Tail Risk Hedging is built on the author'spractical experience applying macroeconomic forecasting and quantitative modeling techniques across asset markets. Using empirical data and charts, he explains the consequences of diversification failure in tail events andhow to manage portfolios when this happens. He provides an easy-to-use, yet rigorous framework for protecting investment portfolios against tail risk and using tail hedging to play offense. Tail Risk Hedging exploreshow to:
- Generate profits from volatility and illiquidity during tail-risk events in equity and credit markets
- Buy attractively priced tail hedges that add value to a portfolio and quantify basis risk
- Interpret the psychology of investors in option pricing and portfolio construction
- Customize explicit hedges for retirement investments
- Hedge risk factors such as duration risk and inflation risk
Managing tail risk is today's most significant development in risk management, and this thorough guide helps you access every aspect of it. With the time-tested and mathematically rigorous strategies described here, including pieces of computer code, you get access to insights to help mitigate portfolio losses in significant downturns, create explosive liquidity while unhedged participants are forced to sell, and create more aggressive yet tail-risk-focused portfolios. The book also gives you a unique, higher level view of how tail risk is related to investing in alternatives, and of derivatives such as zerocost collars and variance swaps. Volatilityand tail risks are here to stay, and so should your clients' wealth when you use Tail Risk Hedging for managing portfolios.
PRAISE FOR TAIL RISK HEDGING:
"Managing, mitigating, and even exploiting the risk of bad times are the most important concerns in investments. Bhansali puts tail risk hedging and tail risk management under a microscope—pricing, implementation, and showing how we can fine-tune our risk exposures, which are all crucial ways in how we can better weather our bad times." — ANDREW ANG, Ann F. Kaplan Professor of Business at Columbia University
"This book is critical and accessible reading for fiduciaries, financial consultants and investors interested in both theoretical foundations and practical considerations for how to frame hedging downside risk in portfolios. It is a tremendous resource for anyoneinvolved in asset allocation today." — CHRISTOPHER C. GECZY, Ph.D., Academic Director, Wharton Wealth Management Initiative and Adj. Associate Professor of Finance, The Wharton School"Bhansali's book demonstrates how tail risk hedging can work, be concretely implemented, and lead to higher returns so that it is possible to have your cake and eat it too! A must read for the savvy investor." — DIDIER SORNETTE, Professor on the Chair of Entrepreneurial Risks, ETH Zurich
Tail Risk Hedging is built on the author'spractical experience applying macroeconomic forecasting and quantitative modeling techniques across asset markets. Using empirical data and charts, he explains the consequences of diversification failure in tail events andhow to manage portfolios when this happens. He provides an easy-to-use, yet rigorous framework for protecting investment portfolios against tail risk and using tail hedging to play offense. Tail Risk Hedging exploreshow to:
- Generate profits from volatility and illiquidity during tail-risk events in equity and credit markets
- Buy attractively priced tail hedges that add value to a portfolio and quantify basis risk
- Interpret the psychology of investors in option pricing and portfolio construction
- Customize explicit hedges for retirement investments
- Hedge risk factors such as duration risk and inflation risk
Managing tail risk is today's most significant development in risk management, and this thorough guide helps you access every aspect of it. With the time-tested and mathematically rigorous strategies described here, including pieces of computer code, you get access to insights to help mitigate portfolio losses in significant downturns, create explosive liquidity while unhedged participants are forced to sell, and create more aggressive yet tail-risk-focused portfolios. The book also gives you a unique, higher level view of how tail risk is related to investing in alternatives, and of derivatives such as zerocost collars and variance swaps. Volatilityand tail risks are here to stay, and so should your clients' wealth when you use Tail Risk Hedging for managing portfolios.
PRAISE FOR TAIL RISK HEDGING:
"Managing, mitigating, and even exploiting the risk of bad times are the most important concerns in investments. Bhansali puts tail risk hedging and tail risk management under a microscope—pricing, implementation, and showing how we can fine-tune our risk exposures, which are all crucial ways in how we can better weather our bad times." — ANDREW ANG, Ann F. Kaplan Professor of Business at Columbia University
"This book is critical and accessible reading for fiduciaries, financial consultants and investors interested in both theoretical foundations and practical considerations for how to frame hedging downside risk in portfolios. It is a tremendous resource for anyoneinvolved in asset allocation today." — CHRISTOPHER C. GECZY, Ph.D., Academic Director, Wharton Wealth Management Initiative and Adj. Associate Professor of Finance, The Wharton School"Bhansali's book demonstrates how tail risk hedging can work, be concretely implemented, and lead to higher returns so that it is possible to have your cake and eat it too! A must read for the savvy investor." — DIDIER SORNETTE, Professor on the Chair of Entrepreneurial Risks, ETH Zurich
Tail Risk Hedging: Creating Robust Portfolios for Volatile Markets
272
Tail Risk Hedging: Creating Robust Portfolios for Volatile Markets
272Hardcover(New Edition)
Product Details
| ISBN-13: | 9780071791755 |
|---|---|
| Publisher: | McGraw Hill LLC |
| Publication date: | 01/17/2014 |
| Edition description: | New Edition |
| Pages: | 272 |
| Product dimensions: | 11.20(w) x 7.60(h) x 1.30(d) |