Advances in Investment Analysis and Portfolio Management

Erscheinungsjahr 2000
ISBN: 978-0-7623-0658-9
Verlag: Elsevier Science & Technology

Buch, Englisch, Format (B × H): 156 mm x 234 mm, Gewicht: 510 g

Autoren/Hrsg.

Lee, Cheng-Few

Fachgebiete

• Interdisziplinäres Wissenschaften Wissenschaften Interdisziplinär Wirtschafts- und Sozialwissenschaften
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere

Inhaltsverzeichnis

Evaluating the risk of portfolios with options (E.A. Sheedy, R.G. Trevor). Co-movement patter of daily stock returns: an analysis of dow and January effects (G.Y.N. Tang). Portfolio allocation and the length of the investment horizon (R.D. van Eaton). Markowitz models of portfolio selection: the inverse problem (M.J. Hartley, G.S. Bakshi). The impact of offering size on the initial and aftermark performance of IPSs (K.M. Hogan, G.T. Olson). Portfolio formation methods: linear programming as an alternative to ranking (R.A. Wood et al. ). On risk diversification through expert use (C. Genest, M. Gendron). A note on the length effect of futures hedging (D. Lien, Yiu Kuen Tse). Asymmetric nested GARCH models, trading volume and return volatility - an empirical study on Taiwan Stock Market (Li-ju Tsai, Yin-hua Yeh). Optimal market timing strategies for ARMA (1,1) return processes, (Wei Li, Kin Lam). Pricing interest rate swaps with stochastic volatility (W.T. Lin).