Finding alpha
Subtitle: the search for alpha when risk and return break down
By: Eric Falkenstein.
Publisher: Wiley
Published: 2009
Place of publication: Hoboken, N.J
Language: eng
Number of pages: 298
ISBN-13: 9780470445907
Subjects: Financial risk management; Rate of return; Capital assets pricing model
Description: "How do we find alpha when risk does not correlate with return? Finding Alpha is a practical guide to achieving alpha when conventional measures of risk rarely correlate with higher returns. Author Eric Falkenstein-a PhD who has also been a risk manager and portfolio manager—tells the story of alpha from its beginnings to its current reversal, where risk is now evidenced by return as opposed to vice versa. Falkenstein begins by walking readers through the Capital Asset Pricing Model (CAPM), as well as other well-documented theories about risk and return, and explores how these theories measure up to current empirical evidence being documented by researchers and academics. He also outlines a novel approach to the issues of how benchmark risk and investor overconfidence affects expected asset returns, how to understand the nature of alpha and risk, and how to use practical applications of alpha-seeking strategies that he developed as a successful hedge fund manager. Finding Alpha concludes by outlining some real-life applications of alpha in finance and explains how the search for alpha affects the day-to-day life of all financial professionals."--Publisher's description.
Notes: Includes bibliographical references and index.
Table of contents: title: Risk uncorrelated with returns; title: The creation of the standard risk-return model; title: An empirical arc; title: Volatility, risk, and returns; title: Investors do not mind their utility functions; title: Is the equity risk premium zero?; title: Undiminished praise of a vacuous theory; title: Why relative utility generates zero risk premiums; title: The argument for relative status utility; title: Alpha, risk, and hope; title: Examples of alpha; title: Alpha games; title: Alpha seeking applications; title: Conclusion.