The World of Risk Management

The World of Risk Management

Don't be misled by its unfortunate title. This book is not about the "World of Risk Management." It is an edited collection of some of the best papers published in the Journal of Investment Management since its founding three years ago.

Authors of the papers include some luminaries, such as Robert Merton, Jack Treynor and Harry Markowitz. There are also plenty of lesser known authors who have contributed substantive works. There are ten articles in all, covering topics primarily related to portfolio management in various contexts.

Contents

1. Design of financial systems : towards a synthesis of function and structure

2. Asset/liability management and enterprise risk management of an insurer

3. It's 11 pm - do you know where your liquidity is? : the mean-variance-liquidity frontier

4. Time diversification

5. A practical framework for portfolio choice

6. A Markov chain Monte Carlo method for derivative pricing and risk assessment

7. Active risk and information ratio

8. The year-end price of risk in a market for liquidity

9. Resampled frontiers versus diffuse bayes : an experiment

10. Fund managers may cause their benchmarks to be priced "risks"

If you are a researcher or practitioner who wants to know what has been going on at this new journal, this book is an excellent way to come up to speed. Overall, the quality of the papers is excellent. [June 31, 2006]


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