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The Endowment Model of Investing [[electronic resource] ] : Return, Risk, and Diversification
| The Endowment Model of Investing [[electronic resource] ] : Return, Risk, and Diversification |
| Autore | Leibowitz Martin L. <1936-> |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Somerset : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (329 pages) |
| Disciplina | 332.67253 |
| Altri autori (Persone) |
BovaAnthony <1978->
HammondP. Brett |
| Collana | Wiley Finance |
| Soggetto topico |
Institutional investments
Portfolio management |
| Soggetto non controllato |
Portfolio Management
Investments Business & Economics |
| ISBN |
0-470-60842-0
1-282-54861-1 9786612548611 1-118-26653-6 0-470-60844-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
EFFICIENT FRONTIER ANALYSIS -- THE ALPHA EFFECT -- APPENDIX -- CHAPTER 6 - Expanding the Alpha Core -- INHERENT CONSTRAINTS ON ALTERNATIVE ASSETS -- BUILDING AN ALPHA CORE -- MAXIMUM-RETURN ALPHA CORES -- THE FLOWER DIAGRAM -- EXPANDING THE ALPHA CORE -- MOVING BEYOND BETA DOMINATION -- DUAL ACTIVE-ALLOCATION ALPHAS -- CONCLUSION -- CHAPTER 7 - Alpha-Driven Efficient Frontiers -- THE EFFICIENT FRONTIER IN ALPHA SPACE -- INCREASING THE ALPHA CORE PERCENTAGE -- CONCLUSION -- CHAPTER 8 - The Societal Efficient Frontier -- STANDARD EFFICIENT FRONTIERS -- THE SWING ASSET FRONTIER -- THE CONCEPT OF A SOCIETAL FRONTIER -- TOTAL BETAS AND THE DIVERSIFICATION PARADOX -- DRAGON RISK CONSTRAINTS AND CLIMBING THE ALPHA WALL -- A SOCIETAL FRONTIER OF QUANTUM RISK STATES -- ACTIVE ALPHAS AND OTHER RISK-AND-RETURN TRADEOFFS -- SOCIETAL GAPS AND OPPORTUNITIES -- REFERENCES -- CHAPTER 9 - Equilibration -- BETA DOMINATION AND CONSTRAINED ALTERNATIVES -- ALPHA DECAY UNDER BETA DOMINATION -- REALIZED RETURNS VERSUS GOING-FORWARD ALPHAS -- SHARPE RATIO DECAY -- SEQUENTIAL ALPHA EROSION -- EQUILIBRATION ACROSS THE SOCIETAL FRONTIER -- REFERENCES -- CHAPTER 10 - Shortfall Risks and Efficient Frontiers -- IMPORTANCE OF SHORTFALL RISK IN PORTFOLIOS -- EFFICIENT FRONTIERS USING FIXED ALPHA CORES -- SHORTFALL PROBABILITIES -- SHORTFALL REGIONS IN A RISK-AND-RETURN SPACE -- SHORTFALLS RELATIVE TO THE RISK-FREE BASELINE -- SHORTFALL PROBABILITIES ALONG THE EFFICIENT FRONTIER -- MULTIPLE HORIZON COMPARISONS -- APPENDIX -- REFERENCES -- CHAPTER 11 - Convergence of Risks -- END-OF-PERIOD SHORTFALL PROBABILITIES -- WITHIN-PERIOD STOP-LOSS PROBABILITIES -- HIGH WATERMARK SHORTFALLS -- CHANGING THE THRESHOLDS AND HORIZONS -- SHORTFALL PROBABILITIES ALONG THE EFFICIENT FRONTIER -- ACCEPTABLE RISK-AND-RETURN REGIONS -- CONCLUSION -- REFERENCES.
STRESS BETAS AT THE ASSET LEVEL -- SHORT TERM VULNERABILITY OF DIVERSIFIED PORTFOLIOS -- BETA PATHWAYS FOR INDIVIDUAL ASSET CLASSES -- APPENDIX -- CHAPTER 18 - The Endowment Model: Theory and Experience -- THEORETICAL BETA-BASED RISKS -- HISTORICAL RISK CHARACTERISTICS -- ALPHA AND BETA RETURNS -- CONCLUSION -- CHAPTER 19 - Diversification Performance: Under Stress (2008) and over the Long ... -- A SEMI-DIVERSIFIED PORTFOLIO -- VOLATILITIES AND VOLATILITY RATIOS -- INDIVIDUAL AND PORTFOLIO CORRELATIONS WITH U.S. EQUITY -- HISTORICAL BETAS -- BETA-BASED AND ALPHA RETURNS -- STRESS BETA THEORY -- 2008 RESULTS AND STRESS BETAS -- CONCLUSION -- PART Four - Asset Allocation and Return Thresholds -- CHAPTER 20 - Asset Allocation and Return Thresholds in a Beta World -- PERCENTILES IN RETURN AND BETA SPACE -- THE PERCENTILE FAN -- MINIMUM AND MAXIMUM BETAS FOR RETURN TARGETS -- THE CHARACTERISTIC PROBABILITY OF EXCEEDING THE RISK-FREE RATE -- MULTIYEAR HORIZONS -- BETA REGIMES -- SHORTFALL LINES -- ALPHA CORES AND STRESS BETAS -- CONCLUSION -- APPENDIX -- REFERENCES -- CHAPTER 21 - Key Takeaways -- About the Authors -- Index. |
| Record Nr. | UNINA-9910208825603321 |
Leibowitz Martin L. <1936->
|
||
| Somerset : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Endowment Model of Investing [[electronic resource] ] : Return, Risk, and Diversification
| The Endowment Model of Investing [[electronic resource] ] : Return, Risk, and Diversification |
| Autore | Leibowitz Martin L. <1936-> |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | Somerset : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (329 pages) |
| Disciplina | 332.67253 |
| Altri autori (Persone) |
BovaAnthony <1978->
HammondP. Brett |
| Collana | Wiley Finance |
| Soggetto topico |
Institutional investments
Portfolio management |
| Soggetto non controllato |
Portfolio Management
Investments Business & Economics |
| ISBN |
0-470-60842-0
1-282-54861-1 9786612548611 1-118-26653-6 0-470-60844-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
EFFICIENT FRONTIER ANALYSIS -- THE ALPHA EFFECT -- APPENDIX -- CHAPTER 6 - Expanding the Alpha Core -- INHERENT CONSTRAINTS ON ALTERNATIVE ASSETS -- BUILDING AN ALPHA CORE -- MAXIMUM-RETURN ALPHA CORES -- THE FLOWER DIAGRAM -- EXPANDING THE ALPHA CORE -- MOVING BEYOND BETA DOMINATION -- DUAL ACTIVE-ALLOCATION ALPHAS -- CONCLUSION -- CHAPTER 7 - Alpha-Driven Efficient Frontiers -- THE EFFICIENT FRONTIER IN ALPHA SPACE -- INCREASING THE ALPHA CORE PERCENTAGE -- CONCLUSION -- CHAPTER 8 - The Societal Efficient Frontier -- STANDARD EFFICIENT FRONTIERS -- THE SWING ASSET FRONTIER -- THE CONCEPT OF A SOCIETAL FRONTIER -- TOTAL BETAS AND THE DIVERSIFICATION PARADOX -- DRAGON RISK CONSTRAINTS AND CLIMBING THE ALPHA WALL -- A SOCIETAL FRONTIER OF QUANTUM RISK STATES -- ACTIVE ALPHAS AND OTHER RISK-AND-RETURN TRADEOFFS -- SOCIETAL GAPS AND OPPORTUNITIES -- REFERENCES -- CHAPTER 9 - Equilibration -- BETA DOMINATION AND CONSTRAINED ALTERNATIVES -- ALPHA DECAY UNDER BETA DOMINATION -- REALIZED RETURNS VERSUS GOING-FORWARD ALPHAS -- SHARPE RATIO DECAY -- SEQUENTIAL ALPHA EROSION -- EQUILIBRATION ACROSS THE SOCIETAL FRONTIER -- REFERENCES -- CHAPTER 10 - Shortfall Risks and Efficient Frontiers -- IMPORTANCE OF SHORTFALL RISK IN PORTFOLIOS -- EFFICIENT FRONTIERS USING FIXED ALPHA CORES -- SHORTFALL PROBABILITIES -- SHORTFALL REGIONS IN A RISK-AND-RETURN SPACE -- SHORTFALLS RELATIVE TO THE RISK-FREE BASELINE -- SHORTFALL PROBABILITIES ALONG THE EFFICIENT FRONTIER -- MULTIPLE HORIZON COMPARISONS -- APPENDIX -- REFERENCES -- CHAPTER 11 - Convergence of Risks -- END-OF-PERIOD SHORTFALL PROBABILITIES -- WITHIN-PERIOD STOP-LOSS PROBABILITIES -- HIGH WATERMARK SHORTFALLS -- CHANGING THE THRESHOLDS AND HORIZONS -- SHORTFALL PROBABILITIES ALONG THE EFFICIENT FRONTIER -- ACCEPTABLE RISK-AND-RETURN REGIONS -- CONCLUSION -- REFERENCES.
STRESS BETAS AT THE ASSET LEVEL -- SHORT TERM VULNERABILITY OF DIVERSIFIED PORTFOLIOS -- BETA PATHWAYS FOR INDIVIDUAL ASSET CLASSES -- APPENDIX -- CHAPTER 18 - The Endowment Model: Theory and Experience -- THEORETICAL BETA-BASED RISKS -- HISTORICAL RISK CHARACTERISTICS -- ALPHA AND BETA RETURNS -- CONCLUSION -- CHAPTER 19 - Diversification Performance: Under Stress (2008) and over the Long ... -- A SEMI-DIVERSIFIED PORTFOLIO -- VOLATILITIES AND VOLATILITY RATIOS -- INDIVIDUAL AND PORTFOLIO CORRELATIONS WITH U.S. EQUITY -- HISTORICAL BETAS -- BETA-BASED AND ALPHA RETURNS -- STRESS BETA THEORY -- 2008 RESULTS AND STRESS BETAS -- CONCLUSION -- PART Four - Asset Allocation and Return Thresholds -- CHAPTER 20 - Asset Allocation and Return Thresholds in a Beta World -- PERCENTILES IN RETURN AND BETA SPACE -- THE PERCENTILE FAN -- MINIMUM AND MAXIMUM BETAS FOR RETURN TARGETS -- THE CHARACTERISTIC PROBABILITY OF EXCEEDING THE RISK-FREE RATE -- MULTIYEAR HORIZONS -- BETA REGIMES -- SHORTFALL LINES -- ALPHA CORES AND STRESS BETAS -- CONCLUSION -- APPENDIX -- REFERENCES -- CHAPTER 21 - Key Takeaways -- About the Authors -- Index. |
| Record Nr. | UNINA-9910808184903321 |
|
Leibowitz Martin L. <1936->
|
||
| Somerset : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Liquidity, markets and trading in action : an interdisciplinary perspective / / Deniz Ozenbas [et al.]
| Liquidity, markets and trading in action : an interdisciplinary perspective / / Deniz Ozenbas [et al.] |
| Autore | Ozenbas Deniz |
| Pubbl/distr/stampa | Cham, : Springer International Publishing AG, 2021 |
| Descrizione fisica | 1 online resource (111 p.) |
| Altri autori (Persone) |
PaganoMichael S
SchwartzRobert A WeberBruce W. <1961-.> |
| Collana | Classroom companion |
| Soggetto topico |
Economics
Finance Liquidity (Economics) |
| Soggetto non controllato |
Open Access
Liquidity Creation TraderEx Financial Markets Financial Market Liquidity Trading Analytics Trading and Artificial Intelligence Trading and Machine Learning FinTech Trading Tech Blockchains Consumer Information Systems Financial Information systems Portfolio Management International Finance Corporate Finance |
| ISBN | 3-030-74817-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Chapter 1: Economics and the Equity Market: A Microeconomics Course Application Chapter 2: Liquidity, Trading, and Price Determination in Equity Markets: A Finance Course Application Chapter 3: Liquidity and the Impact of Information Shocks: A Macroeconomics Course Application Chapter 4: Trading and Technology: An Information Systems Course Application Chapter 5: Experiencing Market Dynamics with TraderEx: A Trading Decision-Making Simulation |
| Record Nr. | UNINA-9910494568503321 |
|
Ozenbas Deniz
|
||
| Cham, : Springer International Publishing AG, 2021 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||