Alternative Investments: CAIA Level II by coll.

By coll.

In-depth point II examination coaching direct from the CAIA Association

CAIA point II is the professional research consultant for the Chartered replacement funding Analyst expert exam, and an authoritative consultant to operating within the substitute funding sphere. Written via the makers of the examination, this publication offers in-depth suggestions throughout the whole examination time table; the extent II techniques are similar to point I, yet this time you will overview them throughout the lens of chance administration and portfolio optimisation. issues comprise asset allocation and portfolio oversight, variety research, possibility administration, replacement asset securitisation, secondary industry construction, functionality and magnificence attribution and indexing and benchmarking, with transparent agency and a logical development so as to customize your practise concentration. This new 3rd variation has been up to date to align with the newest examination, and to mirror the present practices within the box.

The CAIA designation used to be constructed to supply a standardized wisdom base in the course of explosive capital influx into replacement investments. This ebook presents a single-source repository of that crucial details, adapted to these getting ready for the extent II examination.

  • Measure, video display and deal with money from a threat administration perspective
  • Delve into complex portfolio buildings and optimisation strategies
  • Master the nuances of personal fairness, actual resources, commodities and hedge funds
  • Gain specialist perception into getting ready completely for the CAIA point II exam

The CAIA constitution programme is rigorous and entire, and the designation is globally recognized because the maximum normal in substitute funding schooling. applicants looking thorough guidance and certain causes of all facets of different funding desire glance no extra than CAIA point II.

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Additional resources for Alternative Investments: CAIA Level II

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5, we are assuming that risk can be measured using variance or standard deviation of returns. This assumption is reasonable if investment returns are approximately normal. While the normal distribution might be a reasonable approximation to returns for equities, empirical evidence suggests that most alternative investments have return distributions that significantly depart from the normal distribution. In addition, return distributions from structured products tend to deviate from normality in significant ways.

It is typically assumed that most investors dislike variance (λ1 > 0), like positive skewness (λ2 > 0), and dislike kurtosis (λ3 > 0). Note that the signs of coefficients change. 2. 055). 54). 6 Expressing Utility Functions with Value at Risk The preceding representation of preferences in terms of moments of the return distribution is the most common approach to modeling preferences involving uncertain choices. It is theoretically sound as well. However, the investment industry has developed a number of other measures of risk, most of which are not immediately comparable to the approach just presented.

The next section provides a more detailed description of this portfolio construction technique and examines the solution under some specific conditions. Later sections will discuss some of the problems associated with this portfolio optimization technique and offer some of the solutions that have been proposed by academic and industry researchers. 1 Mean-Variance Optimization The portfolio construction problem discussed in this section is the simplest form of mean-variance optimization. The universe of risky investments available to the portfolio manager consists of N asset classes.

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