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Advances in Investment Analysis and Portfolio Management : Volume 6 - Cheng-Few Lee

Advances in Investment Analysis and Portfolio Management

Volume 6

By: Cheng-Few Lee (Editor)

Hardcover

Published: 6th December 1999
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Twelve papers focus on investment analysis, portfolio theory, and their implementation in portfolio management

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

ISBN: 9780762306060
ISBN-10: 0762306068
Series: Advances in Investment Analysis and Portfolio Management : Book 6
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 168
Published: 6th December 1999
Publisher: Elsevier Science & Technology
Country of Publication: GB
Dimensions (cm): 23.5 x 16.51  x 1.27
Weight (kg): 0.42