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Scenarios for Risk Management and Global Investment Strategies
John Wiley and Sons Ltd, Aug 2007, Pages: 312
This book focuses on assessing the risks and challenges presented by modern investing, and the importance of adapting and responding to changing investment climate. The main theme of the book is investing under uncertainty and the strategies used to allocate assets while at the same time planning for unexpected events. Market failure is a key theme of the book, with a large emphasis on what not to do.
The latest research conducted by Bill Ziemba on gambling and investing looks at some of historys most successful investors, many of whom also had gambling backgrounds. Different facets of investment decisions are also analysed, including theoretical discussions of strategies like the Kelly Growth Criterion, which can by used to guide investment decisions. Trading, insurance, and pensions are all explored, and there are also some case studies such as LTCM. This leads naturally into hedge fund risks and typical trades of the best hedge fund managers with a heavy focus on disasters and their prevention.
Country studies then look at emerging and more established markets as a growth sector and focus on identifying investment prospects, recognizing that different regions of the world create different and often uncertain outcome paths. These snapshots lay out the elements that would lead to good scenario building for investments. It looks at investment trends, risks, vulnerabilities and opportunities. It also analyses the increasing flexibility in the exchange-rate. Geo-political challenges are also explored, and how they impact on the market. By focusing on specific regions, and looking at both short-term and longer-term issues and strategies, this section illustrates the challenges these sectors face in responding to global trends and investors have on capitalizing their opportunities, painting a clear picture of the current economic world.
Following on from both these sections, the book looks at low probability events using scenario analysis as pioneered by Bill Ziemba. Some of this is highly theoretical stochastic programming, building scenarios for managing risk to guide and optimize investment strategies. Others take these skills and look at specific situations, such as hurricane Katrina and the impact it had on insurance. It looks at how we can predict and prevent an investment disaster, and builds scenarios around natural disasters.
Authors Bio:
RACHEL E.S. ZIEMBA has a BA in History from the University of Chicago and an MPhil in International Relations from St. Antonys College, Oxford University. She worked for the Canadian International Development Agency in Egypt, and the International Development Research Centre, Ottawa. At Roubini Global Economics, she researches geo-strategic risks to the global economy. She has written and given talks on various issues in global macroeconomy, currency politics and emerging market and geostrategic issues.
WILLIAM T. ZIEMBA is the Alumni Professor of Financial Modeling and Stochastic Optimization (Emeritus), University of British Columbia. He is a well-known academic with books, research articles and talks on various investment topics. He has visited MIT, Chicago, Berkeley, UCLA, Cambridge, LSE, Oxford and the Reading ICMA Centre. He trades through William T Ziemba Investment Management Inc. He has consulted for various financial institutions on hedge funds and investments.
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