Sharpening Sharpe Ratios
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Time Varying Sharpe Ratios And Market Timing
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Author : Robert F. Whitelaw
language : en
Publisher:
Release Date : 1997
Time Varying Sharpe Ratios And Market Timing written by Robert F. Whitelaw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Speculation categories.
This paper documents predictable time-variation in stock market Sharpe ratios. Predetermined financial variables are used to estimate both the conditional mean and volatility of equity returns, and these moments are combined toestimate the conditional Sharpe ratio. In sample, estimated conditional Sharpe ratios show substantial time-variation that coincides with the variation in ex post Sharpe ratios and with the phases of the business cycle. Generally, Sharpe ratios are low at the peak of the cycle and high at the trough. In out-of-sample analysis, using 10-year rolling, regressions, we can identify periods in which the ex post Sharpe ratio is approximately three times larger than its full-sample value. Moreover, relatively naive market-timing strategies that exploit this predictability can generate Sharpe ratios more than 70% larger than a buy-and-hold strategy
Trend Following With Managed Futures
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Author : Alex Greyserman
language : en
Publisher: John Wiley & Sons
Release Date : 2014-08-25
Trend Following With Managed Futures written by Alex Greyserman and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-25 with Business & Economics categories.
An all-inclusive guide to trend following As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in-depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as: Trend following as an alternative asset class Benchmarking and factor decomposition Applications for trend following in an investment portfolio And many more By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.
World Of Hedge Funds The Characteristics And Analysis
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Author : H Gifford Fong
language : en
Publisher: World Scientific
Release Date : 2005-07-18
World Of Hedge Funds The Characteristics And Analysis written by H Gifford Fong and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-07-18 with Business & Economics categories.
The World of Hedge Funds is a compendium of distinguished papers focusing on the cutting-edge analysis of hedge funds. This area is arguably the fastest growing source of funds in the investment management arena. It represents an exciting opportunity for the investor and manager in terms of the range of return and risk available. A source of rigorous analysis is therefore both sought after as well as needed. This book aims to fill this gap by presenting an eclectic collection of papers contributed by influential academics and practitioners covering the characteristics and problems of hedge funds.
The Sharpe Ratio
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Author : Steven E. Pav
language : en
Publisher: CRC Press
Release Date : 2021-09-22
The Sharpe Ratio written by Steven E. Pav and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-09-22 with Business & Economics categories.
The Sharpe Ratio: Statistics and Applications is the most widely used metric for comparing the performance of financial assets. The Markowitz portfolio is the portfolio with the highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications examines the statistical properties of the Sharpe ratio and Markowitz portfolio, both under the simplifying assumption of Gaussian returns, and asymptotically. Connections are drawn between the financial measures and classical statistics including Student's t, Hotelling's T^2 and the Hotelling-Lawley trace. The robustness of these statistics to heteroskedasticity, autocorrelation, fat tails and skew of returns are considered. The construction of portfolios to maximize the Sharpe is expanded from the usual static unconditional model to include subspace constraints, hedging out assets, and the use of conditioning information on both expected returns and risk. The Sharpe Ratio: Statistics and Applications is the most comprehensive treatment of the statistical properties of the Sharpe ratio and Markowitz portfolio ever published. Features: 1. Material on single asset problems, market timing, unconditional and conditional portfolio problems, hedged portfolios. 2. Inference via both Frequentist and Bayesian paradigms. 3. A comprehensive treatment of overoptimism and overfitting of trading strategies. 4. Advice on backtesting strategies. 5. Dozens of examples and hundreds of exercises for self study. The Sharpe Ratio: Statistics and Applications is an essential reference for the practicing quant strategist and the researcher alike, and an invaluable textbook for the student.
Great Investment Ideas
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Author : William T Ziemba
language : en
Publisher: World Scientific Publishing Company
Release Date : 2016-09-08
Great Investment Ideas written by William T Ziemba and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-08 with Electronic books categories.
Great Investment Ideas is a collection of articles published in the Journal of Portfolio Management from 1993 to 2015. The book contains useful ideas for investment management and trading and discusses the methods, results and evaluation of great investors. It also covers important topics such as the effect of errors in means, variances and co-variances in portfolio selection problems, stock market crashes and stock market anomalies, portfolio theory and practice, evaluation theory, etc. This book is a must-have publication for investors and financial experts, researchers and graduate students in finance.
The Great Dictionary English Finnish
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Author : Benjamin Maximilian Eisenhauer
language : en
Publisher: Benjamin Maximilian Eisenhauer
Release Date :
The Great Dictionary English Finnish written by Benjamin Maximilian Eisenhauer and has been published by Benjamin Maximilian Eisenhauer this book supported file pdf, txt, epub, kindle and other format this book has been release on with Foreign Language Study categories.
This dictionary contains around 80,000 English terms with their Finnish translations, making it one of the most comprehensive books of its kind. It offers a wide vocabulary from all areas as well as numerous idioms. The terms are translated from English to Finnish. If you need translations from Finnish to English, then the companion volume The Great Dictionary Finnish - English is recommended.
Financial Econometrics Modeling Derivatives Pricing Hedge Funds And Term Structure Models
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Author : G. Gregoriou
language : en
Publisher: Springer
Release Date : 2010-11-30
Financial Econometrics Modeling Derivatives Pricing Hedge Funds And Term Structure Models written by G. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-30 with Business & Economics categories.
This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it considers new models for hedge funds and derivatives of derivatives, and adds to the literature of testing for the efficiency of markets both theoretically and empirically.
Hedge Funds
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Author : Greg N. Gregoriou
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-04
Hedge Funds written by Greg N. Gregoriou and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-04 with Business & Economics categories.
Whether already experienced with hedge funds or just thinking about investing in them, readers need a firm understanding of this unique investment vehicle in order to achieve maximum success. Hedge Funds unites over thirty of the top practitioners and academics in the hedge fund industry to provide readers with the latest findings in this field. Their analysis deals with a variety of topics, from new methods of performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, an understanding and applicability of the results as well as theoretical developments are stressed. Filled with in-depth insight and expert advice, Hedge Funds helps readers make the most of this flexible investment vehicle.
Economic Regulation And Its Reform
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Author : Nancy L. Rose
language : en
Publisher: University of Chicago Press
Release Date : 2014-08-29
Economic Regulation And Its Reform written by Nancy L. Rose and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-29 with Business & Economics categories.
The past thirty years have witnessed a transformation of government economic intervention in broad segments of industry throughout the world. Many industries historically subject to economic price and entry controls have been largely deregulated, including natural gas, trucking, airlines, and commercial banking. However, recent concerns about market power in restructured electricity markets, airline industry instability amid chronic financial stress, and the challenges created by the repeal of the Glass-Steagall Act, which allowed commercial banks to participate in investment banking, have led to calls for renewed market intervention. Economic Regulation and Its Reform collects research by a group of distinguished scholars who explore these and other issues surrounding government economic intervention. Determining the consequences of such intervention requires a careful assessment of the costs and benefits of imperfect regulation. Moreover, government interventions may take a variety of forms, from relatively nonintrusive performance-based regulations to more aggressive antitrust and competition policies and barriers to entry. This volume introduces the key issues surrounding economic regulation, provides an assessment of the economic effects of regulatory reforms over the past three decades, and examines how these insights bear on some of today’s most significant concerns in regulatory policy.
Model Risk In Financial Markets
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Author : Radu Tunaru
language : en
Publisher: World Scientific
Release Date : 2015-06-08
Model Risk In Financial Markets written by Radu Tunaru and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-08 with Business & Economics categories.
The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely to be classified as normal losses due to market evolution. Model Risk in Financial Markets: From Financial Engineering to Risk Management seeks to change the current perspective on model innovation, implementation and validation. This book presents a wide perspective on model risk related to financial markets, running the gamut from financial engineering to risk management, from financial mathematics to financial statistics. It combines theory and practice, both the classical and modern concepts being introduced for financial modelling. Quantitative finance is a relatively new area of research and much has been written on various directions of research and industry applications. In this book the reader gradually learns to develop a critical view on the fundamental theories and new models being proposed. Contents:IntroductionFundamental RelationshipsModel Risk in Interest Rate ModellingArbitrage TheoryDerivatives Pricing Under UncertaintyPortfolio Selection Under UncertaintyProbability Pitfalls of Financial CalculusModel Risk in Risk Measures CalculationsParameter Estimation RiskComputational ProblemsPortfolio Selection Using Sharpe RatioBayesian Calibration for Low Frequency DataMCMC Estimation of Credit Risk MeasuresLast But Not Least. Can We Avoid the Next Big Systemic Financial Crisis?Notations for the Study of MLE for CIR Process Readership: Graduate students, researchers, practitioners, senior managers in financial institutions and hedge-funds, regulators and risk managers, who are keen to understand the pitfalls of financial modelling, and also those who are looking for a career in model validation, product control and risk management functions. Key Features:Some innovative results are presented for the first timeCovers a wide range of models, results and applications in financial markets to demonstrate that model risk is generally spreadKeywords:Model Risk;Risk Management;Financial Engineering;Financial Markets