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Indices, Index Funds And ETFs

Exploring HCI, Nonlinear Risk and Homomorphisms

Authors: Nwogugu, Michael I. C.

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  • Analyses nonlinear risk, human biases and computational biases inherent in indices, ETFs and Index Funds.         
  • Discusses the complex adaptive systems approach and the “ecosystem of the index world”; and implications of indices, ETFs and index funds for asset pricing and Cumulative Prospect Theory.   
  • Critiques the introduction of new index models and ETFs models, and methods or preventing or reducing index-arbitrage and ETF arbitrage.        
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eBook $109.00
price for USA (gross)
  • ISBN 978-1-137-44701-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.99
price for USA
  • ISBN 978-1-137-44700-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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, debt, risk-adjusted, options-based, CDS and commodity indices – and by extension, associated index funds and ETFs. The book characterizes the “Popular-Index Ecosystems,” a phenomenon that provides artificial price-support for financial instruments, and can cause systemic risk, financial instability, earnings management and inflation. The book explains why indices and strategic alliances invalidate Third-Generation Prospect Theory (PT3), related approaches and most theories of Intertemporal Asset Pricing. This book introduces three new decision models, and some new types of indices that are more efficient than existing stock/bond indices. The book explains why the Mean-Variance framework, the Put-Call Parity theorem, ICAPM/CAPM, the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio, and DEA-Based Performance Measures are wrong. Leveraged/inverse ETFs and synthetic ETFs are misleading and inaccurate and non-legislative methods that reduce index arbitrage and ETF arbitrage are introduced.  

About the authors

Michael I. C. Nwogugu is an author, entrepreneur, and consultant who has held senior management and Board-of-Director positions in companies in both the U.S. and Nigeria. Mr. Nwogugu has written three books: Risk in the Global Real Estate Market (Wiley); Illegal File-sharing Networks, Digital Goods Pricing and Decision Analysis (CRC Press); and Anomalies In Net Present Value, Returns And Polynomials And Regret Theory In Decision Making (Palgrave MacMillan). Mr. Nwogugu’s research articles have been cited in top academic journals such as International Journal of Approximate Reasoning; Applied Mathematics & Computation; Journal of Business Research; European Journal of Operational Research; PNAS; Annual Review of Psychology; Neural Computing & Applications; Mathematical Methods of Operations Research; Computers & Industrial Engineering; and Expert Systems With Applications among others. Mr. Nwogugu earned degrees from the University of Nigeria; CUNY, New York, USA; and Columbia University, New York, USA.

Table of contents (13 chapters)

Table of contents (13 chapters)
  • Introduction

    Nwogugu, Michael I. C.

    Pages 1-40

  • 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

    Nwogugu, Michael I. C.

    Pages 41-109

  • A Critique of Credit Default Swaps (CDS) Indices

    Nwogugu, Michael I. C.

    Pages 111-137

  • Invariants and Homomorphisms Implicit in, and the Invalidity of the Mean-Variance Framework and Other Causality Approaches: Some Structural Effects

    Nwogugu, Michael I. C.

    Pages 139-175

  • 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

    Nwogugu, Michael I. C.

    Pages 177-232

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-1-137-44701-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.99
price for USA
  • ISBN 978-1-137-44700-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Indices, Index Funds And ETFs
Book Subtitle
Exploring HCI, Nonlinear Risk and Homomorphisms
Authors
Copyright
2018
Publisher
Palgrave Macmillan UK
Copyright Holder
The Editor(s) (if applicable) and The Author(s)
eBook ISBN
978-1-137-44701-2
DOI
10.1057/978-1-137-44701-2
Hardcover ISBN
978-1-137-44700-5
Edition Number
1
Number of Pages
XXII, 696
Number of Illustrations
21 b/w illustrations
Topics