ISBN:
9781137273604
Language:
English
Pages:
XIII, 179 S.
Edition:
Online-Ausg. 2013 Electronic reproduction; Available via World Wide Web
Parallel Title:
Print version Understanding Investment Funds : Insights from Performance and Risk Analysis
Keywords:
Finance
;
Accounting
;
Bookkeeping
;
Business enterprises Finance
;
Banks and banking
;
Investment banking
;
Securities
;
Risk management
;
Economics
;
Management science
Abstract:
In light of recent financial crises, the role of investment funds is a recurring subject for discussion. Traditional methods must be adapted with the objective to strengthen scientific knowledge of investment funds. This book provides new insights, ideas and empirical evidence to improve tools and methods for fund performance analysis
Description / Table of Contents:
""Cover""; ""Title""; ""Copyright""; ""Contents""; ""List of Figures""; ""List of Tables""; ""Acknowledgments""; ""Notes on Contributors""; ""Introduction""; ""Part I New Performance Measure Methodologies""; ""Is There a Link between Past Performance and Fund Failure?""; ""1.1 Introduction""; ""1.2 Data and variable construction""; ""1.2.1 Data""; ""1.2.2 Selection of relevant performance measures""; ""1.3 The link between fund performance and subsequent disappearance""; ""1.3.1 Global results""; ""1.3.2 Specific aspects of predictability""; ""1.4 Conclusion""
Description / Table of Contents:
""The Fund Synthetic Index: An Alternative Benchmark for Mutual Funds""""2.1 Introduction""; ""2.2 Methodology and data""; ""2.2.1 Fund synthetic index construction""; ""2.2.2 Data""; ""2.3 Results""; ""2.3.1 A statistical comparison""; ""2.3.2 Value at Risk analysis""; ""2.3.3 Correlation issues""; ""2.4 Conclusion""; ""Hedge Funds Risk-adjusted Performance Evaluation: A Fuzzy Set Theory-Based Approach""; ""3.1 Introduction""; ""3.2 Theoretical background and definitions""; ""3.3 Possibilistic performance and application""; ""3.3.1 Definitions""; ""3.3.2 Empirical study""
Description / Table of Contents:
""3.4 Concluding remarks""""Part II Advanced Risk Analyses and Modeling""; ""Hedge Funds Risk Measurement in the Presence of Persistence Phenomena""; ""4.1 Introduction""; ""4.2 Value at Risk framework""; ""4.2.1 VaR and financial markets""; ""4.2.2 The benchmark model: RiskMetrics""; ""4.2.3 The ARFIMA-FIAPARCH models""; ""4.3 Model performances""; ""4.3.1 Kupiec's test (1995)""; ""4.3.2 The Manganelli and Engle's test (2004)""; ""4.4 Data and return dynamics analysis""; ""4.4.1 Unit root and stationarity tests""; ""4.4.2 Testing for persistence""
Description / Table of Contents:
""4.5 Double long memory estimation and prevision""""4.5.1 The ARFIMA-FIGARCH/FIAPARCH models""; ""4.5.2 Backtesting tests""; ""4.6 Conclusion""; ""Conditioned Higher-Moment Portfolio: Optimization Using Optimal Control""; ""5.1 Introduction""; ""5.2 Context""; ""5.2.1 The conditioned portfolio problem""; ""5.2.2 Portfolio optimization involving higher moments of returns""; ""5.2.3 Data""; ""5.3 Results""; ""5.3.1 Mean-kurtosis (MK) optimization""; ""5.3.2 Mean-variance-kurtosis (MVK) optimization""; ""5.3.3 Mean-variance-skewness-kurtosis (MVSK) optimization""; ""5.4 Conclusion""
Description / Table of Contents:
""The Hazard-Adjusted Portfolio: A New Capital Allocation Scheme from an Extreme-Risk Management Perspective""""6.1 Introduction""; ""6.2 Inferring univariate and multivariate market stability""; ""6.2.1 Filtering for market stability""; ""6.2.2 Pure bivariate MSM""; ""6.2.3 BiMSM crisis indicators""; ""6.3 Multifractal effects in the fund universe""; ""6.3.1 Univariate multifractal effects""; ""6.3.2 Multivariate multifractal effects""; ""6.3.3 Multifractality between pairs of assets""; ""6.3.4 Dynamics of co-movementsthe structural decomposition of correlations""
Description / Table of Contents:
""6.3.5 Detecting crises based on multifractal dynamics of volatility processes""
Note:
Includes bibliographical references and index
,
Electronic reproduction; Available via World Wide Web
DOI:
10.1057/9781137273611
URN:
10.1057/9781137273611
URL:
Volltext
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