LEADER 05331nam 2200637 a 450 001 9910144104203321 005 20170815111207.0 010 $a1-119-20710-X 010 $a1-281-93956-0 010 $a9786611939564 010 $a0-470-72124-3 035 $a(CKB)1000000000553163 035 $a(EBL)366859 035 $a(OCoLC)298842229 035 $a(SSID)ssj0000101577 035 $a(PQKBManifestationID)11122145 035 $a(PQKBTitleCode)TC0000101577 035 $a(PQKBWorkID)10042427 035 $a(PQKB)11775736 035 $a(MiAaPQ)EBC366859 035 $a(CaSebORM)9780470754467 035 $a(EXLCZ)991000000000553163 100 $a20080604d2008 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aAlternative beta strategies and hedge fund replication$b[electronic resource] /$fLars Jaeger ; with Jeffrey Pease 205 $a1st edition 210 $aChichester, England ;$aHoboken, NJ $cWiley$dc2008 215 $a1 online resource (275 p.) 300 $aDescription based upon print version of record. 311 $a0-470-75446-X 320 $aIncludes bibliographical references (p. [245]-252) and index. 327 $aAlternative Beta Strategies and Hedge Fund Replication; Contents; Preface; 1 Breaking the Black Box; 1.1 New popularity, old confusion; 1.2 The challenges of understanding hedge funds; 1.3 Leaving Alphaville; 1.4 The beauty of beta; 1.5 Alternative versus traditional beta; 1.6 The replication revolution; 1.7 Full disclosure; 2 What Are Hedge Funds, Where Did They Come From, and Where Are They Going?; 2.1 Characteristics of hedge funds; 2.2 Hedge funds as an asset class; 2.3 Taxonomy of hedge funds; 2.4 Myths, misperceptions, and realities about hedge funds; 2.5 A short history of hedge funds 327 $a2.6 The hedge fund industry today2.7 The future of hedge funds - opportunities and challenges; 3 The Individual Hedge Fund Strategies' Characteristics; 3.1 Equity Hedged - Long/Short Equity; 3.2 Equity Hedged - Equity Market Neutral; 3.3 Equity Hedged - Short Selling; 3.4 Relative Value - general; 3.5 Relative Value - Fixed Income Arbitrage; 3.6 Relative Value - Convertible Arbitrage; 3.7 Relative Value - Volatility Arbitrage; 3.8 Relative Value - Capital Structure Arbitrage; 3.9 Event Driven - general; 3.10 Event Driven - Merger Arbitrage; 3.11 Event Driven - Distressed Securities 327 $a3.12 Event Driven - Regulation D3.13 Opportunistic - Global Macro; 3.14 Managed Futures; 3.15 Managed Futures - Systematic; 3.16 Managed Futures - Discretionary; 3.17 Conclusion of the chapter; 4 Empirical Return and Risk Properties of Hedge Funds; 4.1 When the Sharpe ratio is not sharp enough; 4.2 Challenges of hedge fund performance measurement - the issue with hedge fund indices; 4.3 Sources of empirical data; 4.4 Risk and return properties of hedge fund strategies; 4.5 Comparison with equities and bonds; 4.6 Deviation from normal distribution; 4.7 Unconditional correlation properties 327 $a4.8 Conditional returns and correlations4.9 Hedge fund behavior in extreme market situations; 4.10 Benefits of hedge funds in a traditional portfolio; 4.11 Quantitative portfolio optimization for hedge funds revisited; 4.12 Summary of empirical properties; 4.13 Appendix: Data providers for past hedge fund performance; 5 The Drivers of Hedge Fund Returns; 5.1 Alpha versus beta; 5.2 The enigma of hedge fund returns; 5.3 Hedge fund returns: how much is alpha?; 5.4 The efficient market hypothesis; 5.5 Questioning the efficient market hypothesis: behavioral finance 327 $a5.6 The theoretical framework of modern finance: asset pricing models and the interpretations of alpha5.7 Systematic risk premia: the prevalence of beta in the global capital markets; 5.8 Risk premia and economic functions; 5.9 Market inefficiencies: the 'search for alpha'; 5.10 An illustration of the nature of hedge fund returns; 5.11 The decrease of alpha; 5.12 The beauty of alternative beta; 5.13 The future of hedge fund capacity; 5.14 Momentum and value; 5.15 Active strategies and option-like returns; 5.16 Why manager skill matters 327 $a5.17 Buyer beware: some final words of caution about hedge fund returns 330 $aThere s a buzzword that has quickly captured the imagination of product providers and investors alike: ""hedge fund replication"". In the broadest sense, replicating hedge fund strategies means replicating their return sources and corresponding risk exposures. However, there still lacks a coherent picture on what hedge fund replication means in practice, what its premises are, how to distinguish di erent approaches, and where this can lead us to. Serving as a handbook for replicating the returns of hedge funds at considerably lower cost, Alternative Beta Strategies and Hedge Fund Replicat 606 $aHedge funds 608 $aElectronic books. 615 0$aHedge funds. 676 $a332.64/524 676 $a332.64524 700 $aJaeger$b Lars$0835567 701 $aPease$b Jeffrey$0998096 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910144104203321 996 $aAlternative beta strategies and hedge fund replication$92289391 997 $aUNINA LEADER 04092nam 2200625Ia 450 001 9910483842803321 005 20251116185127.0 010 $a1-280-38548-0 010 $a9786613563408 010 $a3-642-11447-4 024 7 $a10.1007/978-3-642-11447-2 035 $a(CKB)2670000000003398 035 $a(SSID)ssj0000355605 035 $a(PQKBManifestationID)11227499 035 $a(PQKBTitleCode)TC0000355605 035 $a(PQKBWorkID)10340972 035 $a(PQKB)10313747 035 $a(DE-He213)978-3-642-11447-2 035 $a(MiAaPQ)EBC3065001 035 $a(PPN)149042809 035 $a(EXLCZ)992670000000003398 100 $a20100301d2009 uy 0 101 0 $aeng 135 $aurnn|008mamaa 181 $ctxt 182 $cc 183 $acr 200 00$aRigorous methods for software construction and analysis $eessays dedicated to Egon Borger on the occasion of his 60th birthday /$fJean-Raymond Abrial, Uwe Glasser (eds.) 205 $a1st ed. 2009. 210 $aBerlin ;$aNew York $cSpringer$dc2009 215 $a1 online resource (XVI, 235 p.) 225 1 $aLecture notes in computer science,$x0302-9743 ;$v5115 225 1 $aLNCS sublibrary. SL 1, Theoretical computer science and general issues 300 $aFestschrift for Egon Borger. 311 08$a3-642-11446-6 320 $aIncludes bibliographical references and index. 327 $aRelaxing Restrictions on Invariant Composition in the B Method by Ownership Control a la Spec# -- Designing Old and New Distributed Algorithms by Replaying an Incremental Proof-Based Development -- Ten Reasons to Metamodel ASMs -- An ASM-Characterization of a Class of Distributed Algorithms -- Using Abstract State Machines for the Design of Multi-level Transaction Schedulers -- Validating and Animating Higher-Order Recursive Functions in B -- A Systematic Verification Approach for Mondex Electronic Purses Using ASMs -- Management of UML Clusters -- A Step towards Merging xUML and CSP B -- CoreASM Plug-In Architecture -- JASMine: Accessing Java Code from CoreASM -- A Modular Verification Methodology for C# Delegates -- On the Evolution of OCL for Capturing Structural Constraints in Modelling Languages -- Ten Commandments Ten Years On: Lessons for ASM, B, Z and VSR-net. 330 $aThis Festschrift volume, published in honor of Egon Börger, contains 14 papers from a Dagstuhl Seminar, which was organized as a "Festkolloquium" on the occasion of his 60th birthday in May 2006. Focusing on applied formal methods, the volume covers a wide range of applied research, spanning from theoretical and methodological foundations to practical applications of Abstract State Machines, B, and beyond, emphasizing universal methods and tools that, regardless of their applicational orientation, are still committed to the ideal of mathematical rigor. In particular, the papers address the following central topics: methodological foundations of requirements specification and verification, characterization of specification languages and their logical foundations, advanced tool environments and systematic integration of tools, machine assisted validation and verification, distributed algorithms and concurrent protocols, novel applications in public safety, security and privacy, industrial case studies and experience reports, and the role of formal methods in computer science education. 410 0$aLecture notes in computer science ;$v5115. 410 0$aLNCS sublibrary.$nSL 1,$pTheoretical computer science and general issues. 606 $aFormal methods (Computer science) 606 $aSystem design 615 0$aFormal methods (Computer science) 615 0$aSystem design. 676 $a004.0151 701 $aAbrial$b Jean-Raymond$01758959 701 $aGla?sser$b Uwe$f1959-$01358347 701 $aBo?rger$b E$g(Egon),$f1946-$051951 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910483842803321 996 $aRigorous methods for software construction and analysis$94197300 997 $aUNINA