Table of contents for Scenarios for risk management and global investment strategies / Rachel E. S. Ziemba and William T. Ziemba.


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Contents

Acknowledgements
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



Library of Congress subject headings for this publication:
Investments, Foreign.
Risk management.
International finance.
Investment analysis.