• Business & Economics

Funds of Hedge Funds

Performance, Assessment, Diversification, and Statistical Properties
Author: Greg N. Gregoriou
Publisher: Butterworth-Heinemann
ISBN: 0080472826
Category: Business & Economics
Page: 496
View: 7533
With about $450 billion in assets, funds of hedge funds are the most recent darling of investors. While hedge funds carry high risk for the promise of high returns they are designed for the very rich and for large institutional investors such as pension funds. A Fund of Hedge Funds (FOF) spreads investments among a number of hedge funds to reduce risk and provide diversification, while maintaining the potential for higher than average returns. Odds are that some pension fund of yours is invested heavily in these products, and more recently these FOFs have been opened to more and more individual investors in offshore jurisdictions with lower minimum entry levels. Since this is a new and extremely fast-moving financial phenomenon, academic research has just begun in earnest, and this is the first book to present rigorous academic research by some of the leading lights in academic finance, carefully analyzing the broad array of issues involved in FOFs. * With over $450 billion in assets, hedge funds of funds are the darling of investors * First book to present rigorous academic research about funds of funds * Leading lights in academic finance from around the world analyze the broad array of issues involved in funds of funds

    • Mathematics

Portfolio Diversification


Author: Francois-Serge Lhabitant
Publisher: Elsevier
ISBN: 0081017863
Category: Mathematics
Page: 274
View: 1928
Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. Focuses on portfolio diversification across all its dimensions Includes recent empirical material that was created and developed specifically for this book Provides several tools to quantify and implement optimal diversification

    • Business & Economics

Asymmetric Dependence in Finance

Diversification, Correlation and Portfolio Management in Market Downturns
Author: Jamie Alcock,Stephen Satchell
Publisher: John Wiley & Sons
ISBN: 1119289017
Category: Business & Economics
Page: 312
View: 2803
"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is increasing we might expect to find the correlation between any two stocks to be, on average, lower than the correlation between those same two stocks when the market return is negative. However the term can also have a time series interpretation. Thus it may be that the impact of the current US market on the future UK market may be quantitatively different from the impact of the current UK market on the future US market. This is also a notion of AD that occurs through time. Whilst most of this book addresses the former notion of AD, time-series AD is explored in Chapters Four and Seven"--

    • Business & Economics

Advances in Portfolio Construction and Implementation


Author: Alan Scowcroft
Publisher: Elsevier
ISBN: 9780080471846
Category: Business & Economics
Page: 384
View: 2019
Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification. Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management. Advances in Portfolio Construction and Implementation offers practical guidance in addition to the theory, and is therefore ideal for Risk Mangers, Actuaries, Investment Managers, and Consultants worldwide. Issues are covered from a global perspective and all the recent developments of financial risk management are presented. Although not designed as an academic text, it should be useful to graduate students in finance. *Provides practical guidance on financial risk management *Covers the latest developments in investment portfolio construction *Full coverage of the latest cutting edge research on measuring portfolio risk, alternatives to mean variance analysis, expected returns forecasting, the construction of global portfolios and hedge portfolios (funds)

    • Business & Economics

Fixed Income Finance: A Quantitative Approach


Author: Mark Wise,Vineer Bhansali
Publisher: McGraw Hill Professional
ISBN: 0071763414
Category: Business & Economics
Page: 256
View: 9545
A complete guide for professionals with advanced mathematical skills but little or no financial knowledge . . . You’re smart. Logical. Mathematically adept. One of those people who can make quick work of long, difficult equations. But when it comes to managing a financial portfolio and managing risk, you wonder if you’re missing out. Fixed Income Finance is the book for you. It’s the perfect introduction to the concepts, formulas, applications, and methodology, all derived from first principles, that you need to succeed in the world of quantitative finance—with a special emphasis on fixed incomes. Written by two of the sharpest analytical minds in their fields, this instructive guide takes you through the basics of fixed income finance, including many new and original results, to help you understand: Treasury Bonds and the Yield Curve The Macroeconomics behind Term Structure Models Structural Models for Corporate Bonds and Portfolio Diversification Options Fixed Income Derivatives Numerical Techniques Filled with step-by-step equations, clear and concise concepts, and ready-to-use formulas, this essential workbook bridges the gap between basic beginners’ primers and more advanced surveys to provide hands-on tools you can begin to use immediately. It’s all you need to put your math skills to work— and make the money work for you. Brilliantly researched, impeccably detailed, and thoroughly comprehensive, Fixed Income Finance is applied mathematics at its best and most useful.

    • Business & Economics

Portfolio Selection

Efficient Diversification of Investments
Author: Harry M. Markowitz
Publisher: Yale University Press
ISBN: 0300013728
Category: Business & Economics
Page: 368
View: 4678
Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.

    • Business & Economics

Quantitative Credit Portfolio Management

Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk
Author: Arik Ben Dor,Lev Dynkin,Jay Hyman,Bruce D. Phelps
Publisher: John Wiley & Sons
ISBN: 1118167422
Category: Business & Economics
Page: 416
View: 7654
An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts. A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds—spread, liquidity, and Treasury yield curve risk—as well as managing corporate bond portfolios. Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade? Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.

    • Antiques & Collectibles

Collectible Investments for the High Net Worth Investor


Author: Stephen Satchell
Publisher: Academic Press
ISBN: 9780123745224
Category: Antiques & Collectibles
Page: 266
View: 790
Many high net worth individuals are interested in diversifying their portfolios and investing in collectibles. A collectible is any physical asset that appreciates in value over time because it is rare or desired by many. Stamps, coins, fine art, antiques, books, and wine are examples of collectibles. Where does the financial advisor or investment manager for these high net worth individuals go to learn about these investments? There is no comprehensive resource from the financial standpoint--until now. Dr Stephen Satchell of Trinity College, Cambridge, has developed a book in which experts in various types of collectibles analyze the financial aspects of investing in these collectibles. Chapters address issues such as: liquidity challenges, tax ramifications, appreciation timelines, the challenge of forecasting and measuring appreciation, and the psychological component of collecting and the role of emotion in collectible investing. Key Features Feature: Contributors are experts in collectible investing from around the world Benefit: Gives financial advisors and wealth managers handy access to expert opinions to better advise clients interested in collectible investments Feature: Experts discuss the pros and cons of collectibles from an investment perspective in their area of expertise Benefit: One stop shopping, all expertise brought together in one volume, creating a handy reference guide Feature: Experts discuss art, stamps, coins, antiques, wine, from around the world in one global perspective Benefit: Wealth managers can gain information about a wide range of collectibles and learn about investing in these types with a global perspective

    • Business & Economics

Quantitative Financial Economics

Stocks, Bonds and Foreign Exchange
Author: Keith Cuthbertson,Dirk Nitzsche
Publisher: John Wiley & Sons
ISBN: 047009172X
Category: Business & Economics
Page: 736
View: 6991
This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets. It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. Emphasis is placed on theory, testing and explaining ‘real-world’ issues. The new edition will include: Updated charts and cases studies. New companion website allowing students to put theory into practice and to test their knowledge through questions and answers. Chapters on Monte Carlo simulation, bootstrapping and market microstructure.

    • Business & Economics

A Benchmark Approach to Quantitative Finance


Author: Eckhard Platen,David Heath
Publisher: Springer Science & Business Media
ISBN: 3540478566
Category: Business & Economics
Page: 700
View: 2605
A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.

    • Business & Economics

Handbook of Quantitative Finance and Risk Management


Author: Cheng-Few Lee,John Lee
Publisher: Springer Science & Business Media
ISBN: 9780387771175
Category: Business & Economics
Page: 1716
View: 8410
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

    • Business & Economics

Current Topics in Quantitative Finance


Author: Elio Canestrelli
Publisher: Springer Science & Business Media
ISBN: 9783790812312
Category: Business & Economics
Page: 140
View: 1853
The present volume collects a selection of revised papers which were presented at the 21st Euro Working Group on Financial Modelling Meeting, held in Venice (Italy), on October 29-31, 1997. The Working Group was founded in September 1986 in Lisbon with the objective of providing an international forum for the exchange of information and experience; encouraging research and interaction be tween financial economic theory and practice of financial decision mak ing, as well as circulating information among universities and financial institutions throughout Europe. The attendance to the Meeting was large and highly qualified. More than 80 participants, coming from 20 different Countries debated on 5 invited lectures and 40 communications in regular sessions. The sessions were located at the Island of San Servolo, on the Venetian lagoon, just in front of the Doges Palace. San Servolo Island is a natural oasis, in the midst of a unique urban setting, offering great relaxation in a peaceful park and a panoramic view of Venice. The friendly atmosphere added great benefit to the formal and informal discussions among the participants, -which is typical of E.W.G.F.M. Meetings. It is interesting to consider the story of the Meeting. The previous locations were held at Cyprus, Crete and Dubrovnik - former mile stones of the Venitian Republic influence on the Mediterranean Sea. Therefore, that this Meeting should be harboured in the heart of the Republic itself (namely, the Saint Mark basin), was only a matter of consequence.

    • Business & Economics

Quantitative Energy Finance

Modeling, Pricing, and Hedging in Energy and Commodity Markets
Author: Fred Espen Benth,Valery A. Kholodnyi,Peter Laurence
Publisher: Springer Science & Business Media
ISBN: 1461472482
Category: Business & Economics
Page: 308
View: 2129
Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance.

    • Psychology

Blackwell Handbook of Judgment and Decision Making


Author: Derek J. Koehler,Nigel Harvey
Publisher: John Wiley & Sons
ISBN: 0470752912
Category: Psychology
Page: 680
View: 6522
The Blackwell Handbook of Judgment and Decision Making is a state-of-the art overview of current topics and research in the study of how people make evaluations, draw inferences, and make decisions under conditions of uncertainty and conflict. Contains contributions by experts from various disciplines that reflect current trends and controversies on judgment and decision making. Provides a glimpse at the many approaches that have been taken in the study of judgment and decision making and portrays the major findings in the field. Presents examinations of the broader roles of social, emotional, and cultural influences on decision making. Explores applications of judgment and decision making research to important problems in a variety of professional contexts, including finance, accounting, medicine, public policy, and the law.

    • Business & Economics

Risk-Based and Factor Investing


Author: Emmanuel Jurczenko
Publisher: Elsevier
ISBN: 0081008112
Category: Business & Economics
Page: 486
View: 405
This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students

    • Mathematics

Extreme Financial Risks and Asset Allocation


Author: Olivier Le Courtois,Christian Walter
Publisher: World Scientific
ISBN: 1783263105
Category: Mathematics
Page: 372
View: 4617
Each financial crisis calls for — by its novelty and the mechanisms it shares with preceding crises — appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as “jumps”, play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision. This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful. Contents:IntroductionMarket FrameworkStatistical Description of MarketsLévy ProcessesStable Distributions and ProcessesLaplace Distributions and ProcessesThe Time Change FrameworkTail DistributionsRisk BudgetsThe Psychology of RiskMonoperiodic Portfolio ChoiceDynamic Portfolio ChoiceConclusion Readership: Researchers, graduate students and financial engineers in the field of mathematical and quantitative finance. Key Features:This book offers an excellent synthesis of the academic literature in a clear, ordered, and intuitive wayThe continuous-time theory of the choice of portfolio is exposed with particular care when asset dynamics are modeled with processes admitting a jump component. This is a technically difficult topic that is tackled here with a lot of clarityThe collated works in this book facilitates access to the most recent techniques, making it user-friendly for readersKeywords:Lévy Process;Extreme Risks;Risk Management;Portfolio Management;Asset AllocationReviews: “A pedagogical work of updated financial models using Lévy processes. Very well written, very well explained and argued with examples and appropriate simulations. Recommended to academics, researchers and PhD students, slightly less to practitioners.” Zentralblatt MATH

    • Business & Economics

Computational Financial Mathematics using MATHEMATICA®

Optimal Trading in Stocks and Options
Author: Srdjan Stojanovic
Publisher: Springer Science & Business Media
ISBN: 1461200431
Category: Business & Economics
Page: 481
View: 6399
Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analytically and numerically in finding practical solutions. This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte-- Carlo. Nowadays, only good personal computers are required to handle the symbolic and numerical methods that are developed in this book. Key features: * No previous knowledge of Mathematica programming is required * The symbolic, numeric, data management and graphic capabilities of Mathematica are fully utilized * Monte--Carlo solutions of scalar and multivariable SDEs are developed and utilized heavily in discussing trading issues such as Black--Scholes hedging * Black--Scholes and Dupire PDEs are solved symbolically and numerically * Fast numerical solutions to free boundary problems with details of their Mathematica realizations are provided * Comprehensive study of optimal portfolio diversification, including an original theory of optimal portfolio hedging under non-Log-Normal asset price dynamics is presented The book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and individual investors.

    • Business & Economics

Quantitative Value, + Web Site

A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors
Author: Wesley R. Gray,Tobias E. Carlisle
Publisher: John Wiley & Sons
ISBN: 1118328078
Category: Business & Economics
Page: 288
View: 1475
Legendary investment gurus Warren Buffett and Ed Thorp represent different ends of the investing spectrum: one a value investor, the other a quant. While Buffett and Thorp have conflicting philosophical approaches, they agree that the market is beatable. In Quantitative Value, Wesley Gray and Tobias Carlisle take the best aspects from the disciplines of value investing and quantitative investing and apply them to a completely unique and winning approach to stock selection. As the authors explain, the quantitative value strategy offers a superior way to invest: capturing the benefits of a value investing philosophy without the behavioral errors associated with "stock picking." To demystify their innovative approach, Gray and Carlisle outline the framework for quantitative value investing, including the four key elements of the investment process: How to avoid stocks that can cause a permanent loss of capital: Learn how to uncover financial statement manipulation, fraud, and financial distress How to find stocks with the highest quality: Discover how to find strong economic franchises and robust financial strength. Gray and Carlisle look at long-term returns on capital and assets, free cash flow, and a variety of metrics related to margins and general financial strength The secret to finding deeply undervalued stocks: Does the price-to-earnings ratio find undervalued stocks better than free cash flow? Gray and Carlisle examine the historical data on over 50 valuation ratios, including some unusual metrics, rare multi-year averages, and uncommon combinations The five signals sent by smart money: The book uncovers the signals sent by insiders, short sellers, shareholder activists, and institutional investment managers After detailing the quantitative value investment process, Gray and Carlisle conduct a historical test of the resulting quantitative value model. Their conclusions are surprising and counterintuitive. This reliable resource includes a companion website that offers a monthly-updated screening tool to find stocks using the model outlined in the book, an updated back-testing tool, and a blog about recent developments in quantitative value investing. For any investor who wants to make the most of their time in today's complex marketplace, they should look no further than Quantitative Value.

    • Business & Economics

The Tax and Legal Playbook

Game-Changing Solutions to Your Small Business Questions
Author: Mark J. Kohler
Publisher: Entrepreneur Press
ISBN: 9781599185613
Category: Business & Economics
Page: 224
View: 9864
Attorney and CPA Mark J. Kohler targets the leading tax and business issues among small business owners and delivers a practical guide to the fundamental tax and legal conflicts faced by new and established entrepreneurs. Coached by Kohler, business owners are armed to seek out the right professionals relevant to their concerns, confidently ask the right questions, and, ultimately, save time, money, and potential heartache. Approaching each chapter the same way he approaches a client consult, Kohler delivers topic- or question-specific solutions illustrating each critical business matter with entertaining, real-world examples to educate flustered business owners, who are then presented with varied, clearly defined solutions and next steps for moving forward. Each consultation” offers tools such as assessment quizzes, valuable details to know, possible pitfalls and deceptions, what strategies should always be practiced, and what new strategies or tactics are worth considering. Wowing readers with the clear-cut truths, thoughtful advice, and outside-of-the-box thinking shared in his many Entrepreneur.com contributions, speaking events, and previous booksLawyers Are Liars and What Your CPA Isn't Telling You Kohler presents a simplified look at the complex questions within the areas of legal and tax planning for business.

    • Business & Economics

Forecasting Expected Returns in the Financial Markets


Author: Stephen Satchell
Publisher: Elsevier
ISBN: 0080550673
Category: Business & Economics
Page: 304
View: 9221
Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives