Over Greg Gregoriou
Greg N. Gregoriou is professor of Finance aan de School of Business and Economics, State University of New York, Plattsburgh.
Greg Gregoriou
Greg N. Gregoriou is professor of Finance aan de School of Business and Economics, State University of New York, Plattsburgh.
Meer over de auteurs
Greg Gregoriou,
Vassilios Karavas,
Francois-Serge Lhabitant
e.a.
Commodity Trading Advisors
Risk, performance analysis, and selection
Gebonden Engels 2004 1e druk 9780471681946
Dit product is niet leverbaar
Samenvatting
In 'Commodity Trading Advisors: Risk, Performance Analysis, and Selection' wordt door de beste experts 'CTA's' geanalyseerd vanuit een kwantitatief en kwalitatief perspectief.
Specificaties
ISBN13:9780471681946
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:424
Uitgever:John Wiley & Sons
Druk:1
Hoofdrubriek:Financieel management
Lezersrecensies
Wees de eerste die een lezersrecensie schrijft!
Inhoudsopgave
Preface.
Acknowledgments.
About the Editors.
About the Authors.
Introduction.
PART ONE: Performance.
CHAPTER 1: Managed Futures and Hedge Funds: A Match Made in Heaven (Harry M. Kat).
CHAPTER 2: Benchmarking the Performance of CTAs (Lionel Martellini and Mathieu Vaissié).
CHAPTER 3: Performance of Managed Futures: Persistence and the Source of Returns (B. Wade Brorsen and John P. Townsend).
CHAPTER 4: CTA Performance, Survivorship Bias, and Dissolution Frequencies (Daniel Capocci).
CHAPTER 5: CTA Performance Evaluation with Data Envelopment Analysis (Gwenevere Darling, Kankana Mukherjee, and Kathryn Wilkens).
CHAPTER 6: The performance of CTAs in Changing Market Conditions (Georges Hübner and Nicolas Papageorgiou).
CHAPTER 7: Simple and Cross-Efficiency of CTAs Using Data Envelopmennt Analysis (Fernando Diz, Greg N. Gregoriou, Fabrice Rouah, and Stephen E. Satchell).
PART TWO: Risk and Managed Futures Investing.
CHAPTER 8: The Effect of Large Hedge Fund and CTA Trading on Futures Market Volatility (Scott H. Irwin and Bryce R. Holt).
CHAPTER 9: Measuring the Long Volatility Strategies of Managed Futures (Mark Anson and Ho Ho).
CHAPTER 10: The Interdependence of Managed Futures Risk Measures (Bhaswar Gupta and Manolis Chatiras).
CHAPTER 11: Managing Downside Risk in Return Distributions Using Hedge Funds, Managed Futures, and Commodity Indices (Mark Anson).
PART THREE: Managed Futures Investing, Fees, and Regulation.
CHAPTER 12 Managed Futures Investing (James Hedges IV).
CHAPTER 13: The Effect of Management and Incentive Fees on the Performance of CTAs: A Note (Fernando Diz).
CHAPTER 14: Managed Futures Funds and Other Fiduciary Products: The Australian Regulatory Model (Paul U. Ali).
PART FOUR: Program Evaluation, Selection, and Returns.
CHAPTER 15: How to Design a Commodity Futures Trading Program (Hilary Till and Joseph Eagleeye).
CHAPTER 16: Choosing the Right CTA: A Contingent Claim Approach (Zsolt Berenyi).
CHAPTER 17: CTAs and Portfolio Diversification: A Study through Time (Nicolas Laporte).
CHAPTER 18: Random Walk Behavior of CTA Returns (Greg N. Gregoriou and Fabrice Rouah).
CHAPTER 19: CTA Strategies for Returns-Enhancing Diversification (David Kuo Chuen Lee, Francis Koh, and Kok Fai Phoon).
CHAPTER 20: Incorporating CTAs into the Asset Allocation Process: A Mean-Modified Value at Risk Framework (Maher Kooli).
CHAPTER 21: ARMA Modeling of CTA Returns (Vassilios N. Karavas and L. Joe Moffitt).
CHAPTER 22: Risk-Adjusted Returns of CTAs: Using the Modified Sharpe Ratio (Robert Christopherson and Greg N. Gregoriou).
CHAPTER 23: Time Diversification: The Case of Managed Futures (François-Serge Lhabitant and Andrew Green).
REFERENCES.
INDEX.
Acknowledgments.
About the Editors.
About the Authors.
Introduction.
PART ONE: Performance.
CHAPTER 1: Managed Futures and Hedge Funds: A Match Made in Heaven (Harry M. Kat).
CHAPTER 2: Benchmarking the Performance of CTAs (Lionel Martellini and Mathieu Vaissié).
CHAPTER 3: Performance of Managed Futures: Persistence and the Source of Returns (B. Wade Brorsen and John P. Townsend).
CHAPTER 4: CTA Performance, Survivorship Bias, and Dissolution Frequencies (Daniel Capocci).
CHAPTER 5: CTA Performance Evaluation with Data Envelopment Analysis (Gwenevere Darling, Kankana Mukherjee, and Kathryn Wilkens).
CHAPTER 6: The performance of CTAs in Changing Market Conditions (Georges Hübner and Nicolas Papageorgiou).
CHAPTER 7: Simple and Cross-Efficiency of CTAs Using Data Envelopmennt Analysis (Fernando Diz, Greg N. Gregoriou, Fabrice Rouah, and Stephen E. Satchell).
PART TWO: Risk and Managed Futures Investing.
CHAPTER 8: The Effect of Large Hedge Fund and CTA Trading on Futures Market Volatility (Scott H. Irwin and Bryce R. Holt).
CHAPTER 9: Measuring the Long Volatility Strategies of Managed Futures (Mark Anson and Ho Ho).
CHAPTER 10: The Interdependence of Managed Futures Risk Measures (Bhaswar Gupta and Manolis Chatiras).
CHAPTER 11: Managing Downside Risk in Return Distributions Using Hedge Funds, Managed Futures, and Commodity Indices (Mark Anson).
PART THREE: Managed Futures Investing, Fees, and Regulation.
CHAPTER 12 Managed Futures Investing (James Hedges IV).
CHAPTER 13: The Effect of Management and Incentive Fees on the Performance of CTAs: A Note (Fernando Diz).
CHAPTER 14: Managed Futures Funds and Other Fiduciary Products: The Australian Regulatory Model (Paul U. Ali).
PART FOUR: Program Evaluation, Selection, and Returns.
CHAPTER 15: How to Design a Commodity Futures Trading Program (Hilary Till and Joseph Eagleeye).
CHAPTER 16: Choosing the Right CTA: A Contingent Claim Approach (Zsolt Berenyi).
CHAPTER 17: CTAs and Portfolio Diversification: A Study through Time (Nicolas Laporte).
CHAPTER 18: Random Walk Behavior of CTA Returns (Greg N. Gregoriou and Fabrice Rouah).
CHAPTER 19: CTA Strategies for Returns-Enhancing Diversification (David Kuo Chuen Lee, Francis Koh, and Kok Fai Phoon).
CHAPTER 20: Incorporating CTAs into the Asset Allocation Process: A Mean-Modified Value at Risk Framework (Maher Kooli).
CHAPTER 21: ARMA Modeling of CTA Returns (Vassilios N. Karavas and L. Joe Moffitt).
CHAPTER 22: Risk-Adjusted Returns of CTAs: Using the Modified Sharpe Ratio (Robert Christopherson and Greg N. Gregoriou).
CHAPTER 23: Time Diversification: The Case of Managed Futures (François-Serge Lhabitant and Andrew Green).
REFERENCES.
INDEX.
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