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-bind JWBT468-Burghardt March 15, 2011 5:56 Printer Name: Courier Westford
Index
Note: Page numbers followed by f refer to figures.
Accounts, 69–70
Accredited investors, defined, 70
Allocations, constraints on, 324–325
AlternativeEdge Teamwork Index, 281
AMLs (anti-money laundering regulations),
70
Anecdotes vs. analysis, 152
Approaches, comparison of, 291–296
Arbitrage, 22–23
Assets, 5–6, 17, 332–333
Assumptions, simplification of, 114–115
Autocorrelations
and compound returns, 161–163, 164 f ,
176 f
and daily returns, 131–132, 132 f
distribution of, 157–161, 159–160 f
estimates of, 156–163, 158 f , 161–162 f
and returns, 179–180 f
Backfill ...
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