Beschreibung TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets. "TAIL RISKS" originate from the failure of mean reversion and the idealized bell curve of asset returns, which assumes that highly probable outcomes occur near the center of the curve and that unlikely occurrences, good and bad, happen rarely, if at all, at either "tail" of the curve. Ever since the global financial crisis, protecting investments against these severe tail events has become a priority for investors and money managers, but it issomething Vineer Bhansali and his team at PIMCO have been doing for over a decade. In one of the first comprehensive and rigorous books ever written on tail risk hedging, he lays out a systematic approach to protecting portfolios from, and potentially benefiting from, rare yet severe market outcomes.Tail Risk Hedging is built on the author'spractical experience applying macroeconomic forecasting and quantitative modeling techniques across asset markets. Using empirical data and charts, he explains the consequences of diversification failure in tail events andhow to manage portfolios when this happens. He provides an easy-to-use, yet rigorous framework for protecting investment portfolios against tail risk and using tail hedging to play offense.Tail Risk Hedging exploreshow to:Generate profits from volatility and illiquidity during tail-risk events in equity and credit marketsBuy attractively priced tail hedges that add value to a portfolio and quantify basis riskInterpret the psychology of investors in option pricing and portfolio constructionCustomize explicit hedges for retirement investmentsHedge risk factors such as duration risk and inflation riskManaging tail risk is today's most significant development in risk management, and this thorough guide helps you access every aspect of it. With the time-tested and mathematically rigorous strategies described here, including pieces of computer code, you get access to insights to help mitigate portfolio losses in significant downturns, create explosive liquidity while unhedged participants are forced to sell, and create more aggressive yet tail-risk-focused portfolios. The book also gives you a unique, higher level view of how tail risk is related to investing in alternatives, and of derivatives such as zerocost collars and variance swaps. Volatilityand tail risks are here to stay, and so should your clients' wealth when you useTail Risk Hedging for managing portfolios.PRAISE FOR TAIL RISK HEDGING:"Managing, mitigating, and even exploiting the risk of bad times are the most important concerns in investments. Bhansali puts tail risk hedging and tail risk management under a microscope--pricing, implementation, and showing how we can fine-tune our risk exposures, which are all crucial ways in how we can better weather our bad times." -- ANDREW ANG, Ann F. Kaplan Professor of Business at Columbia University"This book is critical and accessible reading for fiduciaries, financial consultants and investors interested in both theoretical foundations and practical considerations for how to frame hedging downside risk in portfolios. It is a tremendous resource for anyoneinvolved in asset allocation today." -- CHRISTOPHER C. GECZY, Ph.D., Academic Director, Wharton Wealth Management Initiative and Adj. Associate Professor of Finance, The Wharton School"Bhansali's book demonstrates how tail risk hedging can work, be concretely implemented, and lead to higher returns so that it is possible to have your cake and eat it too! A must read for the savvy investor." -- DIDIER SORNETTE, Professor on the Chair of Entrepreneurial Risks, ETH Zurich
Download Doc Ā« Tail Risk Hedging: Creating Robust ~ BRAND NEW, Tail Risk Hedging: Creating Robust Portfolios for Volatile Markets, Vineer Bhansali, "Tail Risks" originate from the failure of mean reversion and the idealized bell curve of asset returns, which assumes that highly probable outcomes occur near the center of the curve and that unlikely occurrences, good and bad, happen rarely, if at .
TAIL RISK HEDGING: Creating Robust Portfolios for Volatile ~ TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets Vineer Bhansali "TAIL RISKS" originate from the failure of mean reversion and the idealized bell curve of asset returns, which assumes that highly probable outcomes occur near the center of the curve and that unlikely occurrences, good and bad, happen rarely, if at all, at either "tail" of the curve.
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TAIL RISK HEDGING: Creating Robust Portfolios for Volatile ~ 1 Introduction to Tail Risk and Tail Risk Management No risk-management term has entered the vernacular of investors as rapidly as tail risk management has in the last five years. ā¦ - Selection from TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets [Book]
TAIL RISK HEDGING: Creating Robust Portfolios for Volatile ~ 8 Tail Risk Hedging for Retirement Investments We really only get one chance to save for retirement. An immediate consequence of this observation is that we cannot simply allocate our ā¦ - Selection from TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets [Book]
TAIL RISK HEDGING: Creating Robust Portfolios for Volatile ~ TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets. US: McGraw-Hill, 2013. Add to Favorites; Email to a Friend; Download Citation; TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets . Authors: Vineer Bhansali. Published: December 2013. eISBN: 9780071791762 0071791760 / ISBN: 9780071791755. Open eBook . Book Description Table of Contents Cover; Title Page .
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TAIL RISK HEDGING: Creating Robust Portfolios for Volatile ~ With the time-tested and mathematically rigorous strategies described here, including pieces of computer code, you get access to insights to help mitigate portfolio losses in significant downturns, create explosive liquidity while unhedged participants are forced to sell, and create more aggressive yet tail-risk-focused portfolios. The book also gives you a unique, higher level view of how .
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Corporate Finance - Finance & Investing - Business ~ Investing in Credit Hedge Funds: An In-Depth Guide to Building Your Portfolio and Profiting from the Credit Market Formats: eBook, Print. Putri Pascualy. Published: November 5th 2013 . ISBN: 9780071829038
A Beginner's Guide to Hedging - Investopedia ~ Portfolio managers, individual investors, and corporations use hedging techniques to reduce their exposure to various risks. In financial markets, however, hedging is not as simple as paying an .
Dynamic Hedging: Managing Vanilla and Exotic Options ~ On the technical side, the book explains new and refreshing aspects of options that every risk manager, who never actually traded exotic options, should read to understand the trader's "situation" when it comes to hedge a portfolio. Part II clearly describes the core aspects of plain vanilla options. Chapter 9, on Vega and volatility surface is well written, but could have been more precise on .
Nassim Taleb ā and Universa ā Versus the World ~ Tail-risk hedging, or risk mitigation, as Spitznagel prefers to call it, should raise an investorās wealth. āThat seems obvious. You would think the name of the game is to raise wealth,ā he .
The portfolio currency-hedging decision, by objective and ~ return of a broadly diversified portfolio that is not engaged in market timing or active issue selection. ā¢ Currency has no intrinsic return, but it can add material short-term volatility, thereby introducing performance differences. Any hedge position (on/off/partial) that diverges from local benchmarks and/or preference can introduce investor behavioral risks. We examine the hedging of a .
Tail risk in hedge funds: A unique view from portfolio ~ We regress tail risk of hedge fund firm i in month t on its holdings-based portfolio equity tail risk in month t, controlling for different equity portfolio risk and firm characteristics using the Newey and West (1987) adjustment with 24 lags: (7) T a i l R i s k i, t = Ī± + Ī² 1 E q u i t y T a i l R i s k i, t + Ī² 2 X i, t + É i, t, where TailRisk i, t denotes fund iās tail risk in month .
Top hedge funds database / Eurekahedge ~ The Eurekahedge Greater China Long Short Equities Hedge Fund Index which tracks 55 active Greater China-focused hedge funds utilising equity strategies slumped 14.74% in 2018 as mounting pressure from the escalating trade tension between China and the US weighed on the performance of Chinese equity markets. Volatile trading condition and various political concerns took their toll on Greater .