Dynamic Asset Allocation With Forwards And Futures

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Dynamic Asset Allocation with Forwards and Futures

Author : Abraham Lioui
Publisher : Springer Science & Business Media
ISBN 13 : 9780387241074
Total Pages : 290 pages
Book Rating : 4.2/5 (41 download)

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Book Synopsis Dynamic Asset Allocation with Forwards and Futures by : Abraham Lioui

Download or read book Dynamic Asset Allocation with Forwards and Futures written by Abraham Lioui and published by Springer Science & Business Media. This book was released on 2005-03-30 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve over time, what optimal strategies one can expect from the participants, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (majoring in finance with quantitative skills) academics (both theoreticians and empiricists), practitioners, and regulators.

Dynamic Asset Allocation

Author : David A. Hammer
Publisher :
ISBN 13 :
Total Pages : 362 pages
Book Rating : 4.4/5 (91 download)

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Book Synopsis Dynamic Asset Allocation by : David A. Hammer

Download or read book Dynamic Asset Allocation written by David A. Hammer and published by . This book was released on 1991-04-25 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes an examination of traditional asset allocation methods, why they do and do not work, and which elements can be used in overseeing the professional's own portfolio. In addition, the author introduces his own proven method of portfolio management and asset allocation strategies--the ``7-Step System''--using simple statistical techniques to forecast stock, bond, commodity, and money market returns. Free of complex mathematics, charts, graphs, and technical jargon, this is a highly readable guide to getting the most from today's sophisticated investment techniques.

Dynamic Portfolio Theory and Management

Author : Richard E. Oberuc
Publisher : McGraw Hill Professional
ISBN 13 : 9780071426695
Total Pages : 344 pages
Book Rating : 4.4/5 (266 download)

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Book Synopsis Dynamic Portfolio Theory and Management by : Richard E. Oberuc

Download or read book Dynamic Portfolio Theory and Management written by Richard E. Oberuc and published by McGraw Hill Professional. This book was released on 2004 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description

Dynamic Asset Pricing Theory

Author : Darrell Duffie
Publisher : Princeton University Press
ISBN 13 : 1400829208
Total Pages : 488 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie

Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.

Asset Allocation For All Markets

Author : Terry Grennon
Publisher : Terry Grennon
ISBN 13 : 1684895782
Total Pages : 29 pages
Book Rating : 4.6/5 (848 download)

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Book Synopsis Asset Allocation For All Markets by : Terry Grennon

Download or read book Asset Allocation For All Markets written by Terry Grennon and published by Terry Grennon. This book was released on 2021-11-05 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: We know asset allocation theory, and reality is much different in a market meltdown. This book highlights the most critical research tied to investing in up and down market cycles, asset allocation, and investment management over the last 50 years. We start with a critical look at diversification and asset allocation; we provide an in-depth analysis of investing in stocks, we then provide details on two active asset allocation approaches, make a case for index funds, and then introduce you to a management tool which we'll use to manage the asset allocation strategy going forward.

Dynamic Asset Pricing with Non-Redundant Forwards

Author : Abraham Lioui
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Dynamic Asset Pricing with Non-Redundant Forwards by : Abraham Lioui

Download or read book Dynamic Asset Pricing with Non-Redundant Forwards written by Abraham Lioui and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In an incomplete market in which non-redundant forward contracts contribute to span the uncertainty, some standard results of portfolio theory must be amended. When the investment opportunity set is driven by K state variables, a (K+3)-mutual fund separation theorem is obtained in lieu of Merton's (K+2)-fund separation result. The additional fund is a portfolio that hedges the interest rate risk brought about by the optimal portfolio strategy itself. Second, the mean-variance efficiency of the market portfolio of cash assets is neither a necessary nor a sufficient condition for the linear relationship between expected return and beta to hold. Third, the pricing equation for a forward contract is shown to contain an extra term relative to that for a cash asset, term we name strategy risk premium.

Trend Following with Managed Futures

Author : Alex Greyserman
Publisher : John Wiley & Sons
ISBN 13 : 1118890973
Total Pages : 470 pages
Book Rating : 4.1/5 (188 download)

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Book Synopsis Trend Following with Managed Futures by : Alex Greyserman

Download or read book Trend Following with Managed Futures written by Alex Greyserman and published by John Wiley & Sons. This book was released on 2014-08-25 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt: An all-inclusive guide to trend following As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in-depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as: Trend following as an alternative asset class Benchmarking and factor decomposition Applications for trend following in an investment portfolio And many more By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.

Big Picture Investing

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (793 download)

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Book Synopsis Big Picture Investing by :

Download or read book Big Picture Investing written by and published by . This book was released on 2012* with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Capital Market Finance

Author : Patrice Poncet
Publisher : Springer Nature
ISBN 13 : 3030846008
Total Pages : 1385 pages
Book Rating : 4.0/5 (38 download)

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Book Synopsis Capital Market Finance by : Patrice Poncet

Download or read book Capital Market Finance written by Patrice Poncet and published by Springer Nature. This book was released on 2022-11-07 with total page 1385 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a comprehensive and coherent presentation of almost all aspects of Capital Market Finance, providing hands-on knowledge of advanced tools from mathematical finance in a practical setting. Filling the gap between traditional finance textbooks, which tend to avoid advanced mathematical techniques used by professionals, and books in mathematical finance, which are often more focused on mathematical refinements than on practical uses, this book employs advanced mathematical techniques to cover a broad range of key topics in capital markets. In particular, it covers all primitive assets (equities, interest and exchange rates, indices, bank loans), most vanilla and exotic derivatives (swaps, futures, options, hybrids and credit derivatives), portfolio theory and management, and risk assessment and hedging of individual positions as well as portfolios. Throughout, the authors emphasize the methodological aspects and probabilistic foundations of financial asset valuation, risk assessment and measurement. Background in financial mathematics, particularly stochastic calculus, is provided as needed, and over 200 fully worked numerical examples illustrate the theory. Based on the authors' renowned master's degree courses, this book is written for students in business and finance, as well as practitioners in quantitative finance. Apart from an undergraduate-level knowledge of calculus, linear algebra and probability, the book is self-contained with no prior knowledge of market finance required.

Financial Derivatives

Author :
Publisher : PediaPress
ISBN 13 :
Total Pages : 1231 pages
Book Rating : 4./5 ( download)

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Book Synopsis Financial Derivatives by :

Download or read book Financial Derivatives written by and published by PediaPress. This book was released on with total page 1231 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Dynamic Asset Allocation Strategies Based on Unexpected Volatility

Author : Valeriy Zakamulin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Dynamic Asset Allocation Strategies Based on Unexpected Volatility by : Valeriy Zakamulin

Download or read book Dynamic Asset Allocation Strategies Based on Unexpected Volatility written by Valeriy Zakamulin and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we document that at the aggregate stock market level the unexpected volatility is negatively related to expected future returns and positively related to future volatility. We demonstrate how the predictive ability of unexpected volatility can be utilized in dynamic asset allocation strategies that deliver a substantial improvement in risk-adjusted performance as compared to traditional buy-and-hold strategies. In addition, we demonstrate that active strategies based on unexpected volatility outperform the popular active strategy with volatility target mechanism and have the edge over the widely reputed market timing strategy with 10-month simple moving average rule.

Derivatives

Author :
Publisher : PediaPress
ISBN 13 :
Total Pages : 1295 pages
Book Rating : 4./5 ( download)

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Book Synopsis Derivatives by :

Download or read book Derivatives written by and published by PediaPress. This book was released on with total page 1295 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Dynamic Asset Allocation Via Daily Trading

Author : Harry Rostovtsev
Publisher :
ISBN 13 :
Total Pages : 82 pages
Book Rating : 4.:/5 (952 download)

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Book Synopsis Dynamic Asset Allocation Via Daily Trading by : Harry Rostovtsev

Download or read book Dynamic Asset Allocation Via Daily Trading written by Harry Rostovtsev and published by . This book was released on 2009 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:

International Trade

Author :
Publisher : Excel Books India
ISBN 13 : 9350620448
Total Pages : 529 pages
Book Rating : 4.3/5 (56 download)

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Book Synopsis International Trade by :

Download or read book International Trade written by and published by Excel Books India. This book was released on with total page 529 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Commodities

Author : M. A. H. Dempster
Publisher : CRC Press
ISBN 13 : 1498712339
Total Pages : 725 pages
Book Rating : 4.4/5 (987 download)

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Book Synopsis Commodities by : M. A. H. Dempster

Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2015-11-05 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi

Trading and Pricing Financial Derivatives

Author : Patrick Boyle
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 1547401214
Total Pages : 298 pages
Book Rating : 4.5/5 (474 download)

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Book Synopsis Trading and Pricing Financial Derivatives by : Patrick Boyle

Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

Derivatives

Author : Wendy L. Pirie
Publisher : John Wiley & Sons
ISBN 13 : 1119381746
Total Pages : 624 pages
Book Rating : 4.1/5 (193 download)

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Book Synopsis Derivatives by : Wendy L. Pirie

Download or read book Derivatives written by Wendy L. Pirie and published by John Wiley & Sons. This book was released on 2017-03-20 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: The complete guide to derivatives, from the experts at the CFA Derivatives is the definitive guide to derivatives, derivative markets, and the use of options in risk management. Written by the experts at the CFA Institute, this book provides authoritative reference for students and investment professionals seeking a deeper understanding for more comprehensive portfolio management. General discussion of the types of derivatives and their characteristics gives way to detailed examination of each market and its contracts, including forwards, futures, options, and swaps, followed by a look at credit derivatives markets and their instruments. Included lecture slides help bring this book directly into the classroom, while the companion workbook (sold separately) provides problems and solutions that align with the text and allows students to test their understanding while facilitating deeper internalization of the material. Derivatives have become essential to effective financial risk management, and create synthetic exposure to asset classes. This book builds a conceptual framework for understanding derivative fundamentals, with systematic coverage and detailed explanations. Understand the different types of derivatives and their characteristics Delve into the various markets and their associated contracts Examine the use of derivatives in portfolio management Learn why derivatives are increasingly fundamental to risk management The CFA Institute is the world's premier association for investment professionals, and the governing body for the CFA, CIPM, and Investment Foundations Programs. Those seeking a deeper understanding of the markets, mechanisms, and use of derivatives will value the level of expertise CFA lends to the discussion, providing a clear, comprehensive resource for students and professionals alike. Whether used alone or in conjunction with the companion workbook, Derivatives offers a complete course in derivatives and their markets.