The role of currency in institutional porfolios
著者
書誌事項
The role of currency in institutional porfolios
Risk Books, c2014
- タイトル別名
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The role of currency in institutional portfolios
大学図書館所蔵 全2件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Includes bibliographical references and index
内容説明・目次
内容説明
The Role of Currency in Institutional Portfolios offers a comprehensive description of currency investing and will re-evaluate the potential role of currencies in institutional portfolios. The empirical evidence suggests that institutional investors are persistently failing to achieve their goal of superior returns or "beating the market". This book focuses on currencies, an overlooked market segment, and investigates the question of how currency investing could be part of the solution of achieving the required investment returns. Chapters include: Alternative Currency Hedging Strategies with Known Covariances: Wei Chen (State Street Associates), Mark Kritzman (Windham Capital Management) and David Turkington (State Street Associates) The Carry Trade - Theory, Strategy and Risk Management: Mike Rosenberg (Bloomberg) The Currency Investing Process: Managing G10 Currencies: Ulf J. Lindahl (A.G. Bisset Associates, LLC) Currency Management Styles: Ten Years Later: James Binny (Lloyds Commercial Bank) The Future of Currency Investing in Institutional Portfolios: Michael Melvin (BlackRock)
目次
Foreword Roger Gray (CIO at Universities Superannuation Scheme) Chapter 1: Introduction Momtchil Pojarliev (Fischer Francis Trees & Watts) and Richard Levich (New York University Stern School of Business) Part 1 - Currency Exposure in Institutional Portfolios Chapter 2: The Currency Conundrum: Regret vs. Optimal Hedging Mark Anson (Acadia Investment Management) Chapter 3: Global Asset Allocation and Optimal USD Hedging Daniel Brehon (Deutsche Bank) Chapter 4: Alternative Currency Hedging Strategies with Known Covariances Wei Chen (State Street Associates), Mark Kritzman (Windham Capital Management) and David Turkington (State Street Associates) Chapter 5: Strategic Asset Allocation and Currency Betas Ross Kasarda and Steven Peterson (Virginia Retirement System) Chapter 6: Separating Currency Returns from Asset Returns in Theory and Practice Conscious Currency and Beyond: Ian Toner (Wurts & Associates) Part 2 - Currency Investment Strategies Chapter 7: Economic Data Surprises and Currency Alpha Alessio de Longis and Eren Tufekci (Oppenheimer Funds) Chapter 8: Is Trend Following in Foreign Exchange Markets Running Out of Fashion? Pierre Lequeux (Independent Consultant) Chapter 9: The Carry Trade - Theory, Strategy and Risk Management Mike Rosenberg (Bloomberg) Chapter 10: Carry Trades in Emerging Markets John Bilson (Illinois Institute of Technology) Chapter 11: Investing in Emerging Market Currencies: A Rewarded Risk Javier Corominas (Record Currency Management) and Jonathan Scott Part 3 - Currency Investment Process Chapter 12: The Currency Investing Process: Managing G10 Currencies Ulf Lindahl (A.G.Bisset) Chapter 13: Systematic Currency Trading Jolie de Miranda (Lynx Asset Management) Chapter 14: A Discretionary Approach for Currency Investing Adnan Akant (Fischer Francis Trees & Watts) Chapter 15: Due Diligence as a Source of Alpha Chris Schelling (Kentucky Retirement Systems) Part 4 - Global Markets and the Future of Currency Investing Chapter 16: Currency Forecasting: Generating Views about Foreign Exchange Stephen Jen (SLJ Macro Partners) Chapter 17: Exchange Rates, Risk Premia, and Inflation Indexed Bond Yields Richard Clarida (Columbia University, NBER, and PIMCO) and Shaowen Luo (Columbia University) Chapter 18: Currency Investing: A Risk Premium Approach Aysu Secmen, Charles Wu and Pierre-Alexandre Noual (Citigroup) Chapter 19: Currency Management Styles: Ten Years Later James Binny (Lloyds Commercial Bank) Chapter 20: The Future of Currency Investing in Institutional Portfolios Michael Melvin (BlackRock)
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