Advances in Investment Analysis and Portfolio Management

Vol 8

By: Cheng-Few Lee (Editor)

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Hardcover | 14 September 2001

At a Glance

Hardcover
344 Pages

Dimensions(cm)
23.39 x 15.6 x 2.06

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Stock-returns, inflation and the macroeconomy: The long- and short-run d ynamics (M. Chopin, M. Zhong). Valuation and hedging of American-style l ookback and barrier options (C.C.C San-Lin Chung). The information role of portfolio depository receipts (P. Brockman, Y. Tse). A double sharpe ratio (M. Morey, H. Vinod). Institutional Ownership analyst following an d market liquidity (S. Hedge, S. Mangiero). European stock markets: An e rror correction model analysis (A. Ghosh R. Clayton). Alternative method for robust analysis in event study applications (S.L. Kramer). A test f or a new Dynamic CAPM (R. Faff, R. Brooks, T.P. Fan). Biases in Using Je nsen's alpha (Y. Xu). Market timing skill, expected returns and mutual f und performance (J. Greene, C. Hodges). Dynamic Hedge with Forecasting: A return-stabilizing approach (C.S Lee). Measuring the interest rate ris k of bonds with embedded options (S.V. Mann, P. Ramanlal). Two-factor ju mp-diffusion interest rate process: An empirical examination in Taiwan m oney market (S.Yeh, B. Lin). Cross hedging and value at risk: Wholesale electricity forward contracts (C. Woo, I. Horowitz, K Hoang). Using micr

Industry Reviews

...Fifteen articles bring together investment analysis and portfolio theory and their implementation in portfolio management. Journal of Economic Literature, 2002

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Non-Fiction Accounting & Finance Finance Investment & Securities Economics Economic Theory & Philosophy Reference, Information & Interdisciplinary Subjects Encyclopaedias & Reference Works Reference Works Yearbooks, Annuals, Almanacs Science Science in General

History of Science Society & Social Sciences

List of Contributors	p. vii
Evaluating the Risk of Portfolios with Options	p. 1
Co-Movement Pattern of Daily Stock Returns: An Analysis of Dow and January Effects	p. 19
Portfolio Allocation and the Length of the Investment Horizon	p. 41
Markowitz Models of Portfolio Selection: The Inverse Problem	p. 55
The Impact of Offering Size on the Initial and Aftermarket Performance of IPOs	p. 91
Portfolio Formation Methods: Linear Programming as an Alternative to Ranking	p. 105
Risk Diversification Through Expert Use	p. 117
A Note on the Length Effect of Futures Hedging	p. 131
Asymmetric-Nested Garch Models, Trading Volume, and Return Volatility: An Empirical Study of the Taiwan Stock Market	p. 145
Optimal Market Timing Strategies for Arma(1,1) Return Processes	p. 163
Pricing Interest Rate Swaps with Stochastic Volatility	p. 191
Table of Contents provided by Ingram. All Rights Reserved.

Advances in Investment Analysis and Portfolio Management

Vol 8

At a Glance

Hardcover

Industry Reviews

Shipping

How to return your order

Defective items

You Can Find This Book In

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