbook consists of illustrations that are "real-world", practical investment problems. Materials are built up systematically, so that students can learn from step-by-step derivation and replicate the techniques involved.
Key Features:
○ Instead of large blocks of potentially confusing text, this textbook is designed as a practical teaching aid based on a mix of bullets in typical slide format with text explanations to follow. To the extent sensible, contents will be further broken down into simple Q&As
○ This textbook is unique in its successful attempt to blend theory and practice with the use of rigorous materials. After each section of theories, there will be practical applications and case studies. Case studies will focus on real or plausible investment problems, unlike typical case studies on investments from customary sources, which may come across as "neither here nor there"
○ Exercises should encourage peer/group interactions. The end of each major section should conclude with a major student project. The courseware that accompanies the textbook will offer as a limited functionality edition of state-of-the-art investment analytics tools, similar to those used by the largest and most sophisticated institutional investors
○ Structurally organized so as to be taught over 3 terms — with focus on investment assets, portfolio management and risk management respectively — or condensed as an intense multi-asset course for professional education
○ Supplementary teaching aids such as slides and relevant on-line videos will be made available to instructors
Introduction: Recommended Course Structure; Defining Investment Objectives; Asset Selection: Equity; Fixed Income; Commodities; Alternative Investments and Real Estate; Common Derivatives; Alpha Selection and Factor Exposure; Portfolio Construction: Single-factor Models; Multi-factor Models; Detecting and Trading Misvaluation; Portfolio Construction and Market Execution; Rebalancing and Modeling Market Impact; Active Returns and Composite Benchmarks; Modeling Multi-frequency, Multi-asset Portfolios; Risk Management: Risk and Return Attributions; Drawdowns and Extreme Risk Measures; Total Cost Hedging; Market Scenarios; Attributions under Scenarios; Historical and Forward-looking Simulations; Business Issues: Compliance Analysis; Net Asset Value Reporting and Related Accounting Issues; Ethics and the AIMR Standards of Practice; Back Matter: Other Case Studies;
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