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Inefficiencies of Portable Alpha Models

2006
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Release : 2006
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Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis Inefficiencies of Portable Alpha Models by : Eric A. Murphy

Download or read book Inefficiencies of Portable Alpha Models written by Eric A. Murphy. This book was released on 2006. Available in PDF, EPUB and Kindle. Book excerpt: This paper dissects the portable alpha strategy, which has recently gained popularity with institutional investors. Using arbitrage-free pricing theory, I show that the use of derivatives to create synthetic exposure in portable alpha models is irrelevant and merely creates unnecessary levels of complexity and inefficiencies. I demonstrate how the portable alpha technique is nothing more than borrowing money and investing in hedge funds or funds of funds. Furthermore, I extend a recent Fama and French model to demonstrate that the practice of separating alpha, and making it portable, creates further inefficiencies when the investor holds a diversified portfolio.

CAIA Level I

2012-04-03 Business & Economics
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Release : 2012-04-03
Genre : Business & Economics
Kind : eBook
Book Rating : 99X/5 ( reviews)

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Book Synopsis CAIA Level I by : CAIA Association

Download or read book CAIA Level I written by CAIA Association. This book was released on 2012-04-03. Available in PDF, EPUB and Kindle. Book excerpt: The official study text for the Level I Chartered Alternative Investment Analyst (CAIA) exam The Chartered Alternative Investment Analyst (CAIA) designation is the financial industry's first and only globally recognized program that prepares professionals to deal with the ever-growing field of alternative investments. The second edition of CAIA Level I: An Introduction to Core Topics in Alternative Investments contains comprehensive insights on the alternative investment issues a potential Level I candidate would need to know about as they prepare for the exam. The information found here will help you build a solid foundation in alternative investment markets—with coverage of everything from the characteristics of various strategies within each alternative asset class to portfolio management concepts central to alternative investments. Uses investment analytics to examine each alternative asset class Examines quantitative techniques used by investment professionals Addresses the unique attributes associated with the alternative investment space Offers an online study guide outlining learning objectives and keywords This book is a must-have resource for anyone contemplating taking the CAIA Level I exam. So if you're ready to take your first step toward the CAIA charter, take the time to understand the insights offered here.

Active Alpha

2011-07-12 Business & Economics
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Release : 2011-07-12
Genre : Business & Economics
Kind : eBook
Book Rating : 149/5 ( reviews)

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Book Synopsis Active Alpha by : Alan H. Dorsey

Download or read book Active Alpha written by Alan H. Dorsey. This book was released on 2011-07-12. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Active Alpha "Active alpha is the quest for every sophisticated investor. This book covers all of the key alpha sources currently mined by active managers, reduces the complexity of the subject, and helps the investor get started in the right direction." -Mark Anson, Chief Executive Officer, Hermes Pensions Management Ltd. "Long-held traditional methods for investing large portfolios are giving way to new processes that are designed to improve productivity and diversification. These changes find their locus in the sometimes overly mysterious world of absolute return strategies. In this book, Alan Dorsey demystifies that new world and provides a guiding pathway into the future of professional portfolio management. This is an important read for any investor who plans to succeed going forward." -Britt Harris, Chief Investment Officer, Teacher Retirement System of Texas "With great lucidity, Alan Dorsey's book, Active Alpha, fills an important void by identifying the relevant institutional features of this complex subject and by providing a unifying analytic framework for understanding and constructing portfolios of alternative assets. For anyone investing in the alternative class, from the new student to the experienced practitioner, Active Alpha is a necessary read. I am recommending it to everyone I know with such an interest, and it is destined to become a much thumbed reference on my shelf." -Steve Ross, Franco Modigliani Professor of Financial Economics, Sloan School, MIT

Positive Alpha Generation

2009-02-18 Business & Economics
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Release : 2009-02-18
Genre : Business & Economics
Kind : eBook
Book Rating : 879/5 ( reviews)

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Book Synopsis Positive Alpha Generation by : Claude Diderich

Download or read book Positive Alpha Generation written by Claude Diderich. This book was released on 2009-02-18. Available in PDF, EPUB and Kindle. Book excerpt: Diderich describes tools and techniques, which can be used to develop quantitative models for actively managing investment products, and focuses on how theoretical models can and should be used in practice. He describes the interaction between different elements of an investment process's value chain in a single and consistent framework. A key focus is placed on illustrating the theory with real world examples. At the end of the book the reader will be capable of designing or enhancing an investment process for an investment or portfolio managers products from start to finish. * Increased pressure to add value through investments makes this a hot topic in the investment world * Combined theoretical and practical approach makes this book appealing to a wide audience of quants and investors * The only book to show how to design and implement quantitative models for gaining positive alpha

Peter L. Bernstein Classics Collection

2012-10-04 Business & Economics
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Release : 2012-10-04
Genre : Business & Economics
Kind : eBook
Book Rating : 566/5 ( reviews)

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Book Synopsis Peter L. Bernstein Classics Collection by : Peter L. Bernstein

Download or read book Peter L. Bernstein Classics Collection written by Peter L. Bernstein. This book was released on 2012-10-04. Available in PDF, EPUB and Kindle. Book excerpt: A classic collection of titles from one of the world's greatest financial writers One of the foremost financial writers of his generation, the late Peter Bernstein had the unique ability to synthesize intellectual history and economics with the theory and practice of investment management. Now, with the Peter L. Bernstein Classics Collection e-bundle, you will be able to enjoy some of the most important and critically acclaimed books by this engaging investment writer—Capital Ideas, Against the Gods, The Power of Gold, and Capital Ideas Evolving. Capital Ideas and Capital Ideas Evolving traces the origins of modern Wall Street, from the pioneering work of early scholars and the development of new theories in risk, valuation, and investment returns, to the actual implementation of these theories in the real world of investment management Against the Gods skillfully explores one of the most profound issues of our time—the role of risk in our society—in a non-technical and accessible style The Power of Gold tells the story of how history's most coveted, celebrated, and inglorious asset has inspired romantic myths, daring explorations, and titanic struggles for money and power Engaging and informative, Peter L. Bernstein Classics Collection puts the insights of one of the greatest financial writers of our time at your fingertips.

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