Strategic risk management : designing portfolios and managing risk / Campbell R. Harvey, Sandy Rattray, and Otto Van Hemert

Includes index.

Foreword -- Preface -- Acknowledgements -- Chapter 1. Seeking Crisis Alpha -- Chapter 2. Can Portfolios be crisis proofed -- Chapter 3. Risk Management via volatility targeting -- Chapter 4. Strategic rebalancing -- Chapter 5. Drawdown Control -- Chapter 6. Man versus machine -- Chapter 7. Out--of-Sample evidence from the COVID-19 Equity Sellof.

In Strategic Risk Management: Designing Portfolios and Managing Risk, Campbell R. Harvey, Sandy Rattray, and Otto Van Hemert deliver a reimagining of the risk management process. The book envisions a marriage between the investment and risk processes, an approach that has proven successful at the world’s largest publicly listed hedge fund, Man Group. The authors provide readers with a new framework for portfolio design that includes defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. You will learn about how the book’s new approach to risk management fared during the recent market drawdown at the height of the COVID-19 pandemic. You will also discover why the traditional risk weighting approach only works on certain classes of assets. The book shows you how to accurately evaluate the costs of defensive strategies and which ones offer the best and most cost-effective protection against market downturns. Finally, you will learn how to obtain a more balanced return stream by targeting volatility rather than a constant notional exposure and gain a deeper understanding of concepts like portfolio rebalancing. Perfect for people working in the asset management industry and financial policy makers, Strategic Risk Management: Designing Portfolios and Managing Risk will also earn a place in the libraries of economics and finance scholars, as well as casual readers who take an active approach to investing in their savings or pension assets.