Scenarios for risk management and global investment strategies
By: Rachel E.S. Ziemba and William T. Ziemba.
Contributors: Ziemba, W. T.
Series: Wiley finance series
Publisher: John Wiley & Sons
Published: 2007
Place of publication: Chichester, England; Hoboken, NJ
Language: eng
Number of pages: 315
ISBN-13: 9780470319246
Subjects: Investments, Foreign.; Risk management.; International finance.; Investment analysis.
Notes: Includes bibliographical references (p. [299]-310) and index.
Table of contents: title: Acknowledgements; title: Preface; title: About the authors; title: Investment strategies: using the Kelly capital growth criterion; title: Take a chance; title: The capital growth theory of investment; title: Betting on unpopular lotto numbers using the Kelly criterion; title: Good and bad properties of the Kelly criterion; title: Calculating the optimal Kelly fraction; title: The great investors, their methods and how we evaluate them: theory; title: The great investors, a way to evaluate them; title: The methods and results of managing top US university endowments; title: Investment strategies: hedge funds; title: Hedge fund concepts and a typical convergence trade: Nikkei put warrant risk arbitrage; title: The recipe for disaster: how to lose money in derivatives; title: Hedge fund risk, disasters and their prevention: the failure of long term capital management; title: The imported crash of October 27 and 28, 1997; title: The 2006 Amaranth Advisors natural gas hedge fund disaster; title: Towards scenarios: country studies; title: Letter from Cairo; title: Threats, challenges and opportunities of China; title: Chinese investment markets: hedge fund scenario analysis; title: Springtime in Buenos Aires: prospects for investment, how deep is the recovery?; title: Cyprus: on the outer edge of Europe, in the middle of the Mediterranean; title: Is Iceland's growth spurt threatened by financial vulnerabilities?; title: Would a bridge connect Sicily's economy to Europe's heart?; title: Scenario analysis: the stochastic programming approach to managing risk; title: Hedge and pension fund risk, disasters and their prevention; title: Setting the scenario; title: Hedge fund scenario analysis; title: Some approaches for scenario generation and reduction; title: Useful economic fundamentals to generate scenarios; title: Some mathematical approaches for scenario generation and reduction; title: Minimizing the effects of disasters by planning ahead; title: Appendix: The great investors: some useful books; title: Bibliography; title: Index.