May 2011
Intermediate to advanced
366 pages
11h 31m
English
book
Managed Futures for Institutional Investors: Analysis And Portfolio Construction
by Galen Burghardt, Brian Walls
Content preview from Managed Futures for Institutional Investors: Analysis And Portfolio Construction
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JWBT468-c15 JWBT468-Burghardt March 15, 2011 13:28 Printer Name: Courier Westford
334 Portfolio Construction
With this data set, we estimated the means, volatilities, and correlations
of the managers’ returns and used them to simulate return streams from which
we could sample the returns of portfolios comprising 5, 10, and 20 managers.
In this way, we can produce distributions that reflect correlations as well as
managers’ own mean returns. The managers for these portfolios were chosen
at random but then optimally weighted subject to constraints. Under these
constraints, the weight given any one manager could be no more than double ...
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I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.