Chapter 4. Portfolio Construction and Risk Management

Chapters in this book

1. Frontmatter i
2. Contents v
3. The Main Themes in Three Simple Tables vii
4. Preface xi
5. Acknowledgments xv
6. About the Author xvii
7. Introduction 1
8. Part I. Active Investment
9. Chapter 1. Understanding Hedge Funds and Other Smart Money 19
10. Chapter 2. Evaluating Trading Strategies: Performance Measures 27
11. Chapter 3. Finding and Backtesting Strategies: Profiting in Efficiently Inefficient Markets 39
12. Chapter 4. Portfolio Construction and Risk Management 54
13. Chapter 5. Trading and Financing a Strategy: Market and Funding Liquidity 63
14. Part II. Equity Strategies
15. Chapter 6. Introduction to Equity Valuation and Investing 87
16. Chapter 7. Discretionary Equity Investing 95
17. Chapter 8. Dedicated Short Bias 115
18. Chapter 9. Quantitative Equity Investing 133
19. Part III. Asset Allocation and Macro Strategies
20. Chapter 10. Introduction to Asset Allocation: The Returns to the Major Asset Classes 167
21. Chapter 11. Global Macro Investing 184
22. Chapter 12 Managed Futures: Trend-Following Investing 208
23. Part IV. Arbitrage Strategies
24. Chapter 13. Introduction to Arbitrage Pricing and Trading 233
25. Chapter 14. Fixed-Income Arbitrage 241
26. Chapter 15. Convertible Bond Arbitrage 269
27. Chapter 16. Event-Driven Investments 291
28. References 323
29. Index 331