Scenarios for Risk Management and Global Investment Strategies

“This is a fascinating book, with log-optimality presented in an engaging style. It is a rare combination of solid theory and practical application of great value to anyone managing a portfolio with an analytic approach.”
—David G. Luenberger, Professor of Management Science and Engineering, Stanford University

“A most effective combination of narrative case-studies and lucid exposition of the theory underpinning them. This book will speak to investors of all kinds and, what is more, it is an exceptionally enjoyable read even for the mathematically under-endowed.”
—Fram Dinshaw, Finance Bursar, St Catherine’s College, Oxford

Scenarios for Risk Management and Global Investment Strategies assesses the risks and challenges of modern investing, focusing on the importance of adapting and responding to changing investment climates. This book discusses the probabilities that various future events will occur an how these events and their probable occurrences influence investment decisions. Assessing all possible outcomes is fundamental to risk management, financial engineering and investment and hedge fund strategies. A careful consideration of future scenarios will lead to better investment decisions and help to avoid financial disasters. The book includes empirical studies of key markets and sectors and successful and disastrous investment results along with superior optimization strategies of the great investors. The book contains essential material for hedge fund managers, quants and traders, supplying them with the tools to build accurate investment scenarios and optimize returns.

Key features include:

• Detailed case studies analysing a wide variety of global investment strategies in key emerging and developed economies and in a variety of asset classes (commodities, fx markets, equities, bonds, alternative investments and hedge funds)
• New techniques using stochastic programming to build scenarios for managing risk to improve investment performance
• Shows how to make custom programs for optimal investment decisions
• Case studies of individual great investors to show how investors can predict useful market moves and prevent future investment disasters

“This unique team of father and daughter covers the most important areas of investing in depth. They tell the stories, perform the analyses (with just the right amount of math), and give us the macro and global insights. I can wholeheartedly recommend this fascinating and informative book.”
—Paul Wilmott, Mathematician and author

“A treasure trove of stimulating and useful ideas about the theory and practice of investing.”
—Edward O. Thorp, Edward O. Thorp & Associates