Indices, Index Funds And ETFs Exploring HCI, Nonlinear Risk and Homomorphisms /

• Κύριος συγγραφέας: Nwogugu, Michael I. C. (Συγγραφέας, http://id.loc.gov/vocabulary/relators/aut)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: London : Palgrave Macmillan UK : Imprint: Palgrave Macmillan, 2018.
• Έκδοση: 1st ed. 2018.
• Θέματα: Investment banking.; Securities.; Investments and Securities.

Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than €120 trillion worth of securities, debts and commodities worldwide. This book analyzes the mathematical/statistical biases, misrepresentations, recursiveness, nonlinear risk and homomorphisms inherent in equity...

Πίνακας περιεχομένων:

• 1. Introduction
• 2. Number Theory, "Structural Biases" and Homomorphisms in Traditional Stock/Bond/Commodity Index Calculation Methods in Incomplete Markets with Partially Observable Un-aggregated Preferences, MN-Transferable-Utilities and Regret-Minimization Regimes
• 3. A Critique of Credit Default Swaps (CDS) Indices
• 4. Invariants and Homomorphisms Implicit in, and the Invalidity of the Mean-Variance Framework and Other Causality Approaches: Some Structural Effects
• 5. Decision-Making, Sub-additive Recursive "Matching" Noise and Biases in Risk-Weighted Stock/Bond Commodity Index Calculation Methods in Incomplete Markets with Partially Observable Multi-attribute Preferences
• 6. Informationless Trading and Biases in Performance Measurement: Inefficiency of the Sharpe Ratio, Treynor Ratio, Jensen's Alpha, the Information Ratio and DEA-Based Performance Measures and Related Measures
• 7. Anomalies in Taylor-Series, and Tracking Errors and Homomorphisms in the Returns of Leveraged/Inverse ETFs and Synthetic ETFs/Funds
• 8. Human Computer Interaction, Misrepresentation and Evolutionary Homomorphisms in the VIX and Options-Based Indices in Incomplete Markets with Unaggregated Preferences and NT-Utilities Under a Regret Minimization Regime
• 9. Human-Computer Interaction, Incentive-Conflicts and Methods for Eliminating Index Arbitrage, Index-Related Mutual Fund Arbitrage and ETF Arbitrage
• 10. Some New Index-Calculation Methods and Their Mathematical Properties
• 11. Financial Indices, Joint Ventures and Strategic Alliances Invalidate Cumulative Prospect Theory, Third-Generation Prospect Theory, Related Approaches and Intertemporal Asset Pricing Theory: HCI and Three New Decision Models
• 12. Economic Policy, Complex Adaptive Systems, Human-Computer-Interaction and Managerial Psychology: Popular-Index Ecosystems
• 13. Implications for Decision Theory, Enforcement, Financial Stability and Systemic Risk.