Advanced Portfolio Management. Giuseppe A. Paleologo
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Table of Contents
1 Cover
5 Chapter 1: For Whom? Why? And How? 1.1 What You Will Find Here 1.2 Asterisks; Or, How to Read This Book 1.3 Acknowledgments
6 Chapter 2: The Problem: From Ideas to Profit 2.1 How to Invest in Your Edge, and Hedge the Rest 2.2 How to Size Your Positions 2.3 How to Learn from Your History 2.4 How to Trade Efficiently 2.5 How to Limit Factor Risk 2.6 How to Control Maximum Losses 2.7 How to Determine Your Leverage 2.8 How to Analyze New Sources of Data Notes
7 Chapter 3: A Tour of Risk and Performance 3.1 Introduction 3.2 Alpha and Beta 3.3 Where Does Alpha Come From? 3.4 Estimate Risk in Advance 3.5 First Steps in Risk Decomposition 3.6 Simple Hedging 3.7 Separation of Concerns 3.8 Takeaway Messages Notes
8 Chapter 4: An Introduction to Multi-Factor Models 4.1 From One Factor to Many 4.2 ★Frequently Asked Questions About Risk 4.3 ★The Machinery of Risk Models 4.4 Takeaway Messages Notes
9 Chapter 5: Understand Factors 5.1 The Economic Environment 5.2 The Trading Environment 5.3 The Company: Valuation Factors 5.4 Takeaway Messages Notes
10 Chapter 6: Use Effective Heuristics for Alpha Sizing 6.1 Sharpe Ratio 6.2 Estimating Expected Returns 6.3 Risk-Based Sizing 6.4 ★Empirical Analysis of the Sizing Rules 6.5 From Ideas to Positions 6.6 Time-Series Risk-Based Portfolio Targeting 6.7 ★Frequently Asked Questions About Performance 6.8 Takeaway Messages Notes
11 Chapter 7: Manage Factor Risk 7.1 Tactical Factor Risk Management 7.2 Strategic Factor Risk Management 7.3 Systematic Hedging and Portfolio Management 7.4 Takeaway Messages Notes
12 Chapter 8: Understand Your Performance 8.1 Factor 8.2 Idiosyncratic 8.3 Trade Events Efficiently 8.4 ★Use Alternative Data! 8.5 ★Frequently Asked Questions About Performance 8.6 Takeaway Messages Notes
13 Chapter 9: Manage Your Losses 9.1 How Stop-Loss Works 9.2 Why a Stop-Loss Policy? 9.3 The Costs and Benefits of Stop-Loss 9.4 Takeaway Messages Notes