Understanding Investment Risk and Return

Edited by Greg Filbeck, Samuel P. Black III Professor of Finance and Risk Management, Black School of Business, Vice Chancellor and Associate Dean for Academic Affairs, Penn State Behrend and Hunter Holzhauer, Robert L. Maclellan & UC Foundation Associate Professor of Finance, Gary W. Rollins College of Business, University of Tennessee at Chattanooga, USA

• ContentsPART I Foundations of risk and return1 Understanding risk and return: an overview 2Greg Filbeck and Hunter Holzhauer2 Measuring and managing risk 13Xudong Fu3 Measuring and managing returns 42Timothy A. Krause, Eric J. Robbins and Santina A. HaddadPART II Risk-return management and analysis4 Risk and return across inflationary regimes 67Jarah D. Macfarlane5 Risk-adjusted performance measurement 94Pilar Grau-Carles6 Prioritizing risks 124Auke Plantinga7 Understanding, applying, and critiquing different factor models 604Rustin T. YerkesPART III Risk and asset classes8 Digital assets (cryptocurrencies): part of a multi-asset portfolio 624Pankaj Agrrawal and Doug Waggle9 Speculating return and hedging risk with derivatives 653Tian (Lori) Tang10 Irrational investors 678Xing LuPART IV Going forward11 Bulls, bears, bubbles, and bankruptcy: what have we learned? 698Melissa Woodley12 Future trends and models for managing risk and return 721M. Tony Via

‘One of the classic paradigms in financial decision–decision-making is the risk-return tradeoff. Over the decades, much has been written on this topic. This must-have book goes beyond the basics to discuss sophisticated methods for measuring and managing risk across diverse asset classes clearly and concisely.’