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Investing in the modern age [[electronic resource] /] / Rachel E.S. Ziemba and William T. Ziemba
| Investing in the modern age [[electronic resource] /] / Rachel E.S. Ziemba and William T. Ziemba |
| Autore | Ziemba Rachel |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific, c2013 |
| Descrizione fisica | 1 online resource (586 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | ZiembaW. T |
| Collana | World Scientific series in finance |
| Soggetto topico |
Investments
Investments, Foreign Risk management Investment analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN | 981-4504-75-0 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; Acknowledgements; Preface; I Key Concepts; 1. Arbitrage, Risk Arbitrage and the Favorite-long shot Bias; The favorite-long shot bias; Risk arbitrage in the US presidential election; 2. The Bond Stock Earnings Yield Differential Model; Predictive Ability of the Bond-Stock Earnings Yield Difference Model; 3. Investor Camps; The various efficient/inefficient market camps: Can you beat the stock market?; How do investors and consultants do in all these cases?; The importance of getting the mean right; Errors in Means, Variances and Covariances: Empirical
Conclusion: spend your money getting good mean estimates use historical variances and co-variances; II Hedge Funds, Sovereign Wealth Funds and Other Investment Agglomerations; 4. Average Hedge Funds and their Evaluation; 5. Incentives and Risk Taking in Hedge Funds; 6. Evaluating Superior Hedge Funds; The Renaissance Medallion Fund; Evaluating superior funds in the UMASS hedge fund data base using the DSSR; Outstanding funds in the UMASS DHF universe; Final Remarks; 7. Investment in Own-Company Stock; Stock ownership decisions in defined contribution pension plans; Discussion of the results Grace Groner's legacy: A good long term buy and hold own-company stock story 8. Cutting Through the Hype on Sovereign Wealth Funds; Sovereign funds are not monolithic; Sovereign funds are big; A taste for financials; But not as big as some optimists think or as pessimists fear; Increase in strategic stakes oneo opportunism or evidence of a change in strategy?; Politics a likely headwind to acquisitions; 9. A New Age for Liquidity; 10. Government Owned Pensions: Asset Allocation and Governance Issues; Types of sovereign funds; Is there a common asset allocation for pension funds? Governance Issues of public pension funds Intergenerational borrowing; Regional Trends; Asia; Middle East; Europe; Conclusion; 11. Update on Yale's Approach to Endowment Investing; Summary and comments on Yale's results and approach; 12. A Risk Arbitrage Convergence Trade: The Nikkei Put Warrant Market of 1989-90; The historical development leading up to the NSA put warrants; NSA puts and calls on the Toronto and American stock exchanges,1989-1992; 13. Kelly Capital Growth Investing; Blackjack; Betting on unpopular lotto numbers using the Kelly criterion Good and bad properties of the Kelly criterion Calculating the optimal Kelly fraction; Calculating the optimal Kelly fraction; Secured Annual Draw down: b; Appendix; 14. Inno ALM, the Innovest Austrian Pension Fund Financial Planning Model; Some Typical Applications; Model Tests; Conclusions; III Seasonal Effects and Other Anomalies; 15. Investing in the January Turn-of-the-Year Effect with Index Futures; The January effect; Commodity trading: investing in the January small cap effect in the index futures markets; Conclusion; 16. The January Barometer; January barometer research update Move this Around |
| Record Nr. | UNINA-9910463265703321 |
Ziemba Rachel
|
||
| Hackensack, NJ, : World Scientific, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Investing in the modern age / / Rachel E.S. Ziemba, Roubini Global Economics, UK, William T. Ziemba, University of British Columbia, Canada
| Investing in the modern age / / Rachel E.S. Ziemba, Roubini Global Economics, UK, William T. Ziemba, University of British Columbia, Canada |
| Autore | Ziemba Rachel |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific, c2013 |
| Descrizione fisica | 1 online resource (xxi, 563 pages) : illustrations (some color) |
| Disciplina | 332.6 |
| Collana | World Scientific series in finance |
| Soggetto topico |
Investments
Investments, Foreign Risk management Investment analysis |
| ISBN | 981-4504-75-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; Acknowledgements; Preface; I Key Concepts; 1. Arbitrage, Risk Arbitrage and the Favorite-long shot Bias; The favorite-long shot bias; Risk arbitrage in the US presidential election; 2. The Bond Stock Earnings Yield Differential Model; Predictive Ability of the Bond-Stock Earnings Yield Difference Model; 3. Investor Camps; The various efficient/inefficient market camps: Can you beat the stock market?; How do investors and consultants do in all these cases?; The importance of getting the mean right; Errors in Means, Variances and Covariances: Empirical
Conclusion: spend your money getting good mean estimates use historical variances and co-variances; II Hedge Funds, Sovereign Wealth Funds and Other Investment Agglomerations; 4. Average Hedge Funds and their Evaluation; 5. Incentives and Risk Taking in Hedge Funds; 6. Evaluating Superior Hedge Funds; The Renaissance Medallion Fund; Evaluating superior funds in the UMASS hedge fund data base using the DSSR; Outstanding funds in the UMASS DHF universe; Final Remarks; 7. Investment in Own-Company Stock; Stock ownership decisions in defined contribution pension plans; Discussion of the results Grace Groner's legacy: A good long term buy and hold own-company stock story 8. Cutting Through the Hype on Sovereign Wealth Funds; Sovereign funds are not monolithic; Sovereign funds are big; A taste for financials; But not as big as some optimists think or as pessimists fear; Increase in strategic stakes oneo opportunism or evidence of a change in strategy?; Politics a likely headwind to acquisitions; 9. A New Age for Liquidity; 10. Government Owned Pensions: Asset Allocation and Governance Issues; Types of sovereign funds; Is there a common asset allocation for pension funds? Governance Issues of public pension funds Intergenerational borrowing; Regional Trends; Asia; Middle East; Europe; Conclusion; 11. Update on Yale's Approach to Endowment Investing; Summary and comments on Yale's results and approach; 12. A Risk Arbitrage Convergence Trade: The Nikkei Put Warrant Market of 1989-90; The historical development leading up to the NSA put warrants; NSA puts and calls on the Toronto and American stock exchanges,1989-1992; 13. Kelly Capital Growth Investing; Blackjack; Betting on unpopular lotto numbers using the Kelly criterion Good and bad properties of the Kelly criterion Calculating the optimal Kelly fraction; Calculating the optimal Kelly fraction; Secured Annual Draw down: b; Appendix; 14. Inno ALM, the Innovest Austrian Pension Fund Financial Planning Model; Some Typical Applications; Model Tests; Conclusions; III Seasonal Effects and Other Anomalies; 15. Investing in the January Turn-of-the-Year Effect with Index Futures; The January effect; Commodity trading: investing in the January small cap effect in the index futures markets; Conclusion; 16. The January Barometer; January barometer research update Move this Around |
| Record Nr. | UNINA-9910787551603321 |
|
Ziemba Rachel
|
||
| Hackensack, NJ, : World Scientific, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Investing in the modern age / / Rachel E.S. Ziemba, Roubini Global Economics, UK, William T. Ziemba, University of British Columbia, Canada
| Investing in the modern age / / Rachel E.S. Ziemba, Roubini Global Economics, UK, William T. Ziemba, University of British Columbia, Canada |
| Autore | Ziemba Rachel |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific, c2013 |
| Descrizione fisica | 1 online resource (xxi, 563 pages) : illustrations (some color) |
| Disciplina | 332.6 |
| Collana | World Scientific series in finance |
| Soggetto topico |
Investments
Investments, Foreign Risk management Investment analysis |
| ISBN | 981-4504-75-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; Acknowledgements; Preface; I Key Concepts; 1. Arbitrage, Risk Arbitrage and the Favorite-long shot Bias; The favorite-long shot bias; Risk arbitrage in the US presidential election; 2. The Bond Stock Earnings Yield Differential Model; Predictive Ability of the Bond-Stock Earnings Yield Difference Model; 3. Investor Camps; The various efficient/inefficient market camps: Can you beat the stock market?; How do investors and consultants do in all these cases?; The importance of getting the mean right; Errors in Means, Variances and Covariances: Empirical
Conclusion: spend your money getting good mean estimates use historical variances and co-variances; II Hedge Funds, Sovereign Wealth Funds and Other Investment Agglomerations; 4. Average Hedge Funds and their Evaluation; 5. Incentives and Risk Taking in Hedge Funds; 6. Evaluating Superior Hedge Funds; The Renaissance Medallion Fund; Evaluating superior funds in the UMASS hedge fund data base using the DSSR; Outstanding funds in the UMASS DHF universe; Final Remarks; 7. Investment in Own-Company Stock; Stock ownership decisions in defined contribution pension plans; Discussion of the results Grace Groner's legacy: A good long term buy and hold own-company stock story 8. Cutting Through the Hype on Sovereign Wealth Funds; Sovereign funds are not monolithic; Sovereign funds are big; A taste for financials; But not as big as some optimists think or as pessimists fear; Increase in strategic stakes oneo opportunism or evidence of a change in strategy?; Politics a likely headwind to acquisitions; 9. A New Age for Liquidity; 10. Government Owned Pensions: Asset Allocation and Governance Issues; Types of sovereign funds; Is there a common asset allocation for pension funds? Governance Issues of public pension funds Intergenerational borrowing; Regional Trends; Asia; Middle East; Europe; Conclusion; 11. Update on Yale's Approach to Endowment Investing; Summary and comments on Yale's results and approach; 12. A Risk Arbitrage Convergence Trade: The Nikkei Put Warrant Market of 1989-90; The historical development leading up to the NSA put warrants; NSA puts and calls on the Toronto and American stock exchanges,1989-1992; 13. Kelly Capital Growth Investing; Blackjack; Betting on unpopular lotto numbers using the Kelly criterion Good and bad properties of the Kelly criterion Calculating the optimal Kelly fraction; Calculating the optimal Kelly fraction; Secured Annual Draw down: b; Appendix; 14. Inno ALM, the Innovest Austrian Pension Fund Financial Planning Model; Some Typical Applications; Model Tests; Conclusions; III Seasonal Effects and Other Anomalies; 15. Investing in the January Turn-of-the-Year Effect with Index Futures; The January effect; Commodity trading: investing in the January small cap effect in the index futures markets; Conclusion; 16. The January Barometer; January barometer research update Move this Around |
| Record Nr. | UNINA-9910820036503321 |
|
Ziemba Rachel
|
||
| Hackensack, NJ, : World Scientific, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Scenarios for risk management and global investment strategies [[electronic resource] /] / Rachel E.S. Ziemba and William T. Ziemba
| Scenarios for risk management and global investment strategies [[electronic resource] /] / Rachel E.S. Ziemba and William T. Ziemba |
| Autore | Ziemba Rachel |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (337 p.) |
| Disciplina |
332.67
332.673 |
| Altri autori (Persone) | ZiembaW. T |
| Collana | Wiley finance series |
| Soggetto topico |
Investments, Foreign
Risk management International finance Investment analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20609-X
1-281-84042-4 9786611840426 0-470-51838-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Acknowledgements -- Preface -- About the authors -- Investment strategies: using the Kelly capital growth criterion -- Take a chance -- The capital growth theory of investment -- Betting on unpopular lotto numbers using the Kelly criterion -- Good and bad properties of the Kelly criterion -- Calculating the optimal Kelly fraction -- The great investors, their methods and how we evaluate them: theory -- The great investors, a way to evaluate them -- The methods and results of managing top US university endowments -- Investment strategies: hedge funds -- Hedge fund concepts and a typical convergence trade: Nikkei put warrant risk arbitrage -- The recipe for disaster: how to lose money in derivatives -- Hedge fund risk, disasters and their prevention: the failure of long term capital management -- The imported crash of October 27 and 28, 1997 -- The 2006 Amaranth Advisors natural gas hedge fund disaster -- Towards scenarios: country studies -- Letter from Cairo -- Threats, challenges and opportunities of China -- Chinese investment markets: hedge fund scenario analysis -- Springtime in Buenos Aires: prospects for investment, how deep is the recovery? -- Cyprus: on the outer edge of Europe, in the middle of the Mediterranean -- Is Iceland's growth spurt threatened by financial vulnerabilities? -- Would a bridge connect Sicily's economy to Europe's heart? -- Scenario analysis: the stochastic programming approach to managing risk -- Hedge and pension fund risk, disasters and their prevention -- Setting the scenario -- Hedge fund scenario analysis -- Some approaches for scenario generation and reduction -- Useful economic fundamentals to generate scenarios -- Some mathematical approaches for scenario generation and reduction -- Minimizing the effects of disasters by planning ahead -- Appendix: The great investors: some useful books -- Bibliography -- Index. |
| Record Nr. | UNINA-9910144449703321 |
|
Ziemba Rachel
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Scenarios for risk management and global investment strategies [[electronic resource] /] / Rachel E.S. Ziemba and William T. Ziemba
| Scenarios for risk management and global investment strategies [[electronic resource] /] / Rachel E.S. Ziemba and William T. Ziemba |
| Autore | Ziemba Rachel |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (337 p.) |
| Disciplina |
332.67
332.673 |
| Altri autori (Persone) | ZiembaW. T |
| Collana | Wiley finance series |
| Soggetto topico |
Investments, Foreign
Risk management International finance Investment analysis |
| ISBN |
1-119-20609-X
1-281-84042-4 9786611840426 0-470-51838-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Acknowledgements -- Preface -- About the authors -- Investment strategies: using the Kelly capital growth criterion -- Take a chance -- The capital growth theory of investment -- Betting on unpopular lotto numbers using the Kelly criterion -- Good and bad properties of the Kelly criterion -- Calculating the optimal Kelly fraction -- The great investors, their methods and how we evaluate them: theory -- The great investors, a way to evaluate them -- The methods and results of managing top US university endowments -- Investment strategies: hedge funds -- Hedge fund concepts and a typical convergence trade: Nikkei put warrant risk arbitrage -- The recipe for disaster: how to lose money in derivatives -- Hedge fund risk, disasters and their prevention: the failure of long term capital management -- The imported crash of October 27 and 28, 1997 -- The 2006 Amaranth Advisors natural gas hedge fund disaster -- Towards scenarios: country studies -- Letter from Cairo -- Threats, challenges and opportunities of China -- Chinese investment markets: hedge fund scenario analysis -- Springtime in Buenos Aires: prospects for investment, how deep is the recovery? -- Cyprus: on the outer edge of Europe, in the middle of the Mediterranean -- Is Iceland's growth spurt threatened by financial vulnerabilities? -- Would a bridge connect Sicily's economy to Europe's heart? -- Scenario analysis: the stochastic programming approach to managing risk -- Hedge and pension fund risk, disasters and their prevention -- Setting the scenario -- Hedge fund scenario analysis -- Some approaches for scenario generation and reduction -- Useful economic fundamentals to generate scenarios -- Some mathematical approaches for scenario generation and reduction -- Minimizing the effects of disasters by planning ahead -- Appendix: The great investors: some useful books -- Bibliography -- Index. |
| Record Nr. | UNINA-9910830460403321 |
|
Ziemba Rachel
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Scenarios for risk management and global investment strategies / / Rachel E.S. Ziemba and William T. Ziemba
| Scenarios for risk management and global investment strategies / / Rachel E.S. Ziemba and William T. Ziemba |
| Autore | Ziemba Rachel |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (337 p.) |
| Disciplina | 332.67/3 |
| Altri autori (Persone) | ZiembaW. T |
| Collana | Wiley finance series |
| Soggetto topico |
Investments, Foreign
Risk management International finance Investment analysis |
| ISBN |
1-119-20609-X
1-281-84042-4 9786611840426 0-470-51838-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Acknowledgements -- Preface -- About the authors -- Investment strategies: using the Kelly capital growth criterion -- Take a chance -- The capital growth theory of investment -- Betting on unpopular lotto numbers using the Kelly criterion -- Good and bad properties of the Kelly criterion -- Calculating the optimal Kelly fraction -- The great investors, their methods and how we evaluate them: theory -- The great investors, a way to evaluate them -- The methods and results of managing top US university endowments -- Investment strategies: hedge funds -- Hedge fund concepts and a typical convergence trade: Nikkei put warrant risk arbitrage -- The recipe for disaster: how to lose money in derivatives -- Hedge fund risk, disasters and their prevention: the failure of long term capital management -- The imported crash of October 27 and 28, 1997 -- The 2006 Amaranth Advisors natural gas hedge fund disaster -- Towards scenarios: country studies -- Letter from Cairo -- Threats, challenges and opportunities of China -- Chinese investment markets: hedge fund scenario analysis -- Springtime in Buenos Aires: prospects for investment, how deep is the recovery? -- Cyprus: on the outer edge of Europe, in the middle of the Mediterranean -- Is Iceland's growth spurt threatened by financial vulnerabilities? -- Would a bridge connect Sicily's economy to Europe's heart? -- Scenario analysis: the stochastic programming approach to managing risk -- Hedge and pension fund risk, disasters and their prevention -- Setting the scenario -- Hedge fund scenario analysis -- Some approaches for scenario generation and reduction -- Useful economic fundamentals to generate scenarios -- Some mathematical approaches for scenario generation and reduction -- Minimizing the effects of disasters by planning ahead -- Appendix: The great investors: some useful books -- Bibliography -- Index. |
| Record Nr. | UNINA-9910877195103321 |
|
Ziemba Rachel
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||