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Sunday September 5, 2010

Optimal Trading Strategies
by Robert Kissell, Morton Glantz

Stock/Investment (click here to view other books in this category)

Optimal Trading Strategies January 0001

Robert Kissell, Morton Glantz

Amacom -

9780814407240

****

Price

11,000.00

$84.62

If you are a financial professional concerned with transaction costs-as a plan sponsor, fund manager, trader, broker, analyst, consultant, sophisticated individual investor, or student-if you are trading programs, portfolios, baskets, or blocksthis book is essential reading. It will introduce you to financial implementation decision-making, show you how to employ quantitative methods to manage trading costs throughout all phases of the investment cycle, and ultimately help to uncover techniques and strategies to reduce costs and increase portfolio returns. The overriding methodology in Optimal Trading Strategies has been developed from the viewpoint of investors. It provides a foundation for evaluating trading-related decisions in the same manner CAPM and APT provide for investment-related decisions and Black-Scholes provides for option pricing. The text is enhanced through extensively developed financial theory, statistical models, and is reinforced with illustrative examples. With scientific rigor, the authors analyze typical problems that arise during the implementation phase of the investment cycle. They present a framework to estimate costs, forecast market impact and timing risk, and develop optimal trading strategies. You will learn how to determine the strategy that meets the goals and objectives of the fund, and achieve best execution. The book provides proven techniques for answering such questions as: " How do I estimate trading costs? " How do I forecast market impact and timing risk? " How do I develop optimal trading strategies? ( ) How do I choose between agency execution and principal bid? " How do I select the most suitable broker/dealer arrangement: traditional broker, ECN, or crossing system? " How do I measure transaction costs? " How do I evaluate performance? " How do I achieve best execution? Specifically, the book presents cutting-edge advancements such as Robert Almgren and Neil Chriss' Efficient Trading Frontier (ETF), which shows the optimal trade-off between trading costs and timing risks, and introduces the concept of a Capital Trade Line (CTL), a means for allocating between agency execution and principal bid transaction. Further, it offers a blueprint for computing the economic fair value (FV) for a principal bid from the investor's viewpoint, and an optimization formulation to solve the trader's dilemma. Naturally, it spells out techniques for incorporating transaction costs directly into investment decisions to improve portfolio returns. By disseminating state-of-the-art implementation methodologies to the professional community, Optimal Trading Strategies will aid you in making more effective flimiicial decisions ROBERT KISSELL is a consultant specializing in quantitative modeling, statistical analysis, and risk management. He advises institutions on appropriate investment strategies, risk evaluation, and transaction cost management. He has developed leading industry trading cost models, intraday risk models, and a global credit risk rating system. Mr. Kissell is a frequent speaker at finance conferences in the U.S. and abroad. MORTON GLANTZ is a member of the finance faculty at the Fordham University Graduate School of Business. He is author of Managing Bank Risk, Scientific Financial Management, and Loan Risk Management. Mr. Glantz is an adviser to governments and businesses