top

  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.

  Info

  • Utilizzare questo link per rimuovere la selezione effettuata.

Biblioteca

MARC Lista (tabellare)
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
Opac: Controlla la disponibilità qui
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
Opac: Controlla la disponibilità qui
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
Opac: Controlla la disponibilità qui
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
Opac: Controlla la disponibilità qui
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 9786612349638
9781119208754
1119208750
9781282349636
1282349635
9780470758809
0470758805
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-9911019825603321
Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2008
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
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
Opac: Controlla la disponibilità qui
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
Opac: Controlla la disponibilità qui
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
Opac: Controlla la disponibilità qui
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 9786611016128
9781281016126
1281016128
9780080472829
0080472826
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-9910971655503321
Amsterdam ; ; Boston, : Butterworth/Heinemann/Elsevier, c2006
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Handbook of high-frequency trading and modeling in finance / / edited by Ionut Florescu, Maria C. Mariani, H. Eugene Stanley, Frederi G. Viens
Handbook of high-frequency trading and modeling in finance / / edited by Ionut Florescu, Maria C. Mariani, H. Eugene Stanley, Frederi G. Viens
Pubbl/distr/stampa Hoboken, New Jersey : , : John Wiley & Sons, Incorporated, , [2016]
Descrizione fisica 1 online resource (455 p.)
Disciplina 332.64/20285
Collana Wiley handbooks in financial engineering and econometrics
Soggetto topico Investment analysis - Mathematical models
Investments - Mathematical models
Finance - Mathematical models
ISBN 1-118-59340-5
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Handbook of High-Frequency Trading and Modeling in Finance; Contents; Notes on Contributors; Editors; List of Contributors; Preface; 1 Trends and Trades; 1.1 Introduction; 1.2 A trend-based trading strategy; 1.2.1 signaling and trends; 1.2.2 gain over a subperiod; 1.3 CUSUM timing; 1.3.1 cusum process and stopping time; 1.3.2 a cusum timing scheme; 1.3.3 us treasury notes, cusum timing; 1.4 Example: Random walk on ticks; 1.4.1 random walk expected gain over a subperiod; 1.4.2 simple random walk, CUSUM timing; 1.4.3 lazy simple random walk, cusum timing; 1.5 CUSUM strategy Monte Carlo
1.6 The effect of the threshold parameter1.7 Conclusions and future work; Appendix: Tables; References; 2 Gaussian Inequalities and Tranche Sensitivities; 2.1 Introduction; 2.2 The tranche loss function; 2.3 A sensitivity identity; 2.4 Correlation sensitivities; Acknowledgment; References; 3 A Nonlinear Lead Lag Dependence Analysis of Energy Futures: Oil, Coal, and Natural Gas; 3.1 Introduction; 3.1.1 causality analysis; 3.2 Data; 3.3 Estimation techniques; 3.4 Results; 3.5 Discussion; 3.6 Conclusions; Acknowledgments; References; 4 Portfolio Optimization: Applications in Quantum Computing
4.1 Introduction4.2 Background; 4.2.1 Portfolios And Optimization; 4.2.2 Algorithmic Complexity; 4.2.3 Performance; 4.2.4 Ising Model; 4.2.5 Adiabatic Quantum Computing; 4.3 The models; 4.3.1 Financial Model; 4.3.2 Graph-Theoretic Combinatorial Optimization Models; 4.3.3 Ising And Qubo Models; 4.3.4 Mixed Models; 4.4 Methods; 4.4.1 Model Implementation; 4.4.2 Input Data; 4.4.3 Mean-Variance Calculations; 4.4.4 Implementing The Risk Measure; 4.4.5 Implementation Mapping; 4.5 Results; 4.5.1 The Simple Correlation Model; 4.5.2 The Restricted Minimum-Risk Model
4.5.3 The WMIS Minimum-Risk, Max Return Model4.6 Discussion; 4.6.1 Hardware Limitations; 4.6.2 Model Limitations; 4.6.3 Implementation Limitations; 4.6.4 Future Research; 4.7 Conclusion; Acknowledgments; Appendix 4.A: WMIS Matlab Code; References; 5 Estimation Procedure for Regime Switching Stochastic Volatility Model and Its Applications; 5.1 Introduction; 5.1.1 the original motivation; 5.1.2 the model and the problem; 5.1.3 a brief historical note; 5.2 The methodology; 5.2.1 obtaining filtered empirical distributions at ; 5.2.2 obtaining the parameters of the markov chain
5.3 Results obtained applying the model to real data5.3.1 part i: financial applications; 5.3.2 part ii: physical data application. temperature data; 5.3.3 part iii: analysis of seismometer readings during an earthquake; 5.3.4 analysis of the earthquake signal: beginning; 5.3.5 analysis: during the earthquake; 5.3.6 analysis: end of the earthquake signal, aftershocks; 5.4 Conclusion; Appendix 5.A:Theoretical results and empirical testing; 5.A.1 how does the particle filter work?; 5.A.2 theoretical results about convergence and parameter estimates; 5.A.3 markov chain parameter estimates
5.A.4 empirical testing
Record Nr. UNINA-9910136773503321
Hoboken, New Jersey : , : John Wiley & Sons, Incorporated, , [2016]
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui