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eISBN : 9780470293201

Sommaire : Contents

Contributeurs : Mark J. P. Anson, Joshua D. Woodard, Zeno Adams, Viola Markert, Heinz Zimmermann, Dr. Fritz Helmedag, Christian Hoppe, Claude Erb, Campbell R. Harvey, Christian Kempe, Reinhold Hafner, Maria Heiden, Bernd Scherer, Li He, Thomas Schneeweis, Raj Gupta, Jason Remillard, Jeffrey M. Christian, Moazzam Khoja, Ted Kury, Chakriya Bowman, Aasim M. Husain, François-Serge Lhabitant, Hilary Till, Joseph Eagleeye, Markus Mezger, Juliane Proelss, Denis Schweizer, R. McFall Lamm, Jr., Mark S. Shore, Theo E. Nijman, Laurens A. P. Swinkels, Lynne Engelke, Jack C. Yuen, Carol Alexander, Aanand Venkatramanan, Dr. Matthias Muck, Markus Rudolf, Paul U. Ali, Martin Eling, Greg N. Gregoriou, Fabrice Douglas Rouah, Oliver Engelen, Roland Eller, Christian Sagerer, Charlie X. Cai, Iain Clacher, Robert Faff, David Hillier, Thomas Heidorn, Nadeshda Demidova-Menzel, Jeffrey M. Christian, Michael Killick, Stefan Ulreich, Chris Harris, Stefan Ulreich, Ronald C. Spurga, Rohit Savant, Cheol-Ho Park, Scott H. Irwin

Part 1. Mechanics of the Commodity Market.
1. A Primer on Commodity Investing
2. The Pricing and Economics of Commodity Futures
3. Commodity Futures Investments : A Review of Strategic Motivations and Tactical Opportunities
4. Macroeconomic Determinants of Commodity Futures Returns
5. The Relationship Between Risk Premium and Convenience Yield Models
6. The Optimal Rotation Period of Renewable Resources : Theoretical Evidence from the Timber Sector

Part 2. Performance Measurement.
7. Review of Commodity Futures Performance Benchmarks
8. Performance Characteristics of Commodity Futures
9. Statistical Analysis of Commodity Futures Returns
10. The Diversification Benefits of Commodity Futures Indexes : A Mean-Variance Spanning Test
11.CTA/Managed Futures Strategy Benchmarks : Performance and Review

Part 3. Risk Management.
12. Some Thoughts on Risk Management for Commodity Portfolios
13. Effective Risk Management Strategies for Commodity Portfolios
14. Quantifying Cross-Commodity Risk in Portfolios of Futures Contracts
15. Incorporating Futures in Commodity Price Forecasts

Part 4. Asset Allocation.
16. Commodity Trading Strategies: Examples of Trading Rules and Signals from the CTA Sector
17. How to Design a Commodity Futures Trading Program
18. Sources of Alpha in Commodity Investing
19. Efficient Frontier of Commodity Portfolios
20. Active Management of Commodity Investments: The Role of CTAs and Hedge Funds
21. Introducing Alternative Investments in a Traditional Portfolio : The Case of Commodities, Hedge Funds, and Managed Futures
22. Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

Part 5. Commodity Products.
23. Types of Commodity Investments
24. Commodity Options
25. The Pricing of Electricity Forwards
26. Securitization of Commodity Price Risk
27. Commodity Trading Advisors : A Review of Historical Performance
28. Catching Future Stars Among Micro-CTAs
29. A Primer on Energy Hedge Funds

Part 6. Special Classes.
30. An Overview of Commodity Sectors
31. A Practical Guide to Gold as an Investment Asset
32. The Effect of Gold in a Traditional Portfolio
33. Fundamental Analysis of the World Silver Market
34. Investing in Base Metals
35. Electricity Trading in the European Union
36. The Natural Gas Market in the United Kingdom
37. Emissions Trading in the European Union
38. The Fundamentals of Agricultural and Livestock Commodities
39. Fundamental Analysis of the World Sugar Market

Part 7. Technical Analysis.
40. The Profitability of Technical Analysis in Commodity Markets

Langue : Anglais

Sous collection : THE FRANK J. FABOZZI SERIES

Lieu d'édition : TORONTO

Illustration(s) : Graphique(s) ; Schémas

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque