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Table Of Contents

1. INTRODUCTION
1.1. OBJECTIVE
1.2. METHODOLOGY
1.3. CONCLUSIONS
1.4. OUTLINE
2. BEHAVIOURAL FINANCE AS A NEW APPROACH TO FINANCIAL MARKETS
2.1. OVERVIEW OF BEHAVIOURAL FINANCE
2.1.1.MARKET EFFICIENCY AND LIMITS TO ARBITRAGE
2.1.2.PSYCHOLOGY
2.2. BEHAVIOURAL APPROACH TO SOME FINANCIAL PHENOMENA
2.2.1.AGGREGATE STOCK MARKET
2.2.2.CROSS-SECTION OF AVERAGE RETURNS
2.3. BEHAVIOURAL TRADING STRATEGIES
2.3.1.MOMENTUM TRADING STRATEGIES
2.3.2.CONTRARIAN TRADING STRATEGIES
2.3.3.INTERPLAY BETWEEN MOMENTUM AND CONTRARIAN STRATEGIES
2.4. PERSPECTIVES IN BEHAVIOURAL FINANCE
3.1.1.THE HEDGE FUND INDUSTRY OVERVIEW
Table 3.2. Hedge Fund’s Strengths And Weaknesses
3.1.2.HEDGE FUND STRATEGIES
3.1.3.THE LEGAL ENVIRONMENT OF HEDGE FUNDS
3.1.4.HEDGE FUNDS IN EUROPE
3.2. STATISTICAL ARBITRAGE
3.2.1.OVERVIEW
3.2.2.STATISTICAL ARBITRAGE TRADING STRATEGIES
4.2.2.OUR APPROACH TO IMPLEMENTATION OF THE STRATEGY
4.3. PORTFOLIO SIMULATION
Table 4.8. Performance Of The Variance Minimization Model On German Market
4.3.2.COVARIANCE MINIMIZATION UNDER INVESTMENT CONSTRAINTS
Table 4.12. Performance Of The Covariance Minimization Model On German Market
4.3.3.OPTIMISATION WITH ZERO-BETA
Table 4.13. Performance Of The Zero-Beta Minimization Models On Swiss Market
Table 4.14. Performance Of The Zero-Beta Minimization Models On French Market
Table 4.15. Performance Of The Zero-Beta Minimization Models On German Market
4.3.4.COMPARISON WITH THE PRICE MOMENTUM (NAÏVE) STRATEGY
5. CONCLUSIONS
6. REFERENCES
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Behavioral Statistical

Behavioral Statistical

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Published by: snsengine on Sep 01, 2010
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10/30/2011

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