This book relates to strategic asset allocation for institutional investors. It consists of a collection of edited papers from academics worldwide on the latest developments in asset allocation, portfolio management and international investments. These expert studies can improve the risk and return characteristics of your investment portfolio.
This book relates to strategic asset allocation for institutional investors. It consists of a collection of edited papers from academics worldwide on the latest developments in asset allocation, portfolio management and international investments. These expert studies can improve the risk and return characteristics of your investment portfolio.
FAITH ABID SLAH BAHLOUL ARINDAM BANDOPADHYAYA Chairman and Associate Professor of Finance at UMASS-Boston, USA A. CHAN BART FRIJNS Senior Lecturer at the School of Business, Auckland University of Technology, New Zealand STEFANO GALLUCCIO Director at the Investment Banking Division of BNP Paribas, London, UK KLAUS HELLWIG Professor of Business Administration, University of Ulm, Germany MARKUS LEIPPOLD Assistant Professor of Finance at the Swiss Banking Institute of the University of Zurich, Switzerland CLAUDIO MARSALA Quantitative Portfolio Manager at Ras Asset Management FELIX MORGER Fourth-year PhD Student at the Swiss Banking Institute of the University of Zurich, Switzerland SUSHMITA NAGARAJAN Senior Associate in the Structured Finance Group, Moody's Investor Service, New York, USA ROGÉR OTTEN Assistant Professor of Finance at Maastricht University, The Netherlands MASSIMILIANO PALLOTTA Member of the Risk Management Team at Ras Asset Management VALERIO POTI Finance Lecturer at Dublin City University, Ireland STEFANO RICCI Member of the Quantitative Portfolio Management Unit at Ras Asset Management ANDREA RONCORONI Assistant Professor in the Finance Department of the ESSEC Business School, Paris, France JAYASINGHE WICKRAMANAYAKE RAFFAELE ZENTI Quantitative Portfolio Manager at Ras Asset Management and Lecturer at the Master in Finance of CORIPE, University of Turin, Italy
Inhaltsangabe
Time Varying Downside Risk: An Application to the Art Market; R. Campbell and R. Kräussl International Stock Portfolios and Optimal Currency Hedging with Regime Switching; M. Leippold and F. Morger The Determinants of Domestic and Foreign Biases: An Empirical Study; F. Abid and S. Bahloul The Critical Line Algorithm for UPM-LPM Parametric General Asset Allocation Problem with Allocation Boundaries and Linear Constraints; D. Cumova, D. Moreno, and D. Nawrocki Currency Crises, Contagion and Portfolio Selection; A. Bandopadhyaya and S. Nagarajan Bond and Stock Market Linkages: The Case of Mexico and Brazil; A. Bandopadhyaya Australian Stock Market: An Empirical Investigation; A. Chan and J. Wickramanayake The Price of Efficiency - so, what do you think about emerging markets?; Z. Berenyi Liquidity and Market Efficiency before and after the Introduction of Electronic Trading at the Sydney Futures Exchange; M. Burgess and J. Wickramanayake How Does Systematic Risk Impact Stocks? A Study on the French Financial Market; H. Gatfaoui Matrix Elliptical Contoured Distributions versus Stable Model: Application to Daily Stock Returns of Eight Stock Markets; T. Bodnar and W. Schmid Modified Sharpe Ratio Applied to Canadian Hedge Funds; G. N. Gregoriou Index
Time Varying Downside Risk: An Application to the Art Market; R. Campbell and R. Kräussl International Stock Portfolios and Optimal Currency Hedging with Regime Switching; M. Leippold and F. Morger The Determinants of Domestic and Foreign Biases: An Empirical Study; F. Abid and S. Bahloul The Critical Line Algorithm for UPM-LPM Parametric General Asset Allocation Problem with Allocation Boundaries and Linear Constraints; D. Cumova, D. Moreno, and D. Nawrocki Currency Crises, Contagion and Portfolio Selection; A. Bandopadhyaya and S. Nagarajan Bond and Stock Market Linkages: The Case of Mexico and Brazil; A. Bandopadhyaya Australian Stock Market: An Empirical Investigation; A. Chan and J. Wickramanayake The Price of Efficiency - so, what do you think about emerging markets?; Z. Berenyi Liquidity and Market Efficiency before and after the Introduction of Electronic Trading at the Sydney Futures Exchange; M. Burgess and J. Wickramanayake How Does Systematic Risk Impact Stocks? A Study on the French Financial Market; H. Gatfaoui Matrix Elliptical Contoured Distributions versus Stable Model: Application to Daily Stock Returns of Eight Stock Markets; T. Bodnar and W. Schmid Modified Sharpe Ratio Applied to Canadian Hedge Funds; G. N. Gregoriou Index
Time Varying Downside Risk: An Application to the Art Market; R. Campbell and R. Kräussl International Stock Portfolios and Optimal Currency Hedging with Regime Switching; M. Leippold and F. Morger The Determinants of Domestic and Foreign Biases: An Empirical Study; F. Abid and S. Bahloul The Critical Line Algorithm for UPM-LPM Parametric General Asset Allocation Problem with Allocation Boundaries and Linear Constraints; D. Cumova, D. Moreno, and D. Nawrocki Currency Crises, Contagion and Portfolio Selection; A. Bandopadhyaya and S. Nagarajan Bond and Stock Market Linkages: The Case of Mexico and Brazil; A. Bandopadhyaya Australian Stock Market: An Empirical Investigation; A. Chan and J. Wickramanayake The Price of Efficiency - so, what do you think about emerging markets?; Z. Berenyi Liquidity and Market Efficiency before and after the Introduction of Electronic Trading at the Sydney Futures Exchange; M. Burgess and J. Wickramanayake How Does Systematic Risk Impact Stocks? A Study on the French Financial Market; H. Gatfaoui Matrix Elliptical Contoured Distributions versus Stable Model: Application to Daily Stock Returns of Eight Stock Markets; T. Bodnar and W. Schmid Modified Sharpe Ratio Applied to Canadian Hedge Funds; G. N. Gregoriou Index
Time Varying Downside Risk: An Application to the Art Market; R. Campbell and R. Kräussl International Stock Portfolios and Optimal Currency Hedging with Regime Switching; M. Leippold and F. Morger The Determinants of Domestic and Foreign Biases: An Empirical Study; F. Abid and S. Bahloul The Critical Line Algorithm for UPM-LPM Parametric General Asset Allocation Problem with Allocation Boundaries and Linear Constraints; D. Cumova, D. Moreno, and D. Nawrocki Currency Crises, Contagion and Portfolio Selection; A. Bandopadhyaya and S. Nagarajan Bond and Stock Market Linkages: The Case of Mexico and Brazil; A. Bandopadhyaya Australian Stock Market: An Empirical Investigation; A. Chan and J. Wickramanayake The Price of Efficiency - so, what do you think about emerging markets?; Z. Berenyi Liquidity and Market Efficiency before and after the Introduction of Electronic Trading at the Sydney Futures Exchange; M. Burgess and J. Wickramanayake How Does Systematic Risk Impact Stocks? A Study on the French Financial Market; H. Gatfaoui Matrix Elliptical Contoured Distributions versus Stable Model: Application to Daily Stock Returns of Eight Stock Markets; T. Bodnar and W. Schmid Modified Sharpe Ratio Applied to Canadian Hedge Funds; G. N. Gregoriou Index
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