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Great Investment Ideas is a collection of articles published in the Journal of Portfolio Management from 1993 to 2015. The book contains useful ideas for investment management and trading and discusses the methods, results and evaluation of great investors. It also covers important topics such as the effect of errors in means, variances and co-variances in portfolio selection problems, stock market crashes and stock market anomalies, portfolio theory and practice, evaluation theory, etc. This book is a must-have publication for investors and financial experts, researchers and graduate students in finance.
This book discusses many key topics in investment and risk management, the global economic situation and the shift in global investment strategies. It was largely written during the period of 2007-12, one of the most tumultuous times in global financial markets which called into question not only tenets of economic forecasting and also asset allocation and return strategies. It contains studies of how investors lose money in derivative markets, examples of those who did not and how these disasters could have been prevented. The authors draw some conclusions on the impact of the structural shifts currently underway in the global economy as well as how cyclical trends will affect these industries, the globe and key sectors. The authors zoom in on key growth areas, including emerging markets, their interlinkages and financial trends. The book also covers risk arbitrage and mean reversion strategies in financial and sports betting markets, plus incentives, volatility aspects, risk taking and investments strategies used by hedge funds and university endowments. Topics such as stock market crash predictions, asset liability planning models, various players in financial markets and the evaluation of the greatest investors are also discussed. The book presents tools and case studies of real applications for analyzing a wide variety of investment returns and better assessing the risks which many investors have preferred to ignore in the search of returns. Many security market regularities or anomalies are discussed including political party and January effects as is the process of building scenarios and using Kelly and fractional Kelly strategies to optimize returns. Contents:Key Concepts:Arbitrage, Risk Arbitrage and the Favorite-Longshot BiasThe Bond Stock Earnings Yield Differential ModelInvestor CampsHedge Funds, Sovereign Wealth Funds and Other Investment Agglomerations:Average Hedge Funds and Their EvaluationIncentives and Risk Taking in Hedge FundsEvaluating Superior Hedge FundsInvestment in Own-Company StockCutting Through the Hype on Sovereign Wealth FundsA New Age for LiquidityGovernment Owned Pensions: Asset Allocation and Governance IssuesUpdate on Yale's Approach to Endowment InvestingA Risk Arbitrage Convergence Trade: The Nikkei Put Warrant Market of 1989–90Kelly Capital Growth InvestingInnoALM, the Innovest Austrian Pension Fund Financial Planning ModelSeasonal Effects and Other Anomalies:Investing in the January Turn-of-the-Year Effect with Index FuturesThe January BarometerSell-in-May-and-Go-Away and the Effect of the Fed60–40 Pension Fund Mixes and Presidential Party EffectsVolatility, Correlation and Liquidity:Thoughts on the VIX Fear IndexChanging Correlations: Rising VIX and Violent Market MovesCan We Predict Stock Market Crashes?:Stock Market Crashes in 2006–2009: Were We Able to Predict Them?Three Mini Crashes in US and World Equity MarketsWhat Signals Worked and What Did Not, 1980–2009What Signals Worked and What Did Not, 1980–2009, Part IIWhat Signals Worked and What Did Not, 1980–2009, Part IIIHow to Lose Money in Derivatives and Examples of Those Who DidBubbles and Debt:Understanding the Financial Markets in the Subprime Era: The 2007/9 CrisisBubblesChina: Navigating the Olympic RisksTurkey's Juggling Act: Can It Live Up to Potential?Testing Resiliency: Protest and Natural DisastersIt's a Gas, Gas, Gas!Thoughts on the Current Market Environment, Risks and ReturnsWhat's Wrong with The US?Investing Around the WorldInvesting and Arbitrage in NFL Football and Horse Racing:Blunder or Correct Decision? The Belichick Decision to Go for It on 4th DownThe 2010 and 2011 Super Bowls and the Elo Ranking SystemRisk Arbitrage in the NFL 2012 Playoffs and the Super BowlThe One That Got Away: The Hitable $2 Million Pick 6 at the Breeders' CupTwo Super HorsesFarewell to the Queen and to the Princess of US Thoroughbred RacingThe Dr Z Place and Show Racetrack Betting Systems Past and Present Readership: Hedge fund managers, insurance managers, pension fund managers, mutual fund managers and other investment professionals and investors; students and researchers interested in risk management and investment management; investment strategies. Keywords:Hedge Funds;Sovereign Wealth Funds;Investment Agglomerations;Endowment Investing;Stock Market Crashes and Their Prediction;Global Economic Situation;Global Investment Strategies;Kelly and Fractional Kelly Wagering Strategies;Calendar Anomalies;Political Party;Time of Year EffectsKey Features:Contains case studies of great investment successes and blowouts to better assess explicit and implicit risks and mismatches in maturities and investment horizonDiscusses strategies used by the greatest investors to obtain their high returns and how these can be replicatedAnalyzes hedge fund concepts and performance including major fund disastersContains studies of pivotal economies that will shape the globe and investment prospects in years to comeReviews: "The prolific Ziembas have done it again! These days the markets may move like lightning but Rachel and Bill have no trouble keeping up. You don't need to look any further than this book for crucial information, insights and ideas." Paul Wilmott Mathematician and Author "Puzzled by today's markets and what to expect? Rachel and Bill Ziemba explain what has been happening and sharpen your thinking about future scenarios." Edward O Thorp Author of Beat the Dealer and Beat the Market
This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.
This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk' arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month. January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating in the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include some of these as well as presidential election, factor models based on fundamental anomalies and other effects. The ideas have been used successfully by the author in personal and managed accounts and hedge funds. Book jacket.
The aim of this book is to document, on a solid and convincing foundation, two public policy mistakes of the United States Government that have been extremely costly. First, the failure to combine stocks with long-term government bonds in the Social Security Trust Fund, the way other nations do, has resulted not only in an investment shortfall well into the trillions of dollars, but has also reduced US and global economic growth and increased the national debt. Second, by employing the Unified Budget concept beginning in 1970, the US Government has since then understated its financial deficits by more than $4 trillion and in doing so it has shielded the increase in the debt owed to the public by roughly half.This study documents that the notion of Social Security as a minimal safety net is consistent with the views of both Adam Smith and Friedrich Hayek and that private social security accounts are inefficient and subject to moral hazard and huge productivity losses. It also introduces a novel approach to long-term investing suitable for perpetual funds consistent with the empirical phenomena of risk premia and mean reversion, including no asset sales and the use of short-term borrowing on a rollover basis to cover negative net inflows.The study also proposes that payroll taxes be re-labeled Social Security Contributions and that the Social Security System be made independent and professionally managed based on the Federal Reserve System model.
This book discusses scenarios for risk management and developing global investment strategies. What are the chances that various future events will occur over time and how should these events and probable occurrence influence investment decisions? Assessing all possible outcomes is fundamental to risk management, financial engineering and investment and hedge fund strategies. A careful consideration of future scenarios will lead to better investment decisions and avoid financial disasters. The book presents tools and case studies around the world for analyzing a wide variety of investment strategies, building scenarios to optimize returns.
From the individual to the largest organization, everyone today has to make investments in IT. Making a smart investment that will best satisfy all the necessary decision-making criteria requires careful and inclusive analysis. This textbook provides an up-to-date, in-depth understanding of the methodologies available to aid in this complex process of multi-criteria decision-making. It guides readers on the process of technology acquisition — what methods to use to make IT investment decisions, how to choose the technology and justify its selection, and how the decision will impact the organization.Unique to this textbook are both financial investment models and more complex decision-making models from the field of management science so that readers can extend the analysis benefits to enhance and confirm their IT investment choices. The wide range of methodologies featured in the book gives readers the opportunity to customize their best-fit solutions for their unique IT decision situation. This textbook is especially ideal for educators and students involved in programs dealing with technology management, operations management, applied finance, operations research, and industrial engineering.A complimentary copy of the ‘Instructor's Manual and Test Bank’ and the PowerPoint presentations of the text materials are available for all instructors who adopt this book as a course text. Please send your request to [email protected]

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