Beschreibung:
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 "e;Popular-Index Ecosystems,"e; 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.
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.
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: SomeStructural 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.
