Commodity Trading Advisors: Risk, Performance Analysis, And Selection - Couverture rigide

Couverture rigide

ISBN 10 : 0471681946 ISBN 13 : 9780471681946

Editeur : John Wiley & Sons Inc, 2004

Synopsis

Authoritative, up--to--date research and analysis that provides a dramatic new understanding of the rewards--and risks--of investing in CTAs Commodity Trading Advisors (CTAs) are an increasingly popular and potentially profitable investment alternative for institutional investors and high--net--worth individuals. Commodity Trading Advisors is one of the first books to study their performance in detail and analyze the "survivorship bias" present in CTA performance data. This book investigates the many benefits and risks associated with CTAs, examining the risk/return characteristics of a number of different strategies deployed by CTAs from a sophisticated investora s perspective. A contributed work, its editors and contributing authors are among todaya s leading voices on the topic of commodity trading advisors and a veritable "Whoa s Who" in hedge fund and CTA research. Greg N. Gregoriou (Plattsburgh, NY) is a Visiting Assistant Professor of Finance and Research Coordinator in the School of Business and Economics at the State University of New York. Vassilios N. Karavas (Amherst, MA) is Director of Research at Schneeweis Partners. Francois--Serge Lhabitant (Coppet, Switzerland) is a FAME Research Fellow, and a Professor of Finance at EDHEC (France) and at HEC University of Lausanne (Switzerland). Fabrice Rouah (Montreal, Quebec) is Institut de Finance Mathematique de Montreal Scholar in the finance program at McGill University.

A propos du livre

À propos de l?auteur

GREG N. GREGORIOU is Assistant Professor of Finance and Faculty Research Coordinator in the School of Business and Economics at the State University of New York (Plattsburgh). He is the hedge fund editor for Derivatives Use, Trading & Regulation, a peer--reviewed publication based in London, and was awarded the prestigious scholarship from the Institut de Finance Mathematique de Montreal for three years. He has authored over twenty professional articles in brokerage and pension fund magazines in Quebec and Canada. He currently provides hedge fund and CTA quantitative and qualitative research for a large Canadian firm and specializes in the construction and monitoring of funds of hedge funds using advanced statistical techniques. VASSILIOS N. KARAVAS is currently Director of Research at Schneeweis Partners in Amherst, Massachusetts. His research focus is on alternative optimization techniques, ranging from disequilibrium market models to hedge fund portfolio selection. Vassilios holds a PhD in Operations Research from the University of Massachusetts at Amherst, an MS, and a Diploma in Industrial Engineering from the Technical University of Crete--Chania, Greece. He is also a research associate of the Center for International Securities and Derivatives Markets (CISDM). FRANAaOIS--SERGE LHABITANT is a Member of Senior Management at Union Bancaire Privee in Geneva, where he heads the quantitative research and risk analysis of the Alternative Asset Management Group. He was previously a director at UBS Global Asset Management in charge of quantitative modeling. He is a FAME Research Fellow, a Research Associate at EDHEC (France), and Professor of Finance at HEC University of Lausanne (Switzerland). He is author of two books on hedge fund investing and emerging markets. FABRICE ROUAH is an Institut de Finance Mathematique de Montreal (IFM2) Scholar, and a PhD candidate in finance at McGill University in Montreal. He is a former faculty lecturer and consulting statistician in the Department of Mathematics and Statistics at McGill University. He specializes in the statistical and stochastic modeling of hedge funds, managed futures, and CTAs, and is a regular contributor in peer--reviewed academic publications on alternative investments.

Détails de l'édition

• Éditeur: John Wiley & Sons Inc
• Date d'édition: 2004
• Langue: anglais
• ISBN 10: 0471681946
• ISBN 13: 9780471681946
• Reliure: Relié
• Nombre de pages: 424
• Éditeur: Gregoriou Greg N., Karavas Vassilios, Lhabitant François-Serge, Rouah Fabrice D.
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible