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Understanding investment funds : insights from performance and risk analysis
Title
Understanding investment funds : insights from performance and risk analysis / edited by Virginie Terraza, Hery Razafitombo.
ISBN
9781137273611
1137273615
1299642926
9781299642928
9781137273604
1137273607
Published
Basingstoke : Palgrave Macmillan, 2013.
Physical Description
1 online resource
Local Notes
Access is available to the Yale community.
Access and use
Access restricted by licensing agreement.
Summary
In light of recent financial crises, the role of investment funds is a recurring subject for discussion. In the past, crises used to be limited to singular markets or specific asset classes. In today's crises, many different asset classes are affected simultaneously and globally. Given this new context, our traditional methods must be adapted with the overall objective to strengthen the scientific knowledge of investment funds. The aim of this book is to provide new insights, ideas and empirical evidence that will improve tools and methods at our disposal for fund performance analysis. This book proposes a number of topics that are current of interest: two portfolio optimization models with a multi-fractal approach and a dynamic approach using risk aversion signals; an alternative benchmark for mutual funds, a fuzzy approach to estimate performance measures, a symbolic data approach to compare fund rating systems and various risk management aspects of investment funds linked to risk performance indicators.
Variant and related titles
Palgrave Economics & Finance collection 2013.
Other formats
Print version: Understanding investment funds. Basingstoke : Palgrave Macmillan, 2013
Format
Books / Online
Language
English
Added to Catalog
April 19, 2018
Bibliography
Includes bibliographical references and index.
Contents
The Hazard-Adjusted Portfolio: a New Capital Allocation Scheme from an Extreme Risk Management Perspective
Practical Weight Constrained Conditioned Portfolio Optimization using Risk Aversion Indicator Signals
Hedge Fund's Risk Measurement in Presence of Persistence Phenomenon
Fuzzy Risk Adjusted Performance Measures: Application in Finance
The Fund Synthetic Index: an Alternative Benchmark for Mutual Funds
Prediction of Fund Failure through Performance Diagnostics
The Alpha of the Market Timer
Mutual Fund Rating: a Symbolic Data Approach
Do Incentives Incentivize? Hedge Fund Fees Dynamics and their Impact on Performance
The Liability of the UCIT's Depositary.
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