Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Efficient asset management: a practical guide to stock portfolio optimization and asset allocation [[electronic resource] /] / Richard O. Michaud and Robert O. Michaud
| Efficient asset management: a practical guide to stock portfolio optimization and asset allocation [[electronic resource] /] / Richard O. Michaud and Robert O. Michaud |
| Autore | Michaud Richard O. <1941-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Oxford University Press, 2008 |
| Descrizione fisica | 1 online resource (145 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | MichaudRobert O |
| Collana | Financial management association survey and synthesis series |
| Soggetto topico |
Investment analysis - Mathematical models
Portfolio management - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-19-988719-5
1-281-16231-0 9786611162313 0-19-971579-3 1-4356-3890-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 1 Introduction; Markowitz Efficiency; An Asset Management Tool; Traditional Objections; The Most Important Limitations; Resolving the Limitations of Mean-Variance Optimization; Illustrating the Techniques; 2 Classic Mean-Variance Optimization; Portfolio Risk and Return; Defining Markowitz Efficiency; Optimization Constraints; The Residual Risk-Return Efficient Frontier; Computer Algorithms; Asset Allocation Versus Equity Portfolio Optimization; A Global Asset Allocation Example; Reference Portfolios and Portfolio Analysis; Return Premium Efficient Frontiers
Appendix: Mathematical Formulation of MV Efficiency3 Traditional Criticisms and Alternatives; Alternative Measures of Risk; Utility Function Optimization; Multiperiod Investment Horizons; Asset-Liability Financial Planning Studies; Linear Programming Optimization; 4 Unbounded MV Portfolio Efficiency; Unbounded MV Optimization; The Fundamental Limitations of Unbounded MV Efficiency; Repeating Jobson and Korkie; Implications of Jobson and Korkie Analysis; Statistical MV Efficiency and Implications; 5 Linear Constrained MV Efficiency; Linear Constraints; Efficient Frontier Variance Rank-Associated Efficient PortfoliosHow Practical an Investment Tool?; 6 The Resampled Efficient FrontierTM; Efficient Frontier Statistical Analysis; Properties of Resampled Efficient Frontier Portfolios; True and Estimated Optimization Inputs; Simulation Proofs of Resampled Efficiency Optimization; Why Does It Work; Certainty Level and RE Optimality; FC Level Applications; The REF Maximum Return Point (MRP); Implications for Asset Management; Conclusion; Appendix A: Rank- Versus λ-Associated RE Portfolios; Appendix B: Robert's Hedgehog; 7 Portfolio Rebalancing, Analysis, and Monitoring Resampled Efficiency and Distance FunctionsPortfolio Need-to-Trade Probability; Meta-Resampling Portfolio Rebalancing; Portfolio Monitoring and Analysis; Conclusion; Appendix: Confidence Region for the Sample Mean Vector; 8 Input Estimation and Stein Estimators; Admissible Estimators; Bayesian Procedures and Priors; Four Stein Estimators; James-Stein Estimator; James-Stein MV Efficiency; Out-of-Sample James-Stein Estimation; Frost-Savarino Estimator; Covariance Estimation; Stein Covariance Estimation; Utility Functions and Input Estimation; Ad Hoc Estimators; Stein Estimation Caveats ConclusionsAppendix: Ledoit Covariance Estimation; 9 Benchmark Mean-Variance Optimization; Benchmark-Relative Optimization Characteristics; Tracking Error Optimization and Constraints; Constraint Alternatives; Roll's Analysis; Index Efficiency; A Simple Benchmark-Relative Framework; Long-Short Investing; Conclusion; 10 Investment Policy and Economic Liabilities; Misusing Optimization; Economic Liability Models; Endowment Fund Investment Policy; Pension Liabilities and Benchmark Optimization; Limitations of Actuarial Liability Estimation; Current Pension Liabilities Total and Variable Pension Liabilities |
| Record Nr. | UNINA-9910451508403321 |
Michaud Richard O. <1941->
|
||
| New York, : Oxford University Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Efficient asset management: a practical guide to stock portfolio optimization and asset allocation [[electronic resource] /] / Richard O. Michaud and Robert O. Michaud
| Efficient asset management: a practical guide to stock portfolio optimization and asset allocation [[electronic resource] /] / Richard O. Michaud and Robert O. Michaud |
| Autore | Michaud Richard O. <1941-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Oxford University Press, 2008 |
| Descrizione fisica | 1 online resource (145 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | MichaudRobert O |
| Collana | Financial management association survey and synthesis series |
| Soggetto topico |
Investment analysis - Mathematical models
Portfolio management - Mathematical models |
| ISBN |
0-19-770283-X
0-19-988719-5 1-281-16231-0 9786611162313 0-19-971579-3 1-4356-3890-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 1 Introduction; Markowitz Efficiency; An Asset Management Tool; Traditional Objections; The Most Important Limitations; Resolving the Limitations of Mean-Variance Optimization; Illustrating the Techniques; 2 Classic Mean-Variance Optimization; Portfolio Risk and Return; Defining Markowitz Efficiency; Optimization Constraints; The Residual Risk-Return Efficient Frontier; Computer Algorithms; Asset Allocation Versus Equity Portfolio Optimization; A Global Asset Allocation Example; Reference Portfolios and Portfolio Analysis; Return Premium Efficient Frontiers
Appendix: Mathematical Formulation of MV Efficiency3 Traditional Criticisms and Alternatives; Alternative Measures of Risk; Utility Function Optimization; Multiperiod Investment Horizons; Asset-Liability Financial Planning Studies; Linear Programming Optimization; 4 Unbounded MV Portfolio Efficiency; Unbounded MV Optimization; The Fundamental Limitations of Unbounded MV Efficiency; Repeating Jobson and Korkie; Implications of Jobson and Korkie Analysis; Statistical MV Efficiency and Implications; 5 Linear Constrained MV Efficiency; Linear Constraints; Efficient Frontier Variance Rank-Associated Efficient PortfoliosHow Practical an Investment Tool?; 6 The Resampled Efficient FrontierTM; Efficient Frontier Statistical Analysis; Properties of Resampled Efficient Frontier Portfolios; True and Estimated Optimization Inputs; Simulation Proofs of Resampled Efficiency Optimization; Why Does It Work; Certainty Level and RE Optimality; FC Level Applications; The REF Maximum Return Point (MRP); Implications for Asset Management; Conclusion; Appendix A: Rank- Versus λ-Associated RE Portfolios; Appendix B: Robert's Hedgehog; 7 Portfolio Rebalancing, Analysis, and Monitoring Resampled Efficiency and Distance FunctionsPortfolio Need-to-Trade Probability; Meta-Resampling Portfolio Rebalancing; Portfolio Monitoring and Analysis; Conclusion; Appendix: Confidence Region for the Sample Mean Vector; 8 Input Estimation and Stein Estimators; Admissible Estimators; Bayesian Procedures and Priors; Four Stein Estimators; James-Stein Estimator; James-Stein MV Efficiency; Out-of-Sample James-Stein Estimation; Frost-Savarino Estimator; Covariance Estimation; Stein Covariance Estimation; Utility Functions and Input Estimation; Ad Hoc Estimators; Stein Estimation Caveats ConclusionsAppendix: Ledoit Covariance Estimation; 9 Benchmark Mean-Variance Optimization; Benchmark-Relative Optimization Characteristics; Tracking Error Optimization and Constraints; Constraint Alternatives; Roll's Analysis; Index Efficiency; A Simple Benchmark-Relative Framework; Long-Short Investing; Conclusion; 10 Investment Policy and Economic Liabilities; Misusing Optimization; Economic Liability Models; Endowment Fund Investment Policy; Pension Liabilities and Benchmark Optimization; Limitations of Actuarial Liability Estimation; Current Pension Liabilities Total and Variable Pension Liabilities |
| Record Nr. | UNINA-9910778237603321 |
|
Michaud Richard O. <1941->
|
||
| New York, : Oxford University Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Efficient asset management: a practical guide to stock portfolio optimization and asset allocation / / Richard O. Michaud and Robert O. Michaud
| Efficient asset management: a practical guide to stock portfolio optimization and asset allocation / / Richard O. Michaud and Robert O. Michaud |
| Autore | Michaud Richard O. <1941-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Oxford University Press, 2008 |
| Descrizione fisica | 1 online resource (145 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | MichaudRobert O |
| Collana | Financial management association survey and synthesis series |
| Soggetto topico |
Investment analysis - Mathematical models
Portfolio management - Mathematical models |
| ISBN |
0-19-770283-X
0-19-988719-5 1-281-16231-0 9786611162313 0-19-971579-3 1-4356-3890-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 1 Introduction; Markowitz Efficiency; An Asset Management Tool; Traditional Objections; The Most Important Limitations; Resolving the Limitations of Mean-Variance Optimization; Illustrating the Techniques; 2 Classic Mean-Variance Optimization; Portfolio Risk and Return; Defining Markowitz Efficiency; Optimization Constraints; The Residual Risk-Return Efficient Frontier; Computer Algorithms; Asset Allocation Versus Equity Portfolio Optimization; A Global Asset Allocation Example; Reference Portfolios and Portfolio Analysis; Return Premium Efficient Frontiers
Appendix: Mathematical Formulation of MV Efficiency3 Traditional Criticisms and Alternatives; Alternative Measures of Risk; Utility Function Optimization; Multiperiod Investment Horizons; Asset-Liability Financial Planning Studies; Linear Programming Optimization; 4 Unbounded MV Portfolio Efficiency; Unbounded MV Optimization; The Fundamental Limitations of Unbounded MV Efficiency; Repeating Jobson and Korkie; Implications of Jobson and Korkie Analysis; Statistical MV Efficiency and Implications; 5 Linear Constrained MV Efficiency; Linear Constraints; Efficient Frontier Variance Rank-Associated Efficient PortfoliosHow Practical an Investment Tool?; 6 The Resampled Efficient FrontierTM; Efficient Frontier Statistical Analysis; Properties of Resampled Efficient Frontier Portfolios; True and Estimated Optimization Inputs; Simulation Proofs of Resampled Efficiency Optimization; Why Does It Work; Certainty Level and RE Optimality; FC Level Applications; The REF Maximum Return Point (MRP); Implications for Asset Management; Conclusion; Appendix A: Rank- Versus λ-Associated RE Portfolios; Appendix B: Robert's Hedgehog; 7 Portfolio Rebalancing, Analysis, and Monitoring Resampled Efficiency and Distance FunctionsPortfolio Need-to-Trade Probability; Meta-Resampling Portfolio Rebalancing; Portfolio Monitoring and Analysis; Conclusion; Appendix: Confidence Region for the Sample Mean Vector; 8 Input Estimation and Stein Estimators; Admissible Estimators; Bayesian Procedures and Priors; Four Stein Estimators; James-Stein Estimator; James-Stein MV Efficiency; Out-of-Sample James-Stein Estimation; Frost-Savarino Estimator; Covariance Estimation; Stein Covariance Estimation; Utility Functions and Input Estimation; Ad Hoc Estimators; Stein Estimation Caveats ConclusionsAppendix: Ledoit Covariance Estimation; 9 Benchmark Mean-Variance Optimization; Benchmark-Relative Optimization Characteristics; Tracking Error Optimization and Constraints; Constraint Alternatives; Roll's Analysis; Index Efficiency; A Simple Benchmark-Relative Framework; Long-Short Investing; Conclusion; 10 Investment Policy and Economic Liabilities; Misusing Optimization; Economic Liability Models; Endowment Fund Investment Policy; Pension Liabilities and Benchmark Optimization; Limitations of Actuarial Liability Estimation; Current Pension Liabilities Total and Variable Pension Liabilities |
| Record Nr. | UNINA-9910828896703321 |
|
Michaud Richard O. <1941->
|
||
| New York, : Oxford University Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Equity valuation [[electronic resource] ] : models from leading investment banks / / edited by Jan Viebig, Thorsten Poddig and Armin Varmaz
| Equity valuation [[electronic resource] ] : models from leading investment banks / / edited by Jan Viebig, Thorsten Poddig and Armin Varmaz |
| Autore | Viebig Jan |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (439 p.) |
| Disciplina | 332.63221 |
| Altri autori (Persone) |
ViebigJan <1969->
VarmazArmin PoddigThorsten |
| Collana | Wiley finance series |
| Soggetto topico |
Stocks - Mathematical models
Portfolio management - Mathematical models Valuation - Mathematical models Investment analysis - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20875-0
1-282-34963-5 9786612349638 0-470-75880-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Equity Valuation; Contents; Foreword; Preface; Acknowledgments; Abbreviations; Part I Discounted Cash Flow (DCF) Models; Part II Monte Carlo Free Cash Flow to the Firm (MC-FCFF) Models (Deutsche Bank/DWS); Part III Beyond Earnings: A User's Guide to Excess Return Models and the HOLT CFROI® Framework; Part IV Morgan Stanley ModelWare's Approach to Intrinsic Value: Focusing on Risk-Reward Trade-offs; Part V UBS VCAM and EGQ Regression-based Valuation; Part VI Leverage Buyout (LBO) Models; Part VII Valuation 101: Approaches and Alternatives; Part VIII Final Thoughts on Valuation; Index |
| Record Nr. | UNINA-9910146110403321 |
|
Viebig Jan
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Equity valuation [[electronic resource] ] : models from leading investment banks / / edited by Jan Viebig, Thorsten Poddig and Armin Varmaz
| Equity valuation [[electronic resource] ] : models from leading investment banks / / edited by Jan Viebig, Thorsten Poddig and Armin Varmaz |
| Autore | Viebig Jan |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (439 p.) |
| Disciplina | 332.63221 |
| Altri autori (Persone) |
ViebigJan <1969->
VarmazArmin PoddigThorsten |
| Collana | Wiley finance series |
| Soggetto topico |
Stocks - Mathematical models
Portfolio management - Mathematical models Valuation - Mathematical models Investment analysis - Mathematical models |
| ISBN |
1-119-20875-0
1-282-34963-5 9786612349638 0-470-75880-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Equity Valuation; Contents; Foreword; Preface; Acknowledgments; Abbreviations; Part I Discounted Cash Flow (DCF) Models; Part II Monte Carlo Free Cash Flow to the Firm (MC-FCFF) Models (Deutsche Bank/DWS); Part III Beyond Earnings: A User's Guide to Excess Return Models and the HOLT CFROI® Framework; Part IV Morgan Stanley ModelWare's Approach to Intrinsic Value: Focusing on Risk-Reward Trade-offs; Part V UBS VCAM and EGQ Regression-based Valuation; Part VI Leverage Buyout (LBO) Models; Part VII Valuation 101: Approaches and Alternatives; Part VIII Final Thoughts on Valuation; Index |
| Record Nr. | UNINA-9910830537203321 |
|
Viebig Jan
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Equity valuation : models from leading investment banks / / edited by Jan Viebig, Thorsten Poddig and Armin Varmaz
| Equity valuation : models from leading investment banks / / edited by Jan Viebig, Thorsten Poddig and Armin Varmaz |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (439 p.) |
| Disciplina | 332.63221 |
| Altri autori (Persone) |
ViebigJan <1969->
VarmazArmin PoddigThorsten |
| Collana | Wiley finance series |
| Soggetto topico |
Stocks - Mathematical models
Portfolio management - Mathematical models Valuation - Mathematical models Investment analysis - Mathematical models |
| ISBN |
1-119-20875-0
1-282-34963-5 9786612349638 0-470-75880-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Equity Valuation; Contents; Foreword; Preface; Acknowledgments; Abbreviations; Part I Discounted Cash Flow (DCF) Models; Part II Monte Carlo Free Cash Flow to the Firm (MC-FCFF) Models (Deutsche Bank/DWS); Part III Beyond Earnings: A User's Guide to Excess Return Models and the HOLT CFROI® Framework; Part IV Morgan Stanley ModelWare's Approach to Intrinsic Value: Focusing on Risk-Reward Trade-offs; Part V UBS VCAM and EGQ Regression-based Valuation; Part VI Leverage Buyout (LBO) Models; Part VII Valuation 101: Approaches and Alternatives; Part VIII Final Thoughts on Valuation; Index |
| Record Nr. | UNINA-9910877494203321 |
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Extreme financial risks : from dependence to risk management / Yannick Malevergne, Didier Sornette
| Extreme financial risks : from dependence to risk management / Yannick Malevergne, Didier Sornette |
| Autore | Malevergne, Yannick |
| Pubbl/distr/stampa | Berlin : Springer, c2006 |
| Descrizione fisica | xvi, 312 p. : ill. ; 24 cm |
| Disciplina | 332.6015118 |
| Altri autori (Persone) | Sornette, Didierauthor |
| Soggetto topico |
Investment analysis - Mathematical models
Stochastic models Risk management - Mathematical models |
| ISBN |
354027264X
9783540272649 |
| Classificazione |
AMS 91B30
LC HG4529.M34 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991003798569707536 |
|
Malevergne, Yannick
|
||
| Berlin : Springer, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Funds of hedge funds [[electronic resource] ] : performance, assessment, diversification, and statistical properties / / edited by Greg N. Gregoriou
| Funds of hedge funds [[electronic resource] ] : performance, assessment, diversification, and statistical properties / / edited by Greg N. Gregoriou |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Butterworth/Heinemann/Elsevier, c2006 |
| Descrizione fisica | 1 online resource (497 p.) |
| Disciplina | 332.64/5 |
| Altri autori (Persone) | GregoriouGreg N. <1956-> |
| Collana | Quantitative finance series |
| Soggetto topico |
Hedge funds
Risk management Hedge funds - Evaluation Investment analysis - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-01612-8
9786611016128 0-08-047282-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Title page; Copyright Page; Table of Contents; Preface and Acknowledgments; About the editor; List of contributors; Part One: Performance; 1 Rank alpha funds of hedge funds; 1.1 Introduction; 1.2 Hedge fund data and biases; 1.3 Factor models for hedge funds; 1.4 Model estimation; 1.5 Rank alpha; 1.6 Optimizing funds of hedge funds; 1.7 Cleaning the covariance matrix; 1.8 Performance analysis of rank alpha portfolios; 1.9 Conclusion; References; 2 Funds of hedge funds: bias and persistence in returns; 2.1 Introduction; 2.2 Database; 2.3 Methodology; 2.4 Descriptive statistics
2.5 Bias analysis2.6 Persistence in performance; 2.7 Conclusion; References; 3 Replication and evaluation of funds of hedge funds returns; 3.1 Introduction; 3.2 The KP efficiency measure; 3.3 Evaluation results; 3.4 Distributional analysis; 3.5 Conclusion; References; 4 Performance, size, and new opportunities in the funds of hedge funds industry; 4.1 Introduction; 4.2 Experimental framework; 4.3 Factor model for fund of funds; 4.4 Sample formation; 4.5 Performance decomposition of FOF portfolios; 4.6 Principal components of FOF returns; 4.7 Conclusion; References 5 Optimal fund of funds asset allocation: hedge funds, CTAs, and REITs5.1 Introduction; 5.2 Data; 5.3 Methodology; 5.4 Results; 5.5 Conclusion; References; 6 The changing performance and risks of funds of funds in the modern period; 6.1 Characteristics of funds of funds; 6.2 Comparing returns: funds of funds vs. hedge funds; 6.3 Ancient history vs. modern history: LTCM as the defining moment; 6.4 Factor analysis of returns; 6.5 The future of funds of funds; References; 7 Hedge fund indices: Are they cost-effective alternatives to funds of funds?; 7.1 Introduction; 7.2 Funds of funds 7.3 Investable hedge fund indices7.4 Distribution of returns and potential biases; 7.5 Asset-based style factors; 7.6 Mean excess return and Sharpe ratio comparisons; 7.7 Fung and Hsieh model alphas and information ratio comparisons; 7.8 Correlation with traditional asset returns and lagged equity return comparisons; 7.9 Conclusion; References; 8 Simple hedge fund strategies as an alternative to funds of funds: evidence from large-cap funds; 8.1 Introduction; 8.2 Data; 8.3 Methodology; 8.4 Empirical results; 8.5 Conclusion; References Part Two: Diversification, Selection, Allocation, and Hedge Fund Indices9 Funds of funds of hedge funds: welcome to diworsification; 9.1 Introduction; 9.2 The art and science of diversification; 9.3 Analysis; 9.4 Diversification results; 9.5 How about the fees?; 9.6 Conclusion; References; 10 Style analysis of funds of hedge funds: measurement of asset allocation and style drift; 10.1 Introduction; 10.2 Sharpe's model for style analysis; 10.3 Data set; 10.4 Hedge fund classification; 10.5 Accuracy of Sharpe's model; 10.6 Measuring the style drift; 10.7 Conclusion; References; Appendix 11 Gains from adding funds of hedge funds to portfolios of traditional assets: an international perspective |
| Record Nr. | UNINA-9910457088303321 |
| Amsterdam ; ; Boston, : Butterworth/Heinemann/Elsevier, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Funds of hedge funds [[electronic resource] ] : performance, assessment, diversification, and statistical properties / / edited by Greg N. Gregoriou
| Funds of hedge funds [[electronic resource] ] : performance, assessment, diversification, and statistical properties / / edited by Greg N. Gregoriou |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Butterworth/Heinemann/Elsevier, c2006 |
| Descrizione fisica | 1 online resource (497 p.) |
| Disciplina | 332.64/5 |
| Altri autori (Persone) | GregoriouGreg N. <1956-> |
| Collana | Quantitative finance series |
| Soggetto topico |
Hedge funds
Risk management Hedge funds - Evaluation Investment analysis - Mathematical models |
| ISBN |
1-281-01612-8
9786611016128 0-08-047282-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Title page; Copyright Page; Table of Contents; Preface and Acknowledgments; About the editor; List of contributors; Part One: Performance; 1 Rank alpha funds of hedge funds; 1.1 Introduction; 1.2 Hedge fund data and biases; 1.3 Factor models for hedge funds; 1.4 Model estimation; 1.5 Rank alpha; 1.6 Optimizing funds of hedge funds; 1.7 Cleaning the covariance matrix; 1.8 Performance analysis of rank alpha portfolios; 1.9 Conclusion; References; 2 Funds of hedge funds: bias and persistence in returns; 2.1 Introduction; 2.2 Database; 2.3 Methodology; 2.4 Descriptive statistics
2.5 Bias analysis2.6 Persistence in performance; 2.7 Conclusion; References; 3 Replication and evaluation of funds of hedge funds returns; 3.1 Introduction; 3.2 The KP efficiency measure; 3.3 Evaluation results; 3.4 Distributional analysis; 3.5 Conclusion; References; 4 Performance, size, and new opportunities in the funds of hedge funds industry; 4.1 Introduction; 4.2 Experimental framework; 4.3 Factor model for fund of funds; 4.4 Sample formation; 4.5 Performance decomposition of FOF portfolios; 4.6 Principal components of FOF returns; 4.7 Conclusion; References 5 Optimal fund of funds asset allocation: hedge funds, CTAs, and REITs5.1 Introduction; 5.2 Data; 5.3 Methodology; 5.4 Results; 5.5 Conclusion; References; 6 The changing performance and risks of funds of funds in the modern period; 6.1 Characteristics of funds of funds; 6.2 Comparing returns: funds of funds vs. hedge funds; 6.3 Ancient history vs. modern history: LTCM as the defining moment; 6.4 Factor analysis of returns; 6.5 The future of funds of funds; References; 7 Hedge fund indices: Are they cost-effective alternatives to funds of funds?; 7.1 Introduction; 7.2 Funds of funds 7.3 Investable hedge fund indices7.4 Distribution of returns and potential biases; 7.5 Asset-based style factors; 7.6 Mean excess return and Sharpe ratio comparisons; 7.7 Fung and Hsieh model alphas and information ratio comparisons; 7.8 Correlation with traditional asset returns and lagged equity return comparisons; 7.9 Conclusion; References; 8 Simple hedge fund strategies as an alternative to funds of funds: evidence from large-cap funds; 8.1 Introduction; 8.2 Data; 8.3 Methodology; 8.4 Empirical results; 8.5 Conclusion; References Part Two: Diversification, Selection, Allocation, and Hedge Fund Indices9 Funds of funds of hedge funds: welcome to diworsification; 9.1 Introduction; 9.2 The art and science of diversification; 9.3 Analysis; 9.4 Diversification results; 9.5 How about the fees?; 9.6 Conclusion; References; 10 Style analysis of funds of hedge funds: measurement of asset allocation and style drift; 10.1 Introduction; 10.2 Sharpe's model for style analysis; 10.3 Data set; 10.4 Hedge fund classification; 10.5 Accuracy of Sharpe's model; 10.6 Measuring the style drift; 10.7 Conclusion; References; Appendix 11 Gains from adding funds of hedge funds to portfolios of traditional assets: an international perspective |
| Record Nr. | UNINA-9910784356203321 |
| Amsterdam ; ; Boston, : Butterworth/Heinemann/Elsevier, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Funds of hedge funds : performance, assessment, diversification, and statistical properties / / edited by Greg N. Gregoriou
| Funds of hedge funds : performance, assessment, diversification, and statistical properties / / edited by Greg N. Gregoriou |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Butterworth/Heinemann/Elsevier, c2006 |
| Descrizione fisica | 1 online resource (497 p.) |
| Disciplina | 332.64/5 |
| Altri autori (Persone) | GregoriouGreg N. <1956-> |
| Collana | Quantitative finance series |
| Soggetto topico |
Hedge funds
Risk management Hedge funds - Evaluation Investment analysis - Mathematical models |
| ISBN |
1-281-01612-8
9786611016128 0-08-047282-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Title page; Copyright Page; Table of Contents; Preface and Acknowledgments; About the editor; List of contributors; Part One: Performance; 1 Rank alpha funds of hedge funds; 1.1 Introduction; 1.2 Hedge fund data and biases; 1.3 Factor models for hedge funds; 1.4 Model estimation; 1.5 Rank alpha; 1.6 Optimizing funds of hedge funds; 1.7 Cleaning the covariance matrix; 1.8 Performance analysis of rank alpha portfolios; 1.9 Conclusion; References; 2 Funds of hedge funds: bias and persistence in returns; 2.1 Introduction; 2.2 Database; 2.3 Methodology; 2.4 Descriptive statistics
2.5 Bias analysis2.6 Persistence in performance; 2.7 Conclusion; References; 3 Replication and evaluation of funds of hedge funds returns; 3.1 Introduction; 3.2 The KP efficiency measure; 3.3 Evaluation results; 3.4 Distributional analysis; 3.5 Conclusion; References; 4 Performance, size, and new opportunities in the funds of hedge funds industry; 4.1 Introduction; 4.2 Experimental framework; 4.3 Factor model for fund of funds; 4.4 Sample formation; 4.5 Performance decomposition of FOF portfolios; 4.6 Principal components of FOF returns; 4.7 Conclusion; References 5 Optimal fund of funds asset allocation: hedge funds, CTAs, and REITs5.1 Introduction; 5.2 Data; 5.3 Methodology; 5.4 Results; 5.5 Conclusion; References; 6 The changing performance and risks of funds of funds in the modern period; 6.1 Characteristics of funds of funds; 6.2 Comparing returns: funds of funds vs. hedge funds; 6.3 Ancient history vs. modern history: LTCM as the defining moment; 6.4 Factor analysis of returns; 6.5 The future of funds of funds; References; 7 Hedge fund indices: Are they cost-effective alternatives to funds of funds?; 7.1 Introduction; 7.2 Funds of funds 7.3 Investable hedge fund indices7.4 Distribution of returns and potential biases; 7.5 Asset-based style factors; 7.6 Mean excess return and Sharpe ratio comparisons; 7.7 Fung and Hsieh model alphas and information ratio comparisons; 7.8 Correlation with traditional asset returns and lagged equity return comparisons; 7.9 Conclusion; References; 8 Simple hedge fund strategies as an alternative to funds of funds: evidence from large-cap funds; 8.1 Introduction; 8.2 Data; 8.3 Methodology; 8.4 Empirical results; 8.5 Conclusion; References Part Two: Diversification, Selection, Allocation, and Hedge Fund Indices9 Funds of funds of hedge funds: welcome to diworsification; 9.1 Introduction; 9.2 The art and science of diversification; 9.3 Analysis; 9.4 Diversification results; 9.5 How about the fees?; 9.6 Conclusion; References; 10 Style analysis of funds of hedge funds: measurement of asset allocation and style drift; 10.1 Introduction; 10.2 Sharpe's model for style analysis; 10.3 Data set; 10.4 Hedge fund classification; 10.5 Accuracy of Sharpe's model; 10.6 Measuring the style drift; 10.7 Conclusion; References; Appendix 11 Gains from adding funds of hedge funds to portfolios of traditional assets: an international perspective |
| Record Nr. | UNINA-9910806895303321 |
| Amsterdam ; ; Boston, : Butterworth/Heinemann/Elsevier, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||