Alternative Investments and Strategies: Credit, Derivatives, CPPI, Investments, Risk
This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, real alternative assets (RAA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.
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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