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Alternative beta strategies and hedge fund replication [[electronic resource] /] / Lars Jaeger ; with Jeffrey Pease
Alternative beta strategies and hedge fund replication [[electronic resource] /] / Lars Jaeger ; with Jeffrey Pease
Autore Jaeger Lars
Edizione [1st edition]
Pubbl/distr/stampa Chichester, England ; ; Hoboken, NJ, : Wiley, c2008
Descrizione fisica 1 online resource (275 p.)
Disciplina 332.64/524
332.64524
Altri autori (Persone) PeaseJeffrey
Soggetto topico Hedge funds
Soggetto genere / forma Electronic books.
ISBN 1-119-20710-X
1-281-93956-0
9786611939564
0-470-72124-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Alternative 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
2.6 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
3.12 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
4.8 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
5.6 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
5.17 Buyer beware: some final words of caution about hedge fund returns
Record Nr. UNINA-9910144104203321
Jaeger Lars  
Chichester, England ; ; Hoboken, NJ, : Wiley, c2008
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Alternative beta strategies and hedge fund replication [[electronic resource] /] / Lars Jaeger ; with Jeffrey Pease
Alternative beta strategies and hedge fund replication [[electronic resource] /] / Lars Jaeger ; with Jeffrey Pease
Autore Jaeger Lars
Edizione [1st edition]
Pubbl/distr/stampa Chichester, England ; ; Hoboken, NJ, : Wiley, c2008
Descrizione fisica 1 online resource (275 p.)
Disciplina 332.64/524
332.64524
Altri autori (Persone) PeaseJeffrey
Soggetto topico Hedge funds
ISBN 1-119-20710-X
1-281-93956-0
9786611939564
0-470-72124-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Alternative 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
2.6 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
3.12 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
4.8 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
5.6 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
5.17 Buyer beware: some final words of caution about hedge fund returns
Record Nr. UNINA-9910830899103321
Jaeger Lars  
Chichester, England ; ; Hoboken, NJ, : Wiley, c2008
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Diary of a hedge fund manager [[electronic resource] ] : from the top, to the bottom, and back again / / Keith McCullough with Rich Blake
Diary of a hedge fund manager [[electronic resource] ] : from the top, to the bottom, and back again / / Keith McCullough with Rich Blake
Autore McCullough Keith <1975->
Edizione [1st edition]
Pubbl/distr/stampa Hoboken, NJ, : Wiley, c2010
Descrizione fisica 1 online resource (227 p.)
Disciplina 332.64524
Altri autori (Persone) BlakeRich <1968->
Soggetto topico Hedge funds
Investment advisors
Soggetto genere / forma Electronic books.
ISBN 0-470-59036-X
1-282-68451-5
9786612684517
0-470-59033-5
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Diary of a Hedge Fund Manager: From the Top, to the Bottom, and Back Again""; ""Contents""; ""Introduction""; ""Chapter 1: Catch A Wave""; ""Chapter 2: Shipping Out""; ""Chapter 3: Welcome To The Jungle""; ""Chapter 4: Snapshots From The Dot.Com Bubble""; ""Chapter 5: Discovery""; ""Chapter 6: Flying With The Giants""; ""Chapter 7: Shifting For Myself""; ""Chapter 8: Sucked In""; ""Chapter 9: Worlds Collide""; ""Chapter 10: Exile On Wall Street""; ""Chapter 11: Lifting The Curtain""; ""Chapter 12: The Great Squeeze""; ""Epilogue""; ""Acknowledgments""; ""About The Authors""; ""Index""
Record Nr. UNINA-9910456990403321
McCullough Keith <1975->  
Hoboken, NJ, : Wiley, c2010
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Diary of a hedge fund manager [[electronic resource] ] : from the top, to the bottom, and back again / / Keith McCullough with Rich Blake
Diary of a hedge fund manager [[electronic resource] ] : from the top, to the bottom, and back again / / Keith McCullough with Rich Blake
Autore McCullough Keith <1975->
Edizione [1st edition]
Pubbl/distr/stampa Hoboken, NJ, : Wiley, c2010
Descrizione fisica 1 online resource (227 p.)
Disciplina 332.64524
Altri autori (Persone) BlakeRich <1968->
Soggetto topico Hedge funds
Investment advisors
ISBN 0-470-59036-X
1-282-68451-5
9786612684517
0-470-59033-5
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Diary of a Hedge Fund Manager: From the Top, to the Bottom, and Back Again""; ""Contents""; ""Introduction""; ""Chapter 1: Catch A Wave""; ""Chapter 2: Shipping Out""; ""Chapter 3: Welcome To The Jungle""; ""Chapter 4: Snapshots From The Dot.Com Bubble""; ""Chapter 5: Discovery""; ""Chapter 6: Flying With The Giants""; ""Chapter 7: Shifting For Myself""; ""Chapter 8: Sucked In""; ""Chapter 9: Worlds Collide""; ""Chapter 10: Exile On Wall Street""; ""Chapter 11: Lifting The Curtain""; ""Chapter 12: The Great Squeeze""; ""Epilogue""; ""Acknowledgments""; ""About The Authors""; ""Index""
Record Nr. UNINA-9910781044803321
McCullough Keith <1975->  
Hoboken, NJ, : Wiley, c2010
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Dynamic asset allocation with forwards and futures / Abraham Lioui, Patrice Poncet
Dynamic asset allocation with forwards and futures / Abraham Lioui, Patrice Poncet
Autore Lioui, Abraham
Pubbl/distr/stampa New York [etc.], : Springer, c2005
Descrizione fisica XVII, 263 p. ; 24 cm.
Disciplina 332.64524
Altri autori (Persone) Poncet, Patrice
Soggetto topico Finanza
Investimenti
ISBN 0387241078
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNICAS-RML0293820
Lioui, Abraham  
New York [etc.], : Springer, c2005
Materiale a stampa
Lo trovi qui: Univ. di Cassino e del Lazio Meridionale
Opac: Controlla la disponibilità qui
The future of hedge fund investing [[electronic resource] ] : a regulatory and structural solution for a fallen industry / / Monty Agarwal
The future of hedge fund investing [[electronic resource] ] : a regulatory and structural solution for a fallen industry / / Monty Agarwal
Autore Agarwal Monty <1968->
Edizione [1st edition]
Pubbl/distr/stampa Hoboken, New Jersey : , : John Wiley & Sons, , 2009
Descrizione fisica 1 online resource (206 p.)
Disciplina 332.64
332.645
332.64524
Collana Wiley finance series
Soggetto topico Hedge funds
Mutual funds
Soggetto genere / forma Electronic books.
ISBN 1-282-30219-1
9786612302190
1-118-25818-5
0-470-55726-5
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto The Future of Hedge Fund Investing: A Regulatory and Structural Solution for a Fallen Industry; Contents; Foreword; Introduction; Chapter 1: Recent Hedge Fund Scandals; Chapter 2: The Players; Chapter 3: Hedge Funds; Chapter 4: Hedge Fund Strategies; Chapter 5: Hedge Fund Service Providers and Regulators; Chapter 6: Funds of Hedge Funds; Chapter 7: An Expert Failure; Chapter 8: Remodeling the Funds of Hedge Funds; Chapter 9: Correct Risk Due Diligence; Chapter 10: Interviewing a Hedge Fund Manager; Chapter 11: Hedge Fund Industry's Role in 2008 Market Crisis; Chapter 12: The End; Bibliography
Index
Record Nr. UNINA-9910139861403321
Agarwal Monty <1968->  
Hoboken, New Jersey : , : John Wiley & Sons, , 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
The future of hedge fund investing [[electronic resource] ] : a regulatory and structural solution for a fallen industry / / Monty Agarwal
The future of hedge fund investing [[electronic resource] ] : a regulatory and structural solution for a fallen industry / / Monty Agarwal
Autore Agarwal Monty <1968->
Edizione [1st edition]
Pubbl/distr/stampa Hoboken, New Jersey : , : John Wiley & Sons, , 2009
Descrizione fisica 1 online resource (206 p.)
Disciplina 332.64
332.645
332.64524
Collana Wiley finance series
Soggetto topico Hedge funds
Mutual funds
ISBN 1-282-30219-1
9786612302190
1-118-25818-5
0-470-55726-5
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto The Future of Hedge Fund Investing: A Regulatory and Structural Solution for a Fallen Industry; Contents; Foreword; Introduction; Chapter 1: Recent Hedge Fund Scandals; Chapter 2: The Players; Chapter 3: Hedge Funds; Chapter 4: Hedge Fund Strategies; Chapter 5: Hedge Fund Service Providers and Regulators; Chapter 6: Funds of Hedge Funds; Chapter 7: An Expert Failure; Chapter 8: Remodeling the Funds of Hedge Funds; Chapter 9: Correct Risk Due Diligence; Chapter 10: Interviewing a Hedge Fund Manager; Chapter 11: Hedge Fund Industry's Role in 2008 Market Crisis; Chapter 12: The End; Bibliography
Index
Record Nr. UNINA-9910830349903321
Agarwal Monty <1968->  
Hoboken, New Jersey : , : John Wiley & Sons, , 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Guide to Hedge Funds [[electronic resource] ] : What They Are, What They Do, Their Risks, Their Advantages
Guide to Hedge Funds [[electronic resource] ] : What They Are, What They Do, Their Risks, Their Advantages
Autore Coggan Philip
Pubbl/distr/stampa London, : Profile Books, 2005
Descrizione fisica 1 online resource (160 p.)
Disciplina 332.64524
Collana Economist books Guide to hedge funds
Soggetto topico Hedge funds
Business
Finance
Business & Economics
Investment & Speculation
ISBN 1-281-72146-8
9786611721466
1-84765-037-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNISA-996208308503316
Coggan Philip  
London, : Profile Books, 2005
Materiale a stampa
Lo trovi qui: Univ. di Salerno
Opac: Controlla la disponibilità qui
Guide to Hedge Funds : What They Are, What They Do, Their Risks, Their Advantages
Guide to Hedge Funds : What They Are, What They Do, Their Risks, Their Advantages
Autore Coggan Philip
Pubbl/distr/stampa London, : Profile Books, 2005
Descrizione fisica 1 online resource (160 p.)
Disciplina 332.64524
Collana Economist books Guide to hedge funds
Soggetto topico Hedge funds
Business
Finance
Business & Economics
Investment & Speculation
ISBN 1-281-72146-8
9786611721466
1-84765-037-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNINA-9910679754703321
Coggan Philip  
London, : Profile Books, 2005
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
The handbook of pairs trading [[electronic resource] ] : strategies using equities, options, and futures / / Douglas S. Ehrman
The handbook of pairs trading [[electronic resource] ] : strategies using equities, options, and futures / / Douglas S. Ehrman
Autore Ehrman Douglas S. <1976->
Pubbl/distr/stampa Hoboken, N.J., : John Wiley & Sons, Inc., c2006
Descrizione fisica 1 online resource (271 p.)
Disciplina 332.64524
Collana Wiley trading series
Soggetto topico Pairs trading
Stocks
Soggetto genere / forma Electronic books.
ISBN 1-119-20152-7
1-280-31137-1
9786610311378
0-471-77404-9
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto The Handbook of Pairs Trading; Contents; Introduction; EQUITIES; ADVANCED STRATEGIES; Part I: The Market-Neutral Element; Chapter 1: Pairs Trading: A Brief History; THE GROWTH OF HEDGE FUND INVESTING; ONE HUNDRED YEARS; THE FUTURE; Chapter 2: Market Neutrality; TYPES OF MARKET NEUTRALITY; CHOICE OF SECURITY TYPE; THE ADVANTAGES OF MARKET-NEUTRAL INVESTING; RISKS OF MARKET-NEUTRAL INVESTING; CONCLUSION; Chapter 3: The Market-Neutral Investment Process; THE INITIAL SCREEN; STOCK SELECTION; FUNDAMENTAL ANALYSIS; CONTRARIAN ANALYSIS; MODEL CONSTRUCTION; PORTFOLIO CONSTRUCTION AND OPTIMIZATION
CONCLUSIONChapter 4: Market Neutrality and Pairs Trading; APPLYING PAIRS TO TYPES OF MARKET NEUTRALITY; PAIRS TRADING AND MARKET-NEUTRAL PORTFOLIO CONSTRUCTION; RISK MANAGEMENT; CONCLUSION; Part II: The Arbitrage Element; Arbitrage Factors; SECURITY TYPE; THE EFFICIENT MARKET HYPOTHESIS; TYPES OF ARBITRAGE CONVERGENCE; RISK ANALYSIS; NONCONVERGENCE; NORMALIZING DIVERGENCE; CONCLUSION; Arbitrage and Pairs Trading; RELATIVE-VALUE AND STATISTICAL ARBITRAGE; THE IMPLIED CONVERGENCE OF MATCHED EQUITY PAIRS; NORMALIZING PAIRS DIVERGENCE; CONCLUSION; Part III: The Technical Analysis Element
Chapter 7: Technical Tools and IndicatorsMARKET STRENGTH INDICATORS; MOVING AVERAGE INDICATORS; VOLUME AS AN INDICATOR; CONCLUSION; Chapter 8: The Technicals of Pairs Trading; PAIRS APPLICATION OF MOVING AVERAGE INDICATORS; PRICE TREND IN PAIRS TRADING; CONCLUSION; Part IV: The Unified Theory; Chapter 9: Reviewing the Elements; THE MARKET-NEUTRAL ELEMENT; THE ARBITRAGE ELEMENT; THE TECHNICAL ANALYSIS ELEMENT; Chapter 10: Trading Pairs Fundamentally; THE FUNDAMENTAL APPROACH; FUNDAMENTALS APPLIED; PORTFOLIO CONSTRUCTION; PROBLEMS WITH THE FUNDAMENTAL APPROACH; THE VERDICT
Chapter 11: The Technical ApproachTHE ELEMENTS COMBINED; GETTING STARTED; UNDERSTANDING PAIRS TECHNICALLY; TECHNICAL CHARTING AND MARKET NEUTRALITY; TECHNICAL CHARTING AND RELATIVE-VALUE ARBITRAGE; APPLYING OTHER TECHNICAL INDICATORS; SELECTING PROFIT OBJECTIVE AND STOP-LOSS LEVELS; UNIFYING THE APPROACH; Chapter 12: The Overlays; THE FUNDAMENTAL OVERLAY; THE TECHNICAL OVERLAY; CONCLUSION; Chapter 13: The Unified Pairs Trading Theory; PUTTING IT ALL TOGETHER; FORMULATE THE SELECTION CRITERIA; DETERMINE THE CANDIDATES; THE OVERLAYS; EXECUTE THE TRADE; MANAGE THE TRADE; CLOSE THE TRADE
CONCLUSIONPart V: Advanced Strategies and Examples; Chapter 14: Options Basics: Terms and Strategies; BASIC TERMS; BASIC STRATEGIES; CONCLUSION; Chapter 15: Pairs Trading with Options; THE OPTIONS OVERLAY; PAIRS OPTIONS STRATEGIES; CALLS AND PUTS; PAIRS TRADING WITH VERTICAL SPREADS; BACK SPREADS; COMBINING THE STRATEGIES; Chapter 16: Futures and Currencies; EXTRINSIC EVENTS; NATURAL CORRELATION; SPEED; CURRENCIES; OPTIONS ON FUTURES; CONCLUSION; Chapter 17: Trade Examples; THE FUNDAMENTAL TRADE; THE TECHNICAL TRADE; THE BLENDED APPROACH TRADE: APPLICATION OF THE UNIFIED THEORY; USING OPTIONS
CONCLUSION
Record Nr. UNINA-9910143395603321
Ehrman Douglas S. <1976->  
Hoboken, N.J., : John Wiley & Sons, Inc., c2006
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui