Advances in Investment Analysis and Portfolio Management

Contains twelve papers that focus on investment analysis, portfolio theory, and their implementation in portfolio management.

List of contents

Endogenous growth and stock returns volatility in the long run (C. Faugére, H. Shawky). A note on the Markowitz risk minimization and the Sharpe angle maximization models (C.W. Yang, K. Hung and F.A. Yang). Optimal hedge ratios and temporal aggregation of cointegrated systems (D. Lien, K. Leggio). Market timing, selectivity, and mutual fund performance (C.F. Lee, L. Li). Sources of time-varying risk premia in the term structure (J. Elder). Stock splits and liquidity: evidence from American depository receipts (C.X. Jiang, J.-C. Kim). Portfolio selection with round-lot holdings (C.C.Y. Kwan, M. Parlar). Defining a security market line for debt explicitly considering the risk of default (J.L. Heck, M.M. Holland and D.R. Shaffer). Shareholder heterogeneity: further evidence (Y.T. Lee, G. Liaw). The long-run performance and pre-selling information of initial public offerings (A. Chen, J.F. Cotter). The term structure of return correlations: the U.S. and Pacific-Basin stock markets (M.-S. Pan, Y.A. Liu). Characteristics versus covariances: an examination of domestic asset allocation strategies (J. Fletcher).

Report

"Twelve papers focus on investment analysis, portfolio theory, and their implementation in portfolio management." --Journal of Economic Literature

Product details

• Authors: Cheng-Few Lee, Cheng-Few (Rutgers University At New Brunswic Lee, LEE CHENG FEW
• Assisted by: Cheng-Few Lee (Editor), Lee Cheng-Few Lee (Editor), Cheng-Few Lee (Editor), Lee Cheng-Few (Editor)
• Publisher: ELSEVIER SCIENCE BV
• Languages: English
• Product format: Hardback
• Released: 12.07.2002
• EAN: 9780762308873
• ISBN: 978-0-7623-0887-3
• No. of pages: 288
• Series: Advances in Investment Analysi; Advances in Investment Analysi; Advances in Investment Analysis and Portfolio Management
• Subjects: Social sciences, law, business > Business > General, dictionaries; Business & Economics / Investments & Securities / General, Investment & securities, Investment and securities