標(biāo)題: Titlebook: Derivatives and Hedge Funds; Stephen Satchell (Professor of Finance) Book 2016 The Editor(s) (if applicable) and The Author(s) 2016 Deriva [打印本頁(yè)] 作者: sustained 時(shí)間: 2025-3-21 17:04
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作者: 郊外 時(shí)間: 2025-3-21 20:26 作者: 樂章 時(shí)間: 2025-3-22 02:35
The Editor(s) (if applicable) and The Author(s) 2016作者: 鄙視 時(shí)間: 2025-3-22 07:51
Facing Trajectories from School to Workrved portfolios. Early studies focused on equity markets and tried to answer the question: ‘How many stocks make a diversified portfolio?’ Elton and Gruber (1977), Statman (1987), Newbould and Poon (1993), O’Neal (1997) and Statman (2004) all come to different conclusions about the optimal number of作者: 炸壞 時(shí)間: 2025-3-22 11:19 作者: legislate 時(shí)間: 2025-3-22 13:48
Facing Trajectories from School to Work0 billion in 1990 to an estimated $1839 billion by September 2007. Most investors do not invest in individual hedge funds directly, but invest in so-called funds of hedge funds (FoHF) instead. In return for a typically not-insignificant fee, FoHF (claim to) take care of the many unavoidable, time-co作者: legislate 時(shí)間: 2025-3-22 20:44 作者: bile648 時(shí)間: 2025-3-22 22:56
Facing Trajectories from School to Work evolved into outstanding fields for practitioners and academic researchers. Value at Risk (VaR) is one of the most important concepts widely used for risk management by banks and financial institutions. Since VaR can be easily computed by capturing risk in only one figure, it has gained increasing 作者: Optimum 時(shí)間: 2025-3-23 02:32
Facing Trajectories from School to Work underlying spot markets is not widely accepted. Some past critics of index futures agree that the introduction of stock index futures increases stock market volatility. Others report no significant volatility effect associated with the introduction of stock index futures. In general, the link betwe作者: 社團(tuán) 時(shí)間: 2025-3-23 08:33
Travel: Here, There, Everywherehipping and transportation industry a risk management instrument. FFAs agreements are derivatives contracts traded in an over-the-counter (OTC) market where two parties must agree to do business with each other while accepting credit risk from the other party.. The primary advantage of an OTC market作者: 埋伏 時(shí)間: 2025-3-23 10:33 作者: 變化 時(shí)間: 2025-3-23 15:34 作者: abolish 時(shí)間: 2025-3-23 20:23 作者: interference 時(shí)間: 2025-3-24 00:55
Lorenzo Bardelli,Paola Valbonesindeed true when it comes to hedge fund investments. The issue of hedge fund age and size, and its potential impact on performance has been a topic of frequent debate over the past five years. Certainly, hedge funds—large and small, or new and old—have experienced their fair share of both positive an作者: 愛管閑事 時(shí)間: 2025-3-24 04:07 作者: 引水渠 時(shí)間: 2025-3-24 09:38 作者: Endearing 時(shí)間: 2025-3-24 13:00 作者: 諄諄教誨 時(shí)間: 2025-3-24 16:02 作者: Hyperlipidemia 時(shí)間: 2025-3-24 21:22 作者: Lipoma 時(shí)間: 2025-3-25 02:14 作者: OGLE 時(shí)間: 2025-3-25 06:33 作者: 殺死 時(shí)間: 2025-3-25 11:20 作者: 射手座 時(shí)間: 2025-3-25 12:25
Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approachtime, it is still unclear how FoHF should optimally allocate capital across various hedge fund strategies.. In this paper, we show how a simple allocation technique based on polynomial goal programming (PGP) is particularly well-suited to dealing with the complex return distributions of hedge funds and their practical institutional constraints.作者: municipality 時(shí)間: 2025-3-25 18:46
Crude Oil Futures Markets: Another Look into Traders’ Positionsand Irwin, 2011; Stoll and Whaley, 2011; Tokic, 2011). These studies usually test for the relationships between the traders’ positions and the price/volatility of the underlying commodity futures contracts.作者: nepotism 時(shí)間: 2025-3-25 20:56
Value at Risk, GARCH Modelling and the Forecasting of Hedge Fund Return Volatility risk management by banks and financial institutions. Since VaR can be easily computed by capturing risk in only one figure, it has gained increasing popularity in the past. Although there are several forms of financial risk, we focus on market risk in this paper, that is, the unexpected changes in stock returns.作者: Antecedent 時(shí)間: 2025-3-26 00:33
Travel: Here, There, Everywhere is that the terms and conditions are tailored to the specific needs of the two parties. Since this market is a private market in which the general public does not know that the transaction was done, it does not normally require initial, maintenance and variation margins, which are common in the futures organised exchanges..作者: Pigeon 時(shí)間: 2025-3-26 04:23
Salvador Bertoméu-Sánchez,Tomás Serebriskyitions when the stock is called out, and benefits from the call premium if the stock is not called out. In the latter instance, income from writing the call mitigates the drag on returns due to stagnancy or decline in the price of a portfolio member.作者: 符合國(guó)情 時(shí)間: 2025-3-26 10:38
Facing the Challenges of Water Governancemore than half in the last decade, thereby exceeding assets managed by hedge funds and accounting for between one-fourth and one-third of all foreign assets held by sovereigns. SWFs have become increasingly important not only within their own countries, but also in the global financial system.作者: 額外的事 時(shí)間: 2025-3-26 15:42 作者: 緩解 時(shí)間: 2025-3-26 20:07
Facing the Challenges of Water Governanceconditional betas and change in net new money flows. Yet, cash holdings are positively correlated with net new money flows. Thus, when cash holdings are high, beta is low, a normal relation. Here, there is an endo-geneity econometric problem that must be dealt with a robust instrumental variable (IV) estimator.作者: heterodox 時(shí)間: 2025-3-26 21:31 作者: Forage飼料 時(shí)間: 2025-3-27 02:07 作者: 考古學(xué) 時(shí)間: 2025-3-27 06:55
Great in Practice, Not in Theory: An Empirical Examination of Covered Call Writingitions when the stock is called out, and benefits from the call premium if the stock is not called out. In the latter instance, income from writing the call mitigates the drag on returns due to stagnancy or decline in the price of a portfolio member.作者: nitroglycerin 時(shí)間: 2025-3-27 13:11 作者: refraction 時(shí)間: 2025-3-27 15:46
Modeling Autocallable Structured Products per cent annual growth rate. In just the first 6 months of 2010 there were more than 2500 autocallable products issued. The aggregate face value of newly issued autocallable structured products follows the same pattern, with a surge in 2007 and continued growth since then.作者: 極微小 時(shí)間: 2025-3-27 20:34
The Beta Puzzle Revisited: A Panel Study of Hedge Fund Returnsconditional betas and change in net new money flows. Yet, cash holdings are positively correlated with net new money flows. Thus, when cash holdings are high, beta is low, a normal relation. Here, there is an endo-geneity econometric problem that must be dealt with a robust instrumental variable (IV) estimator.作者: 頭盔 時(shí)間: 2025-3-28 01:24 作者: Immobilize 時(shí)間: 2025-3-28 03:35 作者: 完成才會(huì)征服 時(shí)間: 2025-3-28 06:25 作者: 和諧 時(shí)間: 2025-3-28 13:56
Examination of Fund Age and Size and Its Impact on Hedge Fund Performanceund. On the other hand, smaller, younger funds like Integral Capital Management have made headlines for both operational and performance woes. This paper will attempt to examine the performance of hedge funds, classified into six size and age subcategories, to determine if any one group has a performance advantage over the others.作者: 殺人 時(shí)間: 2025-3-28 16:02
sis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in thi作者: 向外 時(shí)間: 2025-3-28 21:52
https://doi.org/10.1007/978-3-319-11436-1and Irwin, 2011; Stoll and Whaley, 2011; Tokic, 2011). These studies usually test for the relationships between the traders’ positions and the price/volatility of the underlying commodity futures contracts.作者: 繁榮中國(guó) 時(shí)間: 2025-3-28 22:56 作者: SOB 時(shí)間: 2025-3-29 05:22
Facing Trajectories from School to Workral portfolio theory’, that is, the attempt to ‘rationalize’ the apparent under-diversification of individual investors. In his view, individual investors divide their total wealth into mental buckets according to their investment goals. Equities fall into the top portfolio layer that reflects the i作者: panorama 時(shí)間: 2025-3-29 10:58
Holger Ziegler,Niels Rosendal Jensention, where market forces and participants are left to their own devices and when complex incentive structures encourage greater risk taking in a benign economic environment but entail more adverse economic consequences when stress occurs.作者: 天氣 時(shí)間: 2025-3-29 12:35
Facing Trajectories from School to Worke first theory supports the argument that futures trading destabilises the underlying spot market by increasing its volatility. In practice, volatility increases through speculation or arbitrage strategies. Then, an increase in interest rates and the cost of capital, leading to a reduction in the va作者: Lucubrate 時(shí)間: 2025-3-29 16:19
Travel: Here, There, Everywherethis old issue. The different views on this issue can be no better illustrated than by the article published in the ‘Abreast of the Market’ column of the . on the first trading day of the index futures and options. The front page article reported that Michael Schwartz, Chief Options Strategist at Op作者: 咽下 時(shí)間: 2025-3-29 21:09 作者: Defraud 時(shí)間: 2025-3-30 03:41 作者: 鄙視讀作 時(shí)間: 2025-3-30 05:51 作者: 抱負(fù) 時(shí)間: 2025-3-30 08:58 作者: 憲法沒有 時(shí)間: 2025-3-30 14:06 作者: 有組織 時(shí)間: 2025-3-30 18:26
Index Futures Trading, Information and Stock Market Volatility: The Case of Greecee first theory supports the argument that futures trading destabilises the underlying spot market by increasing its volatility. In practice, volatility increases through speculation or arbitrage strategies. Then, an increase in interest rates and the cost of capital, leading to a reduction in the va作者: 靦腆 時(shí)間: 2025-3-30 22:57
Introduction of Futures and Options on a Stock Index and Their Impact on the Trading Volume and Volathis old issue. The different views on this issue can be no better illustrated than by the article published in the ‘Abreast of the Market’ column of the . on the first trading day of the index futures and options. The front page article reported that Michael Schwartz, Chief Options Strategist at Op作者: Restenosis 時(shí)間: 2025-3-31 02:37
The Characteristics and Evolution of Credit Default Swap Tradinge of the market’s rapid growth, CDS have attracted increasing attention in academic research. In recent years, there has also been an increase in CDS index trading, which has provided further depth to the market.作者: nutrition 時(shí)間: 2025-3-31 05:25 作者: 整體 時(shí)間: 2025-3-31 09:31
Hedge Funds and Higher Moment Portfolio Selectionskewness and kurtosis for a given set of investor preferences. This comparison will be presented in the context of both a fund-of-hedge-fund strategy allocation as well as the asset allocation problem of what proportion to allocate to hedge funds in a balanced portfolio.作者: curettage 時(shí)間: 2025-3-31 15:23
Frictional Costs of Diversification: How Many CTAs Make a Diversified Portfolio?rved portfolios. Early studies focused on equity markets and tried to answer the question: ‘How many stocks make a diversified portfolio?’ Elton and Gruber (1977), Statman (1987), Newbould and Poon (1993), O’Neal (1997) and Statman (2004) all come to different conclusions about the optimal number of作者: 漸變 時(shí)間: 2025-3-31 19:48