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Constructed portfolios based on different fundamental characteristics are expected to have different returns and associated risk levels and also different degrees of volatility properties including clustering, persistence and asymmetric effect. Thus, style investing managers should care with volatility features of the characteristics-sorted portfolio so as to achieve optimal portfolios and risk management.

Produktbeschreibung
Constructed portfolios based on different fundamental characteristics are expected to have different returns and associated risk levels and also different degrees of volatility properties including clustering, persistence and asymmetric effect. Thus, style investing managers should care with volatility features of the characteristics-sorted portfolio so as to achieve optimal portfolios and risk management.
Autorenporträt
Mahmoud Otaify est professeur adjoint de finance. Il est titulaire d'un doctorat en économie financière sur les portefeuilles triés par caractéristiques et d'un MSc sur les déterminants de l'introduction en bourse. Otaify a de l'expérience dans l'enseignement de nombreux cours de finance et a plusieurs publications en finance d'entreprise et en gestion de portefeuille.