Alternative Investments and Strategies: Credit, Derivatives, CPPI, Investments, Risk
Rüdiger Kiesel, Matthias Scherer, Rudi Zagst
World Scientific, 2010 - Business & Economics - 416 pages
Ch. 1. Socially responsible investments / Sven HroB, Christofer Vogt and Rudi Zagst -- ch. 2. Listed private equity in a portfolio context / Philipp Aigner ... [et al.] -- ch. 3. Alternative real assets in a portfolio context / Wolfgang Mader, Sven Treu and Sebastian Willutzky -- ch. 4. The freight market and its derivatives / Rudiger Kiesel and Patrick Scherer -- ch. 5. On forward price modeling in power markets / Fred Espen Benth -- ch. 6. Pricing certificates under issuer risk / Barbara Gotz, Rudi Zagst and Marcos Escobar -- ch. 7. Asset allocation with credit instruments / Barbara Menzinger, Anna Schlosser and Rudi Zagst -- ch. 8. Cross asset portfolio derivatives / Stephan Hocht, Matthias Scherer and Philip Seegerer -- ch. 9. Dynamic portfolio insurance without options / Dominik Dersch -- ch. 10. How good are portfolio insurance strategies? / Sven Balder and Antje Mahayni -- ch. 11. Portfolio insurances, CPPI and CPDO, truth or illusion? / Elisabeth Joossens and Wim Schoutens -- ch. 12. On the benefits of robust asset allocation for CPPI strategies / Katrin Schottle and Ralf Werner -- ch. 13. Robust asset allocation under model risk / Pauline Barrieu and Sandrine Tobelem -- ch. 14. Semi-static hedging strategies for exotic options / Hansjorg Albrecher and Philipp Mayer -- ch. 15. Discrete-time variance-optimal hedging in affine stochastic volatility models / Jan Kallsen ... [et al.]
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ambiguity aversion approach Asian options asset allocation asset classes asset price assume assumption barrier options BRS approximation certificate computed consider contract copula correlation CPDO CPPI strategy credit derivatives CTSO CVaR debt default defined denotes dependence dynamics efficient frontier equity index estimation example expected return exposure Finance floor forward contracts forward price framework freight function gap risk geometric Brownian motion given global irradiance guarantee hedging strategies implies initial investment horizon investor issuer iTraxx Journal leverage lock-in log-returns maturity multiplier OBPI optimal portfolios optimization problem option prices parameters payoff photovoltaic photovoltaic investments portfolio insurance portfolio value portfolio weights power forward private equity fund rebalancing risk-averse risk-free risky asset risky portfolio robust scenario Sharpe ratio shortfall probability simulation spread standard deviation stochastic stochastic volatility stocks structure swaptions Table target trading transaction costs trigger underlying variables volatility zero bond