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Buchbeschreibung Zustand: New. Bestandsnummer des Verkäufers ABLIING23Apr0316110173504
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Buchbeschreibung PAP. Zustand: New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Bestandsnummer des Verkäufers L0-9783954890132
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Buchbeschreibung Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In the following study, I am going to present a short survey of the hedge fund industry, its regulation and the existent hedge fund strategies. Statistical arbitrage in particular is explained in further detail, and major performance measurement ratios are presented. In the second part, I am going to introduce a semi-variance model for statistical arbitrage. The model is compared to the standard Garch model, which is often used in daily option trading, derivate pricing and risk management. As investment returns are not equally distributed over time, sources for statistical arbitrage occur. The semi-variance model takes skewness into account and provides higher returns at lower volatility than the Garch model. The concept is aimed to be a synopsis of mean reversion and chart pattern detection. The computer model is generated with respect to Brownian motion and technical analysis and provides significant returns to the investment. While the market efficiency hypothesis states the impossibility of long-term arbitrage opportunities, market anomalies outstand significantly. Connecting both elements creates a profitable trading system. The combination of both approaches delivers a sensible hedge fund concept. The out-of-sample backtest verifies out-performance and implies the need for further research in the area of higher moment CAPM and additional market timing strategies as sources of statistical arbitrage. 56 pp. Englisch. Bestandsnummer des Verkäufers 9783954890132
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Buchbeschreibung Zustand: New. PRINT ON DEMAND Book; New; Fast Shipping from the UK. No. book. Bestandsnummer des Verkäufers ria9783954890132_lsuk
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Buchbeschreibung Paperback. Zustand: New. Bestandsnummer des Verkäufers 6666-IUK-9783954890132
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Buchbeschreibung Taschenbuch. Zustand: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In the following study, I am going to present a short survey of the hedge fund industry, its regulation and the existent hedge fund strategies. Statistical arbitrage in particular is explained in further detail, and major performance measurement ratios are presented. In the second part, I am going to introduce a semi-variance model for statistical arbitrage. The model is compared to the standard Garch model, which is often used in daily option trading, derivate pricing and risk management. As investment returns are not equally distributed over time, sources for statistical arbitrage occur. The semi-variance model takes skewness into account and provides higher returns at lower volatility than the Garch model. The concept is aimed to be a synopsis of mean reversion and chart pattern detection. The computer model is generated with respect to Brownian motion and technical analysis and provides significant returns to the investment. While the market efficiency hypothesis states the impossibility of long-term arbitrage opportunities, market anomalies outstand significantly. Connecting both elements creates a profitable trading system. The combination of both approaches delivers a sensible hedge fund concept. The out-of-sample backtest verifies out-performance and implies the need for further research in the area of higher moment CAPM and additional market timing strategies as sources of statistical arbitrage. Bestandsnummer des Verkäufers 9783954890132
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Buchbeschreibung PAP. Zustand: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Bestandsnummer des Verkäufers L0-9783954890132
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Buchbeschreibung Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. In the following study, I am going to present a short survey of the hedge fund industry, its regulation and the existent hedge fund strategies. Statistical arbitrage in particular is explained in further detail, and major performance measurement ratios are . Bestandsnummer des Verkäufers 5727015
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