Books and Periodicals

Books, book chapters and trade-magazine articles written by our researchers.

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  1. Regression analysis can help investors better understand the risk factors present in their portfolios, which has multiple benefits.

  2. Buying equity put options to reduce a portfolio’s downside risk exposure is so attractive that the high cost of doing so all but offsets the benefit, the authors contend. Counterintuitively, they argue that taking on downside risk by selling call options can provide higher long-term returns.

  3. This book explains how to manage risk when working in various different financial institutions and how to properly report risk and how to deal with and comply with regulations.

  4. Market timing is very hard. For those who think market timing a two-asset mix of stocks and bonds is impossible, authors give some measured hope, while for those who think it’s easy, authors show that it isn’t. The authors’ advice is therefore to “sin a little.”

  5. The author argues that certain well-known classic strategies that have worked over the long term will continue to work going forward, though perhaps not at the same level and with different risks than in the past.

  6. Amid the discussion of how best to implement a risk parity strategy, the authors say that investors should remember that the most important thing is to diversify across asset classes by risk, not by capital.

  7. This book describes the key trading strategies used by hedge funds and demystifies the secret world of active investing. It combines the latest research with real-world examples and interviews with top hedge fund managers to show how certain trading strategies make money and why they sometimes don't.

  8. “Smart beta” strategies (including “Fundamental Indexing”) are just a new way to describe some well-known and well-tested investment ideas.

  9. Style premia, whether in long-only or long/short portfolios, may provide as much excess returns as manager alpha, only in a transparent framework and at a fair cost.

  10. “Gambler’s ruin” describes several statistical ideas whose common denominator is predicting the eventual outcome of a series of repeated bets. Whether you are a gambler or a mathematician or, you need to think a lot about ruin.