Greg N. Gregoriou
Autor(a) de Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models
Obras por Greg N. Gregoriou
Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models (2010) 13 exemplares
Funds of Hedge Funds: Performance, Assessment, Diversification, and Statistical Properties (Quantitative Finance) (2006) 9 exemplares
Initial Public Offerings (IPO): An International Perspective of IPOs (Quantitative Finance) (2005) 8 exemplares
Commodity Trading Advisors: Risk, Performance Analysis, and Selection (Wiley Finance) (2004) 8 exemplares
The Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets (McGraw-Hill… (2010) 8 exemplares
The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets… (2010) 7 exemplares
Emerging Markets: Performance, Analysis and Innovation (Chapman & Hall/Crc Finance) (2009) 6 exemplares
Evaluating Hedge Fund and CTA Performance: Data Envelopment Analysis Approach CD-ROM (2005) 6 exemplares
The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio… (2009) 6 exemplares
International Mergers and Acquisitions Activity Since 1990: Recent Research and Quantitative Analysis (Quantitative… (2007) 5 exemplares
Corporate Governance and Regulatory Impact on Mergers and Acquisitions: Research and Analysis on Activity Worldwide… (2007) 5 exemplares
Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models (2010) 4 exemplares
Operational Risk Toward Basel III: Best Practices and Issues in Modeling, Management, and Regulation (2009) 4 exemplares
Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Due… (2013) 3 exemplares
Credit Derivatives Handbook: Global Perspectives, Innovations, and Market Drivers (McGraw-Hill Finance & Investing) (2008) 3 exemplares
Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation (Wiley Finance) (2005) 3 exemplares
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Estatísticas
- Obras
- 34
- Membros
- 181
- Popularidade
- #119,336
- Críticas
- 1
- ISBN
- 82
1) Use several methods for computing Alpha, and optimize based on the ranking. Rankings are more robust than actual estimates.
2) Performance persistence in Hedge Fund of Funds. It exists, but mainly on the volatility/sharpe ratio.
3) Judge manager performance based on the Kat return distribution method. Kat (2005) appears to have a method which replicates higher moment of the distribution, as well as correlation to a broad reference index.