Scenarios for Risk Management and Global Investment Strategies [Hardback]by Rachel E. S. Ziemba and William T. Ziemba
Usually ships within 2 to 4 working days Description of Scenarios for Risk Management and Global Investment StrategiesScenarios for risk management and global investment strategiesScenarios for Risk Management and Global Investment Strategies assesses the risks and challenges of modern investing, focusing on the importance of adapting and responding to changing investment climates. This book discusses the probabilities that various future events will occur an how these events and their probable occurrences 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 help to avoid financial disasters. The book includes empirical studies of key markets and sectors and successful and disastrous investment results along with superior optimization strategies of the great investors. The book contains essential material for hedge fund managers, quants and traders, supplying them with the tools to build accurate investment scenarios and optimize returns. Key features include:
"This unique team of father and daughter covers the most important areas of investing in depth. They tell the stories, perform the analyses (with just the right amount of math), and give us the macro and global insights. I can wholeheartedly recommend this fascinating and informative book." "A treasure trove of stimulating and useful ideas about the theory and practice of investing." Title Information
Write a review of this book Customer Reviews from AmazonAbout Rachel E. S. Ziemba and William T. ZiembaRACHEL E.S. ZIEMBA has a BA in History from the University of Chicago and an MPhil in International Relations from St. Antony′s College, Oxford University. She worked for the Canadian International Development Agency in Egypt, and the International Development Research Centre, Ottawa. At Roubini Global Economics, she researches geo–strategic risks to the global economy. She has written and given talks on various issues in global macroeconomy, currency politics and emerging market and geostrategic issues.WILLIAM T. ZIEMBA is the Alumni Professor of Financial Modeling and Stochastic Optimization (Emeritus), University of British Columbia. He is a well–known academic with books, research articles and talks on various investment topics. He has visited MIT, Chicago, Berkeley, UCLA, Cambridge, LSE, Oxford and the Reading ICMA Centre. He trades through William T Ziemba Investment Management Inc. He has consulted for various financial institutions on hedge funds and investments. Contents of Scenarios for Risk Management and Global Investment StrategiesContentsAcknowledgements Preface About the authors PART I INVESTMENT STRATEGIES: USING THE KELLY CAPITAL GROWTH CRITERION 1 Take a chance The colocation of money and math Changing a gamble into an investment 2 The capital growth theory of investment Blackjack Commodity trading: investing in the turn of the year effect with Index Futures 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 Calculating the optimal Kelly fraction 6 The great investors, their methods and how we evaluate them: theory The various efficient/inefficient market camps: can you beat the stock market? How do investors and consultants do in all these cases? The importance of getting the mean right 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 Gamblers as hedge fund managers A typical convergence trade: the Nikkei put warrant market of 1989–90 NSA puts and calls on the Toronto and American stock exchanges, 1989–92 10 The recipe for disaster: How to lose money in derivatives How to lose money in derivatives 11 Hedge Fund Risk, Disasters and Their Prevention: The Failure of Long Term Capital Management The Failure of Long Term Capital Management 12 The imported crash of October 27 and 28, 1997 Postscript 13 The 2006 Amaranth Advisors natural gas hedge fund disaster Background, adapted from Till (2006) The trade and the rogue trader Is learning possible? Possible utility functions of hedge fund traders Winners and losers PART III TOWARDS SCENARIOS: COUNTRY STUDIES 14 Letter from Cairo Some Challenges The Investment Picture Postscript: Is Recent Growth Sustainable? 15 Threats, challenges and opportunities of China Costs of development Overseas investment Postscript References 16 Chinese investment markets: Hedge fund scenario analysis China’s economy The effect of Chinese demand for resources Chinese Stock Markets The Share Alphabet: Definitions of Shares Available in Mainland Chinese Companies Estimating the returns on the Chinese stock markets: IPOs, ownership and returns How can one participate in this China boom period? The Future: Investing in China Requires a Leap of Faith Postscript: Chinese equity markets 17 Springtime in Buenos Aires: prospects for investment, how deep is the recovery? Argentine peso vs. USD Challenges for the financial sector The challenge of promoting long-term value-added production Postscript References 18 Cyprus: On the outer edge of Europe, in the middle of the Mediterranean Postscript 19 Is Iceland’s growth spurt threatened by financial vulnerabilities? Amid the strengths, there are issues of concern The current account deficit Debt Inflation The currency Interest rates Financial (in)stability? Predicting GDP and recessions in Iceland Will the stock market crash and would it influence other markets? The stock market Who owns these equities? Prospects for the Future Postscript 20 Would a bridge connect Sicily’s economy to Europe’s heart?: a look at the challenges and risks of outlying European regions PART IV SCENARIO ANALYSIS: THE STOCHASTIC PROGRAMMING APPROACH TO MANAGING RISK 21 Hedge and pension fund risk, disasters and their prevention Fixed mix and strategic asset allocation Stochastic programming models applied to hedge and pension fund problems InnoALM, The Innovest Austrian Pension Fund Financial Planning Model 22 Setting the scenario 23 Hedge fund scenario analysis The effect of interest rates The 2000–2002 crash in the S&P500 The effect of the 2004 presidential election Postscript 24 Some approaches for scenario generation and reduction Vector autoregressive models 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 Planning in advance: stage one of a two period stochastic program How much hedging is there against various risks? Some key markets: crude oil, the S&P500, short and long term interest rates and bond prices Volatility Future prospects and the 2006 outlook Lessons Appendix The great investors: some useful books William Poundstone Nassim Nicholas Taleb David F. Swensen Bibliography Index |
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