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Informationen zum Autor Kenneth L.Grant is Cheyne?s Global Risk Manager, and is the Managing Member for Cheyne Capital, LLC, the firm?s U.S. arm. Mr. Grant is a pioneer in the field of hedge fund risk management and capital allocation. Before joining Cheyne, he created risk control programs at two of the world?s leading hedge funds, Tudor Investments and SAC Capital, where he was eventually promoted to the title of Chief Investment Strategist. Earlier in his career, Mr. Grant led risk management efforts for the Chicago Mercantile Exchange and Société Générale. He is also a member of the Board of Directors of the Managed Futures Association (MFA), and is a founding member of MFA?s Hedge Fund Advisory Committee?the industry?s leading trade relations organization. He is a principal author of MFA?s Sound Practices for Hedge Fund Managers (2000). Mr. Grant holds a Bachelor of Science in Economics and Mathematics from the University of Wisconsin, an MA in Economics from Columbia University, and an MBA from the University of Chicago Graduate School of Business. Klappentext A revolutionary system for fearless trading without excessive risk "Trading Risk provides a useful and intuitive roadmap of the risk management process, as written by an individual with unique experience and insight into this topic. It is an engaging read and covers complex subject matter in a straightforward and often-entertaining manner." - Stanley Shopkorn, Shopkorn Associates "Ken Grant's eminently readable new book on risk management is a rare blend of theory and practical applications. It is a great starting point for the novice and deep enough for the experienced practitioner." - Mark R. Graham, Managing Partner, Blue Elite Fund, Ltd. "This book describes a very practical approach to risk management in a lucid and entertaining manner. Anyone concerned with the topic of risk management ought to find it of interest." - Susan Estes, Managing Director, Countrywide Securities "Thoughtful, unique, detailed, actually enjoyable, and comprehensible reading for what is normally a boring and confusing topic." - Dwight Anderson, President, Osprei Management, LP "A must-read for risk managers of companies of all sizes who want to preserve capital and take practical advantage of trends in the marketplace. This is a clearly written, funny, and entertaining guide to a very serious topic that affects all corporations. This very complex topic was simplified and made easy to understand by a true expert in the art of risk management." - Phupinder Gill, Managing Director & President Chicago Mercantile Exchange Zusammenfassung Revolutionary techniques that traders can implement to improve profits and avoid losses No trader! professional or individual! can afford not to have a solid risk management program integrated into his or her trading system. But finding a precise mathematical model to replace subjective decision--making processes is a challenge. Inhaltsverzeichnis Preface ix Acknowledgments xiv Chapter 1 The Risk Management Investment 1 Chapter 2 Setting Performance Objectives 19 Optimal Target Return 21 Nominal Target Return 24 Stop-Out Level 26 The Beach 32 Chapter 3 Understanding the Profit/Loss Patterns over Time 37 And Now to Statistics, but First a Word (or More) about Time Series Construction 39 Time Units 40 Time Spans 43 Graphical Representation of Daily P/L 48 Histogram of P/L Observations 51 Statistics 53 A Tribute to Sir Isaac Newton 53 Average P/L 56 Standard Deviation 57 Sharpe Ratio 65 Median P/L 68 Percentage of Winning Days 68 Performance Ratio, Average P/L, Winning Days versus Losing Days 69 Drawdown 70 Correlations 73 Putting It All Together 79 ...
