About the EditorsThis book contains the recent contributions of Edwin J Elton and Martin J Gruber to the field of investments. All of the articles in this book have been published in the leading finance and economic journals. Sixteen of the nineteen articles have been published in the last ten...

In this paper, we propose a flexible tool to estimate the risk sensitivity of a high-dimensional portfolio composed of different classes of assets, especially in extreme risk circumstances. We build a so-called Cvine Risk Factors Model (CRFM), which is a non-linear version of a risk factor model...

The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...

Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they suffer two intricate drawbacks (1) they are relative to a perr's performance and (2) the best score is generally assumed to correspond to a "good" portfolio allocation, with no...

This paper analyses the relationship between governance, asset allocation, and risk among state and local government-operated pension systems in the United States. It is argued that governance influences investment decisions and risk profiles of public sector pension systems, creating the...

Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they are known to suffer major drawbacks. Among them, two are intricate : (1) they are relative to a peer's performance and (2) the best score is generally assumed to correspond to a...

Each financial crisis calls for ¡ª by its novelty and the mechanisms it shares with preceding crises ¡ª appropriate means to analyze financial risks. In <em>Extreme Financial Risks and Asset Allocation</em>, the authors present in an accessible and timely manner the concepts, methods, and techniques...

Security Analysis, Portfolio Management, and Financial Derivatives integrates the many topics of modern investment analysis. It provides a balanced presentation of theories, institutions, markets, academic research, and practical applications, and presents both basic concepts and advanced...