Portfolio Risk Management

A Work-in-Progress

By

Gregory Connor, Lisa Goldberg and Robert Korajczyk

We are jointly writing a book called Portfolio Risk Management, to be published by Princeton University Press. The current draft is available here:

current draft (please use right-click “save as” to download!).

There are still some missing tables and figures, lots of missing references in the bibliography, and an unknown number of typos (PLEASE TELL US IF YOU FIND ONE). We are nearing completion, and entering the stage when we hope to spend several months cleaning up and especially TYPO AND ERROR HUNTING. We know how important it is to the quality of the text that we work hard to minimize the number of typos and analytical errors so this is a very critical task for us.

Comments and criticisms are warmly encouraged. There is still plenty of time to make changes, add sections, modify remarks, etc. Relevant facts and amusing anecdotes are welcome if we are free to use them and they can be verified (or if amusing enough, not necessary!).

We have been using an “open architecture” approach to writing the book to encourage academic and practitioner comments. We hope that the book will seem interesting and well-balanced for both academics and practitioners. We are interested in hearing from practitioners about their risk forecasting systems, for theory and practice comments in the book.

Comments and suggestions are warmly welcome at g.connor@lse.ac.uk or by post to

Professor Gregory Connor

Department of Finance

London School of Economics

1 Houghton Street

London WC2A 2AE

U.K.

Research Assistants: We would like to thank our research assistants Sharad Prakash, Zhigang Qiu, Anu Kulkarni, Pooja Kesavan, and Alminas Zaldokas.

Sponsorship: We would like to thank MSCIBarra Inc. for their generous support of the project through a donation to the Financial Markets Group at London School of Economics.  We would like to thank Northfield Information Services and UBS Inc. who sponsored and helped organize a Portfolio Risk Forecasting Workshop at the Financial Markets Group, in Spring 2006, on the topic of the book.