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Alternative Investments and Strategies cover

This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.

Sample Chapter(s)
Chapter 1: Socially Responsible Investments (276 KB)


Contents:
  • Alternative Investments:
    • Socially Responsible Investments (S Hroβ et al.)
    • Listed Private Equity in a Portfolio Context (P Aigner et al.)
    • Alternative Real Assets in a Portfolio Context (W Mader et al.)
    • The Freight Market and Its Derivatives (R Kiesel & P Scherer)
    • On Forward Price Modeling in Power Markets (F E Benth)
    • Pricing Certificates Under Issuer Risk (B Götz et al.)
    • Asset Allocation with Credit Instruments (B Menzinger et al.)
    • Cross Asset Portfolio Derivatives (S Höcht et al.)
  • Alternative Strategies:
    • Dynamic Portfolio Insurance Without Options (D Dersch)
    • How Good are Portfolio Insurance Strategies? (S Balder & A Mahayni)
    • Portfolio Insurances, CPPI and CPDO, Truth or Illusion? (E Joossens & W Schoutens)
    • On the Benefits of Robust Asset Allocation for CPPI Strategies (K Schöttle & R Werner)
    • Robust Asset Allocation Under Model Risk (P Barrieu & S Tobelem)
    • Semi-Static Hedging Strategies for Exotic Options (H Albrecher & P Mayer)
    • Discrete-Time Variance-Optimal Hedging in Affine Stochastic Volatility Models (J Kallsen et al.)

Readership: Advanced undergraduates and graduate students in the fields of finance and mathematical finance. Practitioners of the financial industry involved in portfolio selection and investment decisions.