Xem 1-5 trên 5 kết quả Equity market neutral
  • Most investors, when they hear the term “market neutral,” think of strategies that simultaneously go long and short equities in order to eliminate stock market risk. True enough. But Market Neutral Strategies goes beyond equities to provide a comprehensive review of the full range of these strategies.

    pdf303p conrepcon 12-04-2012 62 21   Download

  • .Praise for Hedge Fund of Funds Investing: An Investor’s Guide by Joseph G. Nicholas “Hedge funds of funds are at the leading edge of the broad move into hedge investing by the mainstream of private wealth management.

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  • CHAPTER 9 The Time Is Now for Equity Market Neutral. As is the case with convertible arbitrage and fixed-income hedge fund investing, equity market neutral is characterized as a relative value strategy. However, it is not pure arbitrage; this strategy generally trades on the differences in value across a wider range of less closely related securities

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  • By means of econometric methods, the information contained in options prices can be extracted. In the literature, two methods are most frequently chosen, namely the implied volatility and the risk-neutral density. The latter approach extends the frequently used concept of the volatility implicit in option prices to modelling the probabilities that market participants assign to all possible price levels of the underlying instrument. The entire RND offers a wider information set as it includes the third (skewness) and the fourth (kurtosis) moment of a distribution.

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  • Regarding these two issues, we obtain the following results. First, we report strong negative skewness in the risk-neutral density, which indicates that the probability of a large decrease in stock prices exceeds the probability of a large increase. In the literature on US equity derivatives, this finding has been termed “crashophobia”. Our second result is that the implied volatility of the US stock market has the strongest effect on changes in the DAX RNDs.

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