Commodity Trading Advisors: Risk, Performance Analysis, and Selection (Wiley Finance)
Language: English
Published by Wiley, 2004
- Hardcover
- Used
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- Title
- Commodity Trading Advisors: Risk, Performance Analysis, and Selection (Wiley Finance)
- Author
- Karavas, Vassilios, Rouah, Fabrice Douglas
- Publisher
- Wiley
- Publication year
- 2004
- Condition
- very good
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0471681946
- ISBN 13
- 9780471681946
Commodity Trading Advisors (CTAs) are an increasingly popular and potentially profitable investment alternative for institutional investors and high–net–worth individuals. Commodity Trading Advisors is one of the first books to study their performance in detail and analyze the "survivorship bias" present in CTA performance data. This book investigates the many benefits and risks associated with CTAs, examining the risk/return characteristics of a number of different strategies deployed by CTAs from a sophisticated investor′s perspective. A contributed work, its editors and contributing authors are among today′s leading voices on the topic of commodity trading advisors and a veritable "Who′s Who" in hedge fund and CTA research.
Greg N. Gregoriou (Plattsburgh, NY) is a Visiting Assistant Professor of Finance and Research Coordinator in the School of Business and Economics at the State University of New York. Vassilios N. Karavas (Amherst, MA) is Director of Research at Schneeweis Partners. Francois–Serge Lhabitant (Coppet, Switzerland) is a FAME Research Fellow, and a Professor of Finance at EDHEC (France) and at HEC University of Lausanne (Switzerland). Fabrice Rouah (Montreal, Quebec) is Institut de Finance Mathématique de Montréal Scholar in the finance program at McGill University.
"Synopsis" may belong to another edition of this title.
About the Author
VASSILIOS N. KARAVAS is currently Director of Research at Schneeweis Partners in Amherst, Massachusetts. His research focus is on alternative optimization techniques, ranging from disequilibrium market models to hedge fund portfolio selection. Vassilios holds a PhD in Operations Research from the University of Massachusetts at Amherst, an MS, and a Diploma in Industrial Engineering from the Technical University of Crete–Chania, Greece. He is also a research associate of the Center for International Securities and Derivatives Markets (CISDM).
FRANÇOIS–SERGE LHABITANT is a Member of Senior Management at Union Bancaire Privée in Geneva, where he heads the quantitative research and risk analysis of the Alternative Asset Management Group. He was previously a director at UBS Global Asset Management in charge of quantitative modeling. He is a FAME Research Fellow, a Research Associate at EDHEC (France), and Professor of Finance at HEC University of Lausanne (Switzerland). He is author of two books on hedge fund investing and emerging markets.
FABRICE ROUAH is an Institut de Finance Mathématique de Montréal (IFM2) Scholar, and a PhD candidate in finance at McGill University in Montreal. He is a former faculty lecturer and consulting statistician in the Department of Mathematics and Statistics at McGill University. He specializes in the statistical and stochastic modeling of hedge funds, managed futures, and CTAs, and is a regular contributor in peer–reviewed academic publications on alternative investments.
"About the title" may belong to another edition of this title.
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