Ziemba, Rachel.

Scenarios for risk management and global investment strategies / Rachel E.S. Ziemba and William T. Ziemba. - Chichester, England ; Hoboken, NJ : John Wiley & Sons, c2007. - xviii, 315 p. : ill. ; 26 cm. - Wiley finance series .

Includes bibliographical references (p. [299]-310) and index.

Acknowledgements -- Preface -- About the authors -- Investment strategies: using the Kelly capital growth criterion -- Take a chance -- The capital growth theory of investment -- Betting on unpopular lotto numbers using the Kelly criterion -- Good and bad properties of the Kelly criterion -- Calculating the optimal Kelly fraction -- The great investors, their methods and how we evaluate them: theory -- The great investors, a way to evaluate them -- The methods and results of managing top US university endowments -- Investment strategies: hedge funds -- Hedge fund concepts and a typical convergence trade: Nikkei put warrant risk arbitrage -- The recipe for disaster: how to lose money in derivatives -- Hedge fund risk, disasters and their prevention: the failure of long term capital management -- The imported crash of October 27 and 28, 1997 -- The 2006 Amaranth Advisors natural gas hedge fund disaster -- Towards scenarios: country studies -- Letter from Cairo -- Threats, challenges and opportunities of China -- Chinese investment markets: hedge fund scenario analysis -- Springtime in Buenos Aires: prospects for investment, how deep is the recovery? -- Cyprus: on the outer edge of Europe, in the middle of the Mediterranean -- Is Iceland's growth spurt threatened by financial vulnerabilities? -- Would a bridge connect Sicily's economy to Europe's heart? -- Scenario analysis: the stochastic programming approach to managing risk -- Hedge and pension fund risk, disasters and their prevention -- Setting the scenario -- Hedge fund scenario analysis -- Some approaches for scenario generation and reduction -- Useful economic fundamentals to generate scenarios -- Some mathematical approaches for scenario generation and reduction -- Minimizing the effects of disasters by planning ahead -- Appendix: The great investors: some useful books -- Bibliography -- Index.

9780470319246 (cloth) 0470319240 (cloth)

2007026413


Investments, Foreign.
Risk management.
International finance.
Investment analysis.

HG4538 / .Z57 2007

HG 4538 .Z57 2007

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