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Frontiers of Asset Pricing
| Frontiers of Asset Pricing |
| Autore | Kolari James W |
| Pubbl/distr/stampa | Basel, : MDPI - Multidisciplinary Digital Publishing Institute, 2022 |
| Descrizione fisica | 1 electronic resource (228 p.) |
| Soggetto topico | Philosophy |
| Soggetto non controllato |
forecasting
commodity market metals term structure yield spread carry cost rate hedge ratio conditional hedge ratio bias adjustments earnings announcements options informed trading net buying pressure volatility direction at-the-money out-of-the-money deep-out-of-the-money asset pricing S&P 500 index survivor stocks risk factors momentum Bitcoin cryptocurrencies outliers GARCH-jump time-varying jumps zero-beta CAPM return dispersion expectation-maximization (EM) regression latent variable free-boundary problem pairs trading stochastic control trading strategies transaction costs transaction regions finance economics event study clustered event days cross-sectional correlation cumulated ranks rank test standardized abnormal returns market index market factor multifactors efficient portfolios efficient market hypothesis unit root spectral analysis abnormal returns pricing market volume portfolio profitability Poisson model |
| ISBN | 3-0365-5846-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910637778903321 |
Kolari James W
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| Basel, : MDPI - Multidisciplinary Digital Publishing Institute, 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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What hedge funds really do : an introduction to portfolio management / / Philip J. Romero and Tucker Balch
| What hedge funds really do : an introduction to portfolio management / / Philip J. Romero and Tucker Balch |
| Autore | Romero Philip J. |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | New York, New York (222 East 46th Street, New York, NY 10017) : , : Business Expert Press, , 2014 |
| Descrizione fisica | 1 online resource (148 pages) |
| Disciplina | 332.6327 |
| Collana | Economics collection |
| Soggetto topico |
Hedge funds
Portfolio management |
| Soggetto genere / forma | Electronic books. |
| Soggetto non controllato |
absolute return
active investment management arbitrage capital asset pricing model CAPM derivatives exchange traded funds ETF fat tails finance hedge funds hedging high-frequency trading HFT investing investment management long/short modern portfolio theory MPT optimization quant quantitative trading strategies portfolio construction portfolio management portfolio optimization trading trading strategies Wall Street |
| ISBN | 1-63157-090-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I. The basics -- 1. Introduction -- 2. So you want to be a hedge fund manager -- 3. An illustrative hedge fund strategy: arbitrage -- 4. Market-making mechanics -- 5. Introduction to company valuation -- Part II. Investing fundamentals: CAPM and EMH -- 6. How valuation is used by hedge funds -- 7. Framework for investing: the capital asset pricing model (CAPM) -- 8. The efficient market hypothesis (EMH), its three versions -- 9. The fundamental law of active portfolio management -- Part III. Market simulation and portfolio construction -- 10. Modern portfolio theory: the efficient frontier and portfolio optimization -- 11. Event studies -- 12. Overcoming data quirks to design trading strategies -- 13. Data sources -- 14. Back testing strategies -- Part IV. Case study and issues -- 15. Hedge fund case study: long term capital management (LTCM) -- 16. Opportunities and challenges for hedge funds -- Teaching cases -- Glossary -- Summary -- Index. |
| Record Nr. | UNINA-9910458929803321 |
|
Romero Philip J.
|
||
| New York, New York (222 East 46th Street, New York, NY 10017) : , : Business Expert Press, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
What hedge funds really do : an introduction to portfolio management / / Philip J. Romero and Tucker Balch
| What hedge funds really do : an introduction to portfolio management / / Philip J. Romero and Tucker Balch |
| Autore | Romero Philip J. |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | New York, New York (222 East 46th Street, New York, NY 10017) : , : Business Expert Press, , 2014 |
| Descrizione fisica | 1 online resource (148 pages) |
| Disciplina | 332.6327 |
| Collana | Economics collection |
| Soggetto topico |
Hedge funds
Fons especulatius Gestió de cartera Portfolio management |
| Soggetto genere / forma | Llibres electrònics |
| Soggetto non controllato |
absolute return
active investment management arbitrage capital asset pricing model CAPM derivatives exchange traded funds ETF fat tails finance hedge funds hedging high-frequency trading HFT investing investment management long/short modern portfolio theory MPT optimization quant quantitative trading strategies portfolio construction portfolio management portfolio optimization trading trading strategies Wall Street |
| ISBN | 1-63157-090-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I. The basics -- 1. Introduction -- 2. So you want to be a hedge fund manager -- 3. An illustrative hedge fund strategy: arbitrage -- 4. Market-making mechanics -- 5. Introduction to company valuation -- Part II. Investing fundamentals: CAPM and EMH -- 6. How valuation is used by hedge funds -- 7. Framework for investing: the capital asset pricing model (CAPM) -- 8. The efficient market hypothesis (EMH), its three versions -- 9. The fundamental law of active portfolio management -- Part III. Market simulation and portfolio construction -- 10. Modern portfolio theory: the efficient frontier and portfolio optimization -- 11. Event studies -- 12. Overcoming data quirks to design trading strategies -- 13. Data sources -- 14. Back testing strategies -- Part IV. Case study and issues -- 15. Hedge fund case study: long term capital management (LTCM) -- 16. Opportunities and challenges for hedge funds -- Teaching cases -- Glossary -- Summary -- Index. |
| Record Nr. | UNINA-9910791003103321 |
|
Romero Philip J.
|
||
| New York, New York (222 East 46th Street, New York, NY 10017) : , : Business Expert Press, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
What hedge funds really do : an introduction to portfolio management / / Philip J. Romero and Tucker Balch
| What hedge funds really do : an introduction to portfolio management / / Philip J. Romero and Tucker Balch |
| Autore | Romero Philip J. |
| Edizione | [First edition.] |
| Pubbl/distr/stampa | New York, New York (222 East 46th Street, New York, NY 10017) : , : Business Expert Press, , 2014 |
| Descrizione fisica | 1 online resource (148 pages) |
| Disciplina | 332.6327 |
| Collana | Economics collection |
| Soggetto topico |
Hedge funds
Fons especulatius Gestió de cartera Portfolio management |
| Soggetto genere / forma | Llibres electrònics |
| Soggetto non controllato |
absolute return
active investment management arbitrage capital asset pricing model CAPM derivatives exchange traded funds ETF fat tails finance hedge funds hedging high-frequency trading HFT investing investment management long/short modern portfolio theory MPT optimization quant quantitative trading strategies portfolio construction portfolio management portfolio optimization trading trading strategies Wall Street |
| ISBN | 1-63157-090-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I. The basics -- 1. Introduction -- 2. So you want to be a hedge fund manager -- 3. An illustrative hedge fund strategy: arbitrage -- 4. Market-making mechanics -- 5. Introduction to company valuation -- Part II. Investing fundamentals: CAPM and EMH -- 6. How valuation is used by hedge funds -- 7. Framework for investing: the capital asset pricing model (CAPM) -- 8. The efficient market hypothesis (EMH), its three versions -- 9. The fundamental law of active portfolio management -- Part III. Market simulation and portfolio construction -- 10. Modern portfolio theory: the efficient frontier and portfolio optimization -- 11. Event studies -- 12. Overcoming data quirks to design trading strategies -- 13. Data sources -- 14. Back testing strategies -- Part IV. Case study and issues -- 15. Hedge fund case study: long term capital management (LTCM) -- 16. Opportunities and challenges for hedge funds -- Teaching cases -- Glossary -- Summary -- Index. |
| Record Nr. | UNINA-9910817453103321 |
|
Romero Philip J.
|
||
| New York, New York (222 East 46th Street, New York, NY 10017) : , : Business Expert Press, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||