The Performance Of Equity Index Option Strategy Returns During The Financial Crisis
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The Performance Of Equity Index Option Strategy Returns During The Financial Crisis
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Author : Dominik Schulte
language : en
Publisher:
Release Date : 2015
The Performance Of Equity Index Option Strategy Returns During The Financial Crisis written by Dominik Schulte and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Equity index option writing strategies delivered abnormally high returns in the past. This empirical fact is often attributed to the so-called Path Peso argument, which states that put option prices reflect risk premiums for extreme jumps in prices and volatility, which are underrepresented in empirical data. This paper uses option price data collected during the financial crisis as a natural experiment to to examine whether the empirical evidence of abnormally high index option returns persists in periods with adverse outcomes of jump and volatility risk. To this end, this paper uses S&P 500, DAX, and EURO STOXX 50 option price data to analyze returns of a wide array of index option strategies.
Performance Evaluation Of Hedge Funds
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Author : Greg N. Gregoriou
language : en
Publisher: Beard Books
Release Date : 2003
Performance Evaluation Of Hedge Funds written by Greg N. Gregoriou and has been published by Beard Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
Contains incisive articles dealing with quantitative and qualitative analyses of hedge funds.
Asset Management
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Author : Andrew Ang
language : en
Publisher: Oxford University Press, USA
Release Date : 2014
Asset Management written by Andrew Ang and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Business & Economics categories.
Stocks and bonds? Real estate? Hedge funds? Private equity? If you think those are the things to focus on in building an investment portfolio, Andrew Ang has accumulated a body of research that will prove otherwise. In this book, Ang upends the conventional wisdom about asset allocation by showing that what matters aren't asset class labels but the bundles of overlapping risks they represent.
Investing In Hedge Funds
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Author : Turan Bali
language : en
Publisher: Academic Press
Release Date : 2013-06-29
Investing In Hedge Funds written by Turan Bali and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-29 with Business & Economics categories.
This book will present a comprehensive view of the risk characteristics, risk-adjusted performances, and risk exposures of various hedge fund indices. It will distinguish itself from other books and journal articles by focusing solely on hedge fund indices and emphasizing tail risk as a predictor of hedge fund index returns. The three chapters in this short book have not been previously published. Presents new insights about the investability and performance measurement of an investor’s final portfolio Uses most recently developed investable hedge fund indexes to revise previous analyses of indexes Focuses on 14 distinct types of hedge fund indices with daily data from January 1994 to December 2011
The Efficient Market Theory And Evidence
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Author : Andrew Ang
language : en
Publisher: Now Publishers Inc
Release Date : 2011
The Efficient Market Theory And Evidence written by Andrew Ang and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
The Fundamental Principles Of Financial Regulation
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Author : Charles Albert Eric Goodhart
language : en
Publisher: Geneva Reports on the World Ec
Release Date : 2009
The Fundamental Principles Of Financial Regulation written by Charles Albert Eric Goodhart and has been published by Geneva Reports on the World Ec this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Business & Economics categories.
Analytical background -- Nature of systemic risk -- Who should be regulated (by whom) -- Counter-cyclical regulation -- Regulation of liquidity and maturity mismatches -- Other regulatory issues -- The structure of regulation -- Conclusions -- Appendix : the boundary problem in financial regulation -- Discussion and roundtables.
The Fundamentals Of Municipal Bonds
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Author : SIFMA
language : en
Publisher: John Wiley & Sons
Release Date : 2011-10-25
The Fundamentals Of Municipal Bonds written by SIFMA 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 2011-10-25 with Business & Economics categories.
The definitive new edition of the most trusted book on municipal bonds As of the end of 1998, municipal bonds, issued by state or local governments to finance public works programs, such as the building of schools, streets, and electrical grids, totaled almost $1.5 trillion in outstanding debt, a number that has only increased over time. The market for these bonds is comprised of many types of professionals—investment bankers, underwriters, traders, analysts, attorneys, rating agencies, brokers, and regulators—who are paid interest and principal according to a fixed schedule. Intended for investment professionals interested in how US municipal bonds work, The Fundamentals of Municipal Bonds, Sixth Edition explains the bond contract and recent changes in this market, providing investors with the information and tools they need to make bonds reliable parts of their portfolios. The market is very different from when the fifth edition was published more than ten years ago, and this revision reasserts Fundamentals of Municipal Bonds as the preeminent text in the field Explores the basics of municipal securities, including the issuers, the primary market, and the secondary market Key areas, such as investing in bonds, credit analysis, interest rates, and regulatory and disclosure requirements, are covered in detail This revised edition includes appendixes, a glossary, and a list of financial products related to applying the fundamentals of municipal bonds An official book of the Securities Industry and Financial Markets Association (SIFMA) With today's financial market in recovery and still highly volatile, investors are looking for a safe and steady way to grow their money without having to invest in stocks. The bond market has always been a safe haven, although confusing new bonds and bond funds make it increasingly difficult for unfamiliar investors to decide on the most suitable fixed income investments.
International Capital Flows
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Author : Martin Feldstein
language : en
Publisher: University of Chicago Press
Release Date : 2007-12-01
International Capital Flows written by Martin Feldstein 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 2007-12-01 with Business & Economics categories.
Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Do Investors Benefit From The Use Of Options And Complexity Of Derivative Strategy Of A Hedge Fund
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Author : Jarkko Peltomäki
language : en
Publisher: University of Vaasa
Release Date : 2009
Do Investors Benefit From The Use Of Options And Complexity Of Derivative Strategy Of A Hedge Fund written by Jarkko Peltomäki and has been published by University of Vaasa this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Derivative securities categories.
Hyötyvätkö hedgerahasijoittajat rahaston optioiden ja monimutkaisten johdannaisstrategioiden käytöstä?
Reconsidering Funds Of Hedge Funds
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Author : Greg N. Gregoriou
language : en
Publisher: Academic Press
Release Date : 2012-12-31
Reconsidering Funds Of Hedge Funds written by Greg N. Gregoriou and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-31 with Business & Economics categories.
How will the funds of hedge funds (FoHF) business have to change to survive in the wake of the 2008-2012 financial crisis? This new research provides valuable insight. Reconsidering Funds of Hedge Funds presents the first comprehensive views of UCITS as well as recent trends in due diligence, risk management, and hedge fund deaths and survivors. The book contains original chapters by 22 academics and 16 hedge fund professionals, and includes two sections on performance: one that looks at UCITS FoHF and one that deals with traditional FoHF performance. Most chapters examine aspects of the 2008-2012 financial crisis, and almost every chapter addresses fund of hedge funds' management process before, during, and after the crisis. Covers recent advances in risk management, due diligence, tail risk, and allocation Presents an in-depth analysis of UCITs Balances academic and professional viewpoints