Scenarios for risk management and global investment strategies

XVIII, 315 S.

graph. Darst.

Includes bibliographical references and index

Preface -- Investment strategies: using the Kelly capital growth criterion -- Take a chance -- The capital growth theory of investment -- Unpopular numbers -- Good and bad properties of the Kelly criterion -- Calculating the optimal Kelly fraction -- Investors: evaluating them, theory -- The great investors, a way to evaluate them -- Managing university endowments -- Investment strategies: hedge funds -- Hedge fund concepts -- The recipe for disaster -- Long term capital management -- The imported crash of October 27 and 28, 1997 -- The Amaranth Fund disaster -- Towards scenarios: country studies -- Letter from Cairo -- Threats, challenges and opportunities of China -- Chinese investment markets -- Springtime in Buenos Aires -- Cyprus -- Iceland's financial vulnerabilities -- Sicily: a bridge too far -- Scenario analysis: the SP approach to managing risk -- Hedge and pension fund risk -- Setting the scenario -- Hedge fund scenario analysis -- Scenario generation and reduction -- Economic fundamentals -- Math approaches to scenarios -- Planning ahead -- The great investors: some useful books -- Bibliography -- Index

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ECONIS - Online Catalogue of the ZBW