Rachel E.S.Ziemba – Scenarios for Risk Management & Global Investment Strategies

Acknowledgements.

Preface.

About the authors.

PART I INVESTMENT STRATEGIES: USING THE KELLY CAPITAL GROWTH CRITERION.

1 Take a chance.

The colocation of math and money.

Turning a bet into an investment

2 Capital growth theory for investment.

Blackjack.

Commodity trading – Investing in the Turn of the Year effect with Index Futures

3 Betting on unpopular lotto numbers using Kelly criteria

Four good and four bad properties of Kelly’s criterion.

5 Calculating the optimal Kelly fraction

How to stay above a certain wealth path

6 Great investors: How we assess them. Theory

The various efficient/inefficient market camps: can you beat the stock market?

What do consultants and investors do in these cases?

How important it is to get the right meaning.

7 Great Investors: A way to assess them.

8 How to manage top US university endowments.

HEDGE FUNDS PART II: INVESTMENT STRATEGIES.

9 Hedge fund concepts, and a typical converging trade: Nikkei warrant risk arbitrage.

Gamblers can manage hedge funds.

A typical convergence trade: the Nikkei put warrant market of 1989–90.

NSA puts and calls on the Toronto and American stock exchanges, 1989–92.

10 The recipe for Disaster: How to lose your money in derivatives.

Derivative disasters.

11 Hedge Fund Risk, Disasters and Their Prevention – The Failure of Long Term Capital Management.

The collapse of the most successful hedge fund team.

12 The Imported Crash of October 27/28, 1997.

One week on the wild side.

Postscript.

13 The Amaranth Advisors natural gaz hedge fund disaster in 2006.

Background.

The trade and the rogue traders.

Is learning possible?

Potential utility functions for hedge fund traders

There are winners and losers.

PART III TOWARDS SCENARO: COUNTRY STUDIES.

14 Letter from Cairo

Some challenges: Currency depreciation.

Attracting investment is the challenge

Postscript: The petrodollar boom is back: Is this sustainable growth?

Get it now Rachel E.S.Ziemba – Scenarios for Risk Management & Global Investment Strategies

15 China’s challenges, threats and opportunities

Development costs.

Overseas investments

Postscript.

16 Chinese investment markets: Analysis of hedge fund scenarios

China’s economy.

Chinese demand: for resources.

Chinese stock markets.

The share alphabet: Definitions and shares that are available in mainland Chinese Companies

How to estimate the returns on Chinese stock markets: IPOs and ownership.

How does one get involved in this China booms period?

The future: China investment requires faith.

Postscript: Chinese equity markets.

A postscript about economic growth and development.

17 Springtime in Buenos Aires: prospects for How deep is the recovery from investment?

Devaluation of Argentine peso.

Challenges for Financial sector

Promoting long-term is a challenge-Value for the long term-Production increase

Postscript: The new Kirchner Era.

18 Cyprus: At Europe’s outermost edge, in the middle the Mediterranean.

The US and EU have different policies regarding the use of their currencies.

Cyprus: A model EU student.

Promotion of Trade and Investment Across the Mediterranean, In Whose Interest

Postscript.

19 Is Iceland’s growth spurt threatened by financial vulnerabilities?

There are also some areas of concern, despite the positives.

The current account deficit.

Debt.

Inflation.

The exchange rate and the interest rate

Financial (in)stability?

Predictions of GDP, recessions, stock market.

Will the stock markets crash? How would that affect other markets?

Prospects for The Future.

Postscript.

20 Would a bridge connect Sicily’s economy to Europe’s heart?

Sicily’s Economic Challenges.

Sicily’s ties to the Mediterranean region.

PART IV SCENARIO ANALYSIS – THE STOCHASTIC PROGRAMMING APPROACH to MANAGING RISK

21 Pension fund and hedge risk, disasters, and their prevention.

Fixed mix and strategic asset allocation

Application of stochastic programming models to solve problems in pension and hedge funds

InnoALM – The Innovest Austrian Pension Fund Financial Planning Model.

22 Setting the scene.

Extreme scenarios.

23 Analysis of hedge fund scenarios

The effect of interest rate.

The 2000–2002 crash in the S&P500.

The 2004 Presidential Election:

Postscript.

24 Some approaches for Situation generation and reduction

Vector autoregressive models.

25 How to use economic fundamentals in order to generate scenarios

Modelle to predict absolute and relative asset prices

26 Some mathematical approaches for Situation generation and reduction

Moment matching.

The Wasserstein distance minimization approach.

Plan ahead to minimize the damage caused by disasters.

Planning ahead: Stage 1 of a stochastic two-period program.

How much protection is there for various risks?

The S and crude oil are two of the key markets.&Short-term and long-term interest rates, as well as bond prices, are amp;P500.

Volatility.

Future perspectives and 2006 outlook

Lessons.

Appendix Great investors: Some books that can be used

William Poundstone.

Nassim Nicholas Taleb.

David F. Swensen.

Closing thoughts

Postscript: Renaissance Medallion Fund.

Bibliography.

Index.

Forex Trading – Foreign Exchange Course

Do you want to learn more about Forex trading?

Foreign exchange, or forex, is the conversion of one country’s currency into another.
In a free economy, a country’s currency is valued according to the laws of supply and demand.
In other words, a currency’s value can be pegged to another country’s currency, such as the U.S. dollar, or even to a basket of currencies.
A country’s currency value may also be set by the country’s government.
However, many countries freely float their currencies against other countries, which keeps them constant in fluctuation.