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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 | ||
| ||
Stochastic optimization models in finance / / editors, W. T. Ziemba, R. G. Vickson
| Stochastic optimization models in finance / / editors, W. T. Ziemba, R. G. Vickson |
| Autore | Ziemba W. T. |
| Pubbl/distr/stampa | New York : , : Academic Press, , 1975 |
| Descrizione fisica | 1 online resource (xvi, 719 pages) : illustrations |
| Disciplina |
332.01/51922
332.0151922 |
| Collana | Economic Theory and Mathematical Economics |
| Soggetto topico |
Finance - Mathematical models
Mathematical optimization Stochastic processes |
| ISBN | 1-4832-7399-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Stochastic Optimization Models in Finance; Copyright Page; Dedication; Table of Contents; PREFACE; ACKNOWLEDGMENTS; Part I: Mathematical Tools; INTRODUCTION; I. Expected Utility Theory; II. Convexity and the Kuhn-Tucker Conditions; III. Dynamic Programming; SECTION1: EXPECTED UTILITY THEORY; CHAPTER 1. A GENERAL THEORY OF SUBJECTIVE PROBABILITIESAND EXPECTED UTILITIES; 1.Introduction; 2. Definitions andnotation; 3. Axioms and summarytheorem; 4.Theorems; 5. Proof of Theorem3; 6. Proof of Theorem4; SECTION2: CONVEXITY AND THE KUHN-TUCKERCONDITIONS; CHAPTER2. PSEUDO-CONVEX FUNCTIONS
Abstract1.Introduction; 2. Properties of pseudo-convex functions and applications; 3. Remarks on pseudo-convex functions; 4.Acknowledgement; CHAPTER3. CONVEXITY, PSEUDO-CONVEXITY AND QUASI-CONVEXITY OF COMPOSITE FUNCTIONS; ABSTRACT; Preliminaries; Principal result; Applications; SECTION3: DYNAMIC PROGRAMMING; Chapter4. Introduction to Dynamic Programming; I. Introduction; II. Sequential Decision Processes; III. Terminating Process; IV. The Main Theorem and an Algorithm; V. Nonterminating Processes; ACKNOWLEDGMENT; REFERENCES; CHAPTER5. COMPUTATIONAL AND REVIEW EXERCISES; Exercise Source Notes CHAPTER6. MIND-EXPANDING EXERCISES Exercise Source Notes; Part II: Qualitative Economic Results; INTRODUCTION; I. Stochastic Dominance; II. Measures of Risk Aversion; III. Separation Theorems; IV. Additional Reading Material; SECTION1: STOCHASTIC DOMINANCE; Chapter 1. The Efficiency Analysis of Choices Involving Risk; I. INTRODUCTION; II. UNRESTRICTED UTILITY-THE GENERALEFFICIENCY CRITERION; III. EFFICIENCY IN THE FACE OF RISK AVERSION; IV. THE LIMITATIONS OF THE MEAN-VARIANCEEFFICIENCY CRITERION; V. CONCLUSION; REFERENCES; Chapter 2. A Unified Approach to Stochastic Dominance I. Introduction to Stochastic Dominance II. Examples of Stochastic Dominance Relations; III. Probabilistic Content of Stochastic Dominance; REFERENCES; SECTION2: MEASURES OF RISK AVERSION; CHAPTER3. RISK AVERSION IN THE SMALL AND IN THE LARGE; 1. SUMMARY AND INTRODUCTION; 2. THE RISK PREMIUM; 3. LOCAL RISK AVERSION; 4. CONCAVITY; 5. COMPARATIVE RISK AVERSION; 6. CONSTANT RISK AVERSION; 7. INCREASING AND DECREASING RISK AVERSION; 8. OPERATIONS WHICH PRESERVE DECREASING RISK AVERSION; 9. EXAMPLES; 10. PROPORTIONAL RISK AVERSION; 11. CONSTANT PROPORTIONAL RISK AVERSION 12. INCREASING AND DECREASING PROPORTIONAL RISK AVERSION13. RELATED WORK OF ARROW; ADDENDUM; SECTION3: SEPARATION THEOREMS; CHAPTER 4. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCKPORTFOLIOS AND CAPITAL BUDGETS; Introduction and Preview of Some Conclusions; I - Portfolio Selection for an Individual Investor: The Separation Theorem; II -Portfolio Selection: The Optimal Stock Mix; Ill Risk Premiums and Other Properties of Stocks Held Long or Short in Optimal Portfolios; IV - Market Prices of Shares Implied by Shareholder Optimization in Purely Competitive Markets Under Idealized Uncertainty |
| Record Nr. | UNINA-9910786796003321 |
|
Ziemba W. T.
|
||
| New York : , : Academic Press, , 1975 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic optimization models in finance / / editors, W. T. Ziemba, R. G. Vickson
| Stochastic optimization models in finance / / editors, W. T. Ziemba, R. G. Vickson |
| Autore | Ziemba W. T. |
| Pubbl/distr/stampa | New York : , : Academic Press, , 1975 |
| Descrizione fisica | 1 online resource (xvi, 719 pages) : illustrations |
| Disciplina |
332.01/51922
332.0151922 |
| Collana | Economic Theory and Mathematical Economics |
| Soggetto topico |
Finance - Mathematical models
Mathematical optimization Stochastic processes |
| ISBN | 1-4832-7399-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Stochastic Optimization Models in Finance; Copyright Page; Dedication; Table of Contents; PREFACE; ACKNOWLEDGMENTS; Part I: Mathematical Tools; INTRODUCTION; I. Expected Utility Theory; II. Convexity and the Kuhn-Tucker Conditions; III. Dynamic Programming; SECTION1: EXPECTED UTILITY THEORY; CHAPTER 1. A GENERAL THEORY OF SUBJECTIVE PROBABILITIESAND EXPECTED UTILITIES; 1.Introduction; 2. Definitions andnotation; 3. Axioms and summarytheorem; 4.Theorems; 5. Proof of Theorem3; 6. Proof of Theorem4; SECTION2: CONVEXITY AND THE KUHN-TUCKERCONDITIONS; CHAPTER2. PSEUDO-CONVEX FUNCTIONS
Abstract1.Introduction; 2. Properties of pseudo-convex functions and applications; 3. Remarks on pseudo-convex functions; 4.Acknowledgement; CHAPTER3. CONVEXITY, PSEUDO-CONVEXITY AND QUASI-CONVEXITY OF COMPOSITE FUNCTIONS; ABSTRACT; Preliminaries; Principal result; Applications; SECTION3: DYNAMIC PROGRAMMING; Chapter4. Introduction to Dynamic Programming; I. Introduction; II. Sequential Decision Processes; III. Terminating Process; IV. The Main Theorem and an Algorithm; V. Nonterminating Processes; ACKNOWLEDGMENT; REFERENCES; CHAPTER5. COMPUTATIONAL AND REVIEW EXERCISES; Exercise Source Notes CHAPTER6. MIND-EXPANDING EXERCISES Exercise Source Notes; Part II: Qualitative Economic Results; INTRODUCTION; I. Stochastic Dominance; II. Measures of Risk Aversion; III. Separation Theorems; IV. Additional Reading Material; SECTION1: STOCHASTIC DOMINANCE; Chapter 1. The Efficiency Analysis of Choices Involving Risk; I. INTRODUCTION; II. UNRESTRICTED UTILITY-THE GENERALEFFICIENCY CRITERION; III. EFFICIENCY IN THE FACE OF RISK AVERSION; IV. THE LIMITATIONS OF THE MEAN-VARIANCEEFFICIENCY CRITERION; V. CONCLUSION; REFERENCES; Chapter 2. A Unified Approach to Stochastic Dominance I. Introduction to Stochastic Dominance II. Examples of Stochastic Dominance Relations; III. Probabilistic Content of Stochastic Dominance; REFERENCES; SECTION2: MEASURES OF RISK AVERSION; CHAPTER3. RISK AVERSION IN THE SMALL AND IN THE LARGE; 1. SUMMARY AND INTRODUCTION; 2. THE RISK PREMIUM; 3. LOCAL RISK AVERSION; 4. CONCAVITY; 5. COMPARATIVE RISK AVERSION; 6. CONSTANT RISK AVERSION; 7. INCREASING AND DECREASING RISK AVERSION; 8. OPERATIONS WHICH PRESERVE DECREASING RISK AVERSION; 9. EXAMPLES; 10. PROPORTIONAL RISK AVERSION; 11. CONSTANT PROPORTIONAL RISK AVERSION 12. INCREASING AND DECREASING PROPORTIONAL RISK AVERSION13. RELATED WORK OF ARROW; ADDENDUM; SECTION3: SEPARATION THEOREMS; CHAPTER 4. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCKPORTFOLIOS AND CAPITAL BUDGETS; Introduction and Preview of Some Conclusions; I - Portfolio Selection for an Individual Investor: The Separation Theorem; II -Portfolio Selection: The Optimal Stock Mix; Ill Risk Premiums and Other Properties of Stocks Held Long or Short in Optimal Portfolios; IV - Market Prices of Shares Implied by Shareholder Optimization in Purely Competitive Markets Under Idealized Uncertainty |
| Record Nr. | UNINA-9910812511103321 |
|
Ziemba W. T.
|
||
| New York : , : Academic Press, , 1975 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic optimization models in finance / / edited by W. T. Ziemba, R. G. Vickson
| Stochastic optimization models in finance / / edited by W. T. Ziemba, R. G. Vickson |
| Pubbl/distr/stampa | New York, New York ; ; London, [England] : , : Academic Press, , 1975 |
| Descrizione fisica | 1 online resource (736 p.) |
| Disciplina |
332.01/51922
332.0151922 |
| Collana | Economic Theory and Mathematical Economics |
| Soggetto topico |
Finance
Mathematical optimization Stochastic processes |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-4832-7399-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Stochastic Optimization Models in Finance; Copyright Page; Dedication; Table of Contents; PREFACE; ACKNOWLEDGMENTS; Part I: Mathematical Tools; INTRODUCTION; I. Expected Utility Theory; II. Convexity and the Kuhn-Tucker Conditions; III. Dynamic Programming; SECTION1: EXPECTED UTILITY THEORY; CHAPTER 1. A GENERAL THEORY OF SUBJECTIVE PROBABILITIESAND EXPECTED UTILITIES; 1.Introduction; 2. Definitions andnotation; 3. Axioms and summarytheorem; 4.Theorems; 5. Proof of Theorem3; 6. Proof of Theorem4; SECTION2: CONVEXITY AND THE KUHN-TUCKERCONDITIONS; CHAPTER2. PSEUDO-CONVEX FUNCTIONS
Abstract1.Introduction; 2. Properties of pseudo-convex functions andapplications; 3. Remarks on pseudo-convexfunctions; 4.Acknowledgement; CHAPTER3. CONVEXITY, PSEUDO-CONVEXITY AND QUASI-CONVEXITY OF COMPOSITE FUNCTIONS; ABSTRACT; Preliminaries; Principal result; Applications; SECTION3: DYNAMIC PROGRAMMING; Chapter4. Introduction to Dynamic Programming; I. Introduction; II. Sequential Decision Processes; III. Terminating Process; IV. The Main Theorem and an Algorithm; V. Nonterminating Processes; ACKNOWLEDGMENT; REFERENCES; CHAPTER5. COMPUTATIONAL AND REVIEW EXERCISES; Exercise Source Notes CHAPTER6. MIND-EXPANDING EXERCISESExercise Source Notes; Part II: Qualitative Economic Results; INTRODUCTION; I. Stochastic Dominance; II. Measures of Risk Aversion; III. Separation Theorems; IV. Additional Reading Material; SECTION1: STOCHASTIC DOMINANCE; Chapter 1. The Efficiency Analysis of ChoicesInvolvingRisk; I. INTRODUCTION; II. UNRESTRICTED UTILITY-THE GENERALEFFICIENCY CRITERION; III. EFFICIENCY IN THE FACE OF RISK AVERSION; IV. THE LIMITATIONS OF THE MEAN-VARIANCEEFFICIENCY CRITERION; V. CONCLUSION; REFERENCES; Chapter 2. A Unified Approach to Stochastic Dominance I. Introduction to Stochastic DominanceII. Examples of Stochastic Dominance Relations; III. Probabilistic Content of Stochastic Dominance; REFERENCES; SECTION2: MEASURES OF RISK AVERSION; CHAPTER3. RISK AVERSION IN THE SMALL AND IN THE LARGE; 1. SUMMARY AND INTRODUCTION; 2. THE RISK PREMIUM; 3. LOCAL RISK AVERSION; 4. CONCAVITY; 5. COMPARATIVE RISK AVERSION; 6. CONSTANT RISK AVERSION; 7. INCREASING AND DECREASING RISK AVERSION; 8. OPERATIONS WHICH PRESERVE DECREASING RISK AVERSION; 9. EXAMPLES; 10. PROPORTIONAL RISK AVERSION; 11. CONSTANT PROPORTIONAL RISK AVERSION 12. INCREASING AND DECREASING PROPORTIONAL RISK AVERSION13. RELATED WORK OF ARROW; ADDENDUM; SECTION3: SEPARATION THEOREMS; CHAPTER 4. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCKPORTFOLIOS AND CAPITAL BUDGETS; Introduction and Preview of Some Conclusions; I - Portfolio Selection for an Individual Investor:The Separation Theorem; II -Portfolio Selection: TheOptimal Stock Mix; Ill Risk Premiums and Other Properties of Stocks Held Long or Shortin Optimal Portfolios IV - Market Prices of Shares Implied by Shareholder Optimization in Purely Competitive MarketsUnder Idealized Uncertainty |
| Record Nr. | UNINA-9910480819503321 |
| New York, New York ; ; London, [England] : , : Academic Press, , 1975 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||