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Risk Management and Investment Management
Level II ExamWeight: 20%, Full ExamWeight: 10%
56. Grinold and Kahn, Active Portfolio Management, 2nd Edition.
• Chapter 14 . . . . . . . . . . Portfolio Construction
• Chapter 17 . . . . . . . . . . Performance Analysis
56. Active Portfolio Management 2nd edition chapter 14 17.pdf
(1.64 MB, 需要: 1 个论坛币)
57. Lars Jaeger (editor), The New Generation of Risk Management for Hedge Funds and Private Equity
Investments, (London: Euromoney Institutional Investor , 2003).
• Chapter 6 . . . . . . . . . . . Funds of Hedge Funds, by Sohail Jaffer
• Chapter 27 . . . . . . . . . . Style Drifts: Monitoring, Detection and Control, by Pierre Yves Moix
58. Lars Jaeger , Through the Alpha Smoke Screens: A Guide to Hedge Fund Returns (New York: Institutional
Investor Books, 2005).
• Chapter 5 . . . . . . . . . . . Individual Hedge Fund Strategies
59. Jorion, Value-at-Risk, 3rd Edition.
• Chapter 7 . . . . . . . . . . . Portfolio Risk: Analytical Methods
• Chapter 17 . . . . . . . . . . VaR and Risk Budgeting in Investment Management
59. Value at Risk 3rd edition chapter 7 17.pdf
(2.16 MB, 需要: 1 个论坛币)
60. René Stulz, “Hedge Funds: Past, Present and Future.” Copy of article available at
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=939629.
60. Hedge Funds.pdf
(180.85 KB)
61. Robert Litterman and the Quantitative Resources Group, Modern Investment Management: An Equilibrium
Approach (Hoboken, NJ: JohnWiley & Sons, 2003).
• Chapter 17 . . . . . . . . . . Risk Monitoring and Performance Measurement
61. Modern Investment Management chapter 17.pdf
(1.68 MB, 需要: 1 个论坛币)
62. Leslie Rahl (editor), Risk Budgeting: A New Approach to Investing (London: Risk Books, 2004).
• Chapter 6 . . . . . . . . . . . Risk Budgeting for Pension Funds and Investment Managers Using VaR, by Michelle McCarthy
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