Table of contents for Scenarios for risk management and global investment strategies / Rachel E. S. Ziemba and William T. Ziemba.
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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
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
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
The Investment Picture
Postscript: Is Recent Growth Sustainable?
15 Threats, challenges and opportunities of China
Costs of development
16 Chinese investment markets: Hedge fund scenario analysis
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
18 Cyprus: On the outer edge of Europe, in the middle of the Mediterranean
19 Is Iceland’s growth spurt threatened by financial vulnerabilities?
Amid the strengths, there are issues of concern
The current account deficit
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
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
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
Future prospects and the 2006 outlook
Appendix The great investors: some useful books
Nassim Nicholas Taleb
David F. Swensen
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