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The handbook of commodity investing [[electronic resource] /] / Frank J. Fabozzi, Roland Füss, Dieter G. Kaiser
| The handbook of commodity investing [[electronic resource] /] / Frank J. Fabozzi, Roland Füss, Dieter G. Kaiser |
| Autore | Fabozzi Frank J |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2008 |
| Descrizione fisica | 1 online resource (1010 p.) |
| Disciplina | 332.632 |
| Altri autori (Persone) |
FüssRoland
KaiserDieter G |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico | Commodity futures |
| ISBN |
1-281-38163-2
9786611381639 1-118-26700-1 0-470-29320-9 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Handbook of Commodity Investing; Contents; Foreword; Preface; About the Editors; Contributing Authors; Part I: Mechanics of the Commodity Market; Chapter 1: A Primer on Commodity Investing; MARKET PARTICIPANTS; COMMODITY SECTORS; COMMODITIES AS AN ASSET CLASS OF THEIR OWN; COMMODITY EXCHANGES; PRICES AT THE COMMODITY FUTURES EXCHANGES; MODELS OF EXPECTED RETURNS; RISK AND PERFORMANCE CHARACTERISTICS; PORTFOLIO OPTIMIZATION WITH COMMODITIES; CONCLUSION; Chapter 2: The Pricing and Economics of Commodity Futures; THE RELATIONSHIP BETWEEN FUTURES PRICES AND SPOT PRICES
ECONOMICS OF THE COMMODITY MARKETS: NORMAL BACKWARDATION VERSUS CONTANGOCOMMODITY PRICES COMPARED TO FINANCIAL ASSET PRICES; CONCLUSION; Chapter 3: Commodity Futures Investments: A Review of Strategic Motivations and Tactical Opportunities; STRATEGIC MOTIVATION FOR COMMODITY INVESTMENTS; TACTICAL OPPORTUNITIES IN COMMODITY INVESTMENTS; CONCLUSION; Chapter 4: Macroeconomic Determinants of Commodity Futures Returns; COMMODITIES AS AN INFLATION HEDGE; DYNAMIC LINKAGES OF MONETARY POLICY AND COMMODITY RETURNS: A VECTOR AUTOREGRESSIVE ANALYSIS; COMMODITIES AND EXCHANGE RATES COMMODITIES AND THE BUSINESS CYCLE CONCLUSION; Chapter 5: The Relationship Between Risk Premium and Convenience Yield Models; LIMITATION OF RISK NEUTRAL PRICING; TWO BASIC MODELS; TERM STRUCTURE OF COMMODITY PRICES; FUTURES RETURNS; A COMMON DECOMPOSITION OF FUTURES RETURNS; CONCLUSION; APPENDIX; Chapter 6: The Optimal Rotation Period of Renewable Resources: Theoretical Evidence from the Timber Sector; PRODUCTION AS A TIME CONSUMING PROCESS; NET PROCEEDS VERSUS COST RETURN; CAPITAL MANAGEMENT IN FORESTRY; REVENUES FINANCE EXPENDITURES; FROM FEUDALISM TO CAPITALISM; LOOKING BACK AND AROUND CONCLUSION APPENDIX A; APPENDIX B; Part II: Performance Measurement; Chapter 7: Review of Commodity Futures Performance Benchmarks; SUMMARY OF COMMODITY INDEXES; EMPIRICAL ANALYSIS OF THE COMMODITY BENCHMARK PROBLEM; A SOLUTION FOR HETEROGENEOUS INDEXES; CONCLUSION; Chapter 8: Performance Characteristics of Commodity Futures; HISTORICAL RETURNS; RETURN DECOMPOSITION AND DIVERSIFICATION RETURN; CORRELATIONS; INFLATION; RETURNS OVER THE BUSINESS CYCLE; TACTICAL ASSET ALLOCATION; CONCLUSION; Chapter 9: Statistical Analysis of Commodity Futures Returns; SOURCES OF RETURN: AN ILLUSTRATION UNIVARIATE ANALYSIS MULTIVARIATE ANALYSIS; CONCLUSION; Chapter 10: The Diversification Benefits of Commodity Futures Indexes: A Mean-Variance Spanning Test; HOW FINANCIAL ECONOMISTS VIEW ASSET CLASSES; REMOVE THE BORDER; RISK, RETURN, AND DIVERSIFICATION; EMPIRICAL RESULTS; POTENTIAL PITFALLS OF COMMODITY INDEX PERFORMANCE; CONCLUSION; APPENDIX; Chapter 11: CTA/Managed Futures Strategy Benchmarks; GROWTH AND BENEFIT OF MANAGED FUTURES; GENERAL DESCRIPTION OF MANAGED FUTURES; CTA INDEX CONSTRUCTION; EMPIRICAL ANALYSIS; ISSUES IN PERFORMANCE MEASUREMENT; CONCLUSION; Part III: Risk Management Chapter 12: Some Thoughts on Risk Management for Commodity Portfolios |
| Record Nr. | UNINA-9910143825903321 |
Fabozzi Frank J
|
||
| Hoboken, N.J., : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The handbook of commodity investing / / Frank J. Fabozzi, Roland Fuss, Dieter G. Kaiser
| The handbook of commodity investing / / Frank J. Fabozzi, Roland Fuss, Dieter G. Kaiser |
| Autore | Fabozzi Frank J |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2008 |
| Descrizione fisica | 1 online resource (1010 p.) |
| Disciplina | 332.632 |
| Altri autori (Persone) |
FüssRoland
KaiserDieter G |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico | Commodity futures |
| ISBN |
9786611381639
9781281381637 1281381632 9781118267004 1118267001 9780470293201 0470293209 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Handbook of Commodity Investing; Contents; Foreword; Preface; About the Editors; Contributing Authors; Part I: Mechanics of the Commodity Market; Chapter 1: A Primer on Commodity Investing; MARKET PARTICIPANTS; COMMODITY SECTORS; COMMODITIES AS AN ASSET CLASS OF THEIR OWN; COMMODITY EXCHANGES; PRICES AT THE COMMODITY FUTURES EXCHANGES; MODELS OF EXPECTED RETURNS; RISK AND PERFORMANCE CHARACTERISTICS; PORTFOLIO OPTIMIZATION WITH COMMODITIES; CONCLUSION; Chapter 2: The Pricing and Economics of Commodity Futures; THE RELATIONSHIP BETWEEN FUTURES PRICES AND SPOT PRICES
ECONOMICS OF THE COMMODITY MARKETS: NORMAL BACKWARDATION VERSUS CONTANGOCOMMODITY PRICES COMPARED TO FINANCIAL ASSET PRICES; CONCLUSION; Chapter 3: Commodity Futures Investments: A Review of Strategic Motivations and Tactical Opportunities; STRATEGIC MOTIVATION FOR COMMODITY INVESTMENTS; TACTICAL OPPORTUNITIES IN COMMODITY INVESTMENTS; CONCLUSION; Chapter 4: Macroeconomic Determinants of Commodity Futures Returns; COMMODITIES AS AN INFLATION HEDGE; DYNAMIC LINKAGES OF MONETARY POLICY AND COMMODITY RETURNS: A VECTOR AUTOREGRESSIVE ANALYSIS; COMMODITIES AND EXCHANGE RATES COMMODITIES AND THE BUSINESS CYCLE CONCLUSION; Chapter 5: The Relationship Between Risk Premium and Convenience Yield Models; LIMITATION OF RISK NEUTRAL PRICING; TWO BASIC MODELS; TERM STRUCTURE OF COMMODITY PRICES; FUTURES RETURNS; A COMMON DECOMPOSITION OF FUTURES RETURNS; CONCLUSION; APPENDIX; Chapter 6: The Optimal Rotation Period of Renewable Resources: Theoretical Evidence from the Timber Sector; PRODUCTION AS A TIME CONSUMING PROCESS; NET PROCEEDS VERSUS COST RETURN; CAPITAL MANAGEMENT IN FORESTRY; REVENUES FINANCE EXPENDITURES; FROM FEUDALISM TO CAPITALISM; LOOKING BACK AND AROUND CONCLUSION APPENDIX A; APPENDIX B; Part II: Performance Measurement; Chapter 7: Review of Commodity Futures Performance Benchmarks; SUMMARY OF COMMODITY INDEXES; EMPIRICAL ANALYSIS OF THE COMMODITY BENCHMARK PROBLEM; A SOLUTION FOR HETEROGENEOUS INDEXES; CONCLUSION; Chapter 8: Performance Characteristics of Commodity Futures; HISTORICAL RETURNS; RETURN DECOMPOSITION AND DIVERSIFICATION RETURN; CORRELATIONS; INFLATION; RETURNS OVER THE BUSINESS CYCLE; TACTICAL ASSET ALLOCATION; CONCLUSION; Chapter 9: Statistical Analysis of Commodity Futures Returns; SOURCES OF RETURN: AN ILLUSTRATION UNIVARIATE ANALYSIS MULTIVARIATE ANALYSIS; CONCLUSION; Chapter 10: The Diversification Benefits of Commodity Futures Indexes: A Mean-Variance Spanning Test; HOW FINANCIAL ECONOMISTS VIEW ASSET CLASSES; REMOVE THE BORDER; RISK, RETURN, AND DIVERSIFICATION; EMPIRICAL RESULTS; POTENTIAL PITFALLS OF COMMODITY INDEX PERFORMANCE; CONCLUSION; APPENDIX; Chapter 11: CTA/Managed Futures Strategy Benchmarks; GROWTH AND BENEFIT OF MANAGED FUTURES; GENERAL DESCRIPTION OF MANAGED FUTURES; CTA INDEX CONSTRUCTION; EMPIRICAL ANALYSIS; ISSUES IN PERFORMANCE MEASUREMENT; CONCLUSION; Part III: Risk Management Chapter 12: Some Thoughts on Risk Management for Commodity Portfolios |
| Record Nr. | UNINA-9910816635603321 |
|
Fabozzi Frank J
|
||
| Hoboken, N.J., : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||