全球投资与风险管理的观念与策略Investing and Risk Management Concepts and Strategies Around the World
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作者： Rachel E. S. Ziemba著
出 版 社：
出版时间： 2008-2-1字数：版次： 1页数： 312印刷时间： 2008/02/01开本： 大16开印次： 1纸张： 胶版纸I S B N ： 9780470319246包装： 精装内容简介
This book discusses scenarios for risk management and developing global investment strategies. What are the chances that various future events will occur over time and how should these events and probable occurrence influence investment decisions? Assessing all possible outcomes is fundamental to risk management, financial engineering and investment and hedge fund strategies. A careful consideration of future scenarios will lead to better investment decisions and avoid financial disasters. The book presents tools and case studies around the world for analyzing a wide variety of investment strategies, building scenarios to optimize returns.
目录
Acknowledgements.
Preface.
About the authors.
PART I INVESTMENT STRATEGIES: USING THE KELLY CAPITAL GROWTH CRITERION.
1 Take a chance.
2 The capital growth theory of investment.
3 Betting on unpopular lotto numbers using the Kelly criterion.
4 Good and bad properties of the Kelly criterion.
5 Calculating the optimal Kelly fraction.
6 The great investors, their methods and how we evaluate them: Theory.
7 The Great Investors, a way to evaluate them.
8 The methods and results of managing top US university endowments.
PART II INVESTMENT STRATEGIES: HEDGE FUNDS.
9 Hedge fund concepts and a typical convergence trade: Nikkei put warrant risk arbitrage.
10 The recipe for disaster: How to lose money in derivatives.
11 Hedge Fund Risk, Disasters and Their Prevention: The Failure of Long Term Capital Management.
12 The imported crash of October 27 and 28, 1997.
13 The 2006 Amaranth Advisors natural gas hedge fund disaster.
PART III TOWARDS SCENARIOS: COUNTRY STUDIES.
14 Letter from Cairo.
15 Threats, challenges and opportunities of China.
16 Chinese investment markets: Hedge fund scenario analysis.
17 Springtime in Buenos Aires: prospects for investment, how deep is the recovery?
18 Cyprus: On the outer edge of Europe, in the middle of the Mediterranean.
19 Is Iceland’s growth spurt threatened by financial vulnerabilities?
20 Would a bridge connect Sicily’s economy to Europe’s heart?
21 Hedge and pension fund risk, disasters and their prevention.
22 Setting the scenario.
23 Hedge fund scenario analysis.
24 Some approaches for scenario generation and reduction.
25 Using economic fundamentals to generate scenarios.
26 Some mathematical approaches for scenario generation and reduction.
27 Minimizing the effects of disasters by planning ahead.
Appendix The great investors: some useful books.
Index.
