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Comparing Mean Variance Tests With Stochastic Dominance When Assessing International Portfolio Diversification Benefits
Download Comparing Mean Variance Tests With Stochastic Dominance When Assessing International Portfolio Diversification Benefits full books in PDF, epub, and Kindle. Read online Comparing Mean Variance Tests With Stochastic Dominance When Assessing International Portfolio Diversification Benefits ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Green Investing by : Gagari Chakrabarti
Download or read book Green Investing written by Gagari Chakrabarti and published by Springer. This book was released on 2014-08-28 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book seeks to answer the essential question of the investment-worthiness of green instruments. It is evident that investing in green and energy-efficient firms will be the most profitable choice for wise investors in the years to come. The reconciliation of the social choice for green technology and investors’ choice for gray technology will be automatically achieved once green firms become more profitable than gray ones, in the Indian context. As there has been very little research done in this area, especially in the Indian context, this book addresses that gap. In order to do so, it follows the development of five different portfolios consisting of 100% green, 75% green-25% gray, 50% green-50% gray, 25% green-75% gray and 100% gray stocks, and attempts to answer questions such as: Do green portfolios entail less relative own-risk as compared to their gray counterparts? How effectively do green portfolios avoid market risk? Are green portfolios inherently more stable? Do green portfolios have a higher probability of surviving a financial crisis? Is the performance of green portfolios backed by their fundamentals? Is there any particular technical trading strategy that can ensure a consistently above-average return from these portfolios?
Book Synopsis Covid-19 Pandemic And Energy Markets: Commodity Markets, Cryptocurrencies And Electricity Consumption Under The Covid-19 by : Khaled Guesmi
Download or read book Covid-19 Pandemic And Energy Markets: Commodity Markets, Cryptocurrencies And Electricity Consumption Under The Covid-19 written by Khaled Guesmi and published by World Scientific. This book was released on 2021-09-15 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: The World Health Organization confirmed COVID-19 a pandemic on March 11, 2020, causing vast impact on international economy. The coronavirus pandemic has given rise to an unprecedented global health and economic crises. Apart from the toll of early deaths, economic activities have been stalled and stock markets have tumbled, while a wide range of energy markets — including oil, gas and renewable energy — have been severely affected. This crisis The pandemic has stressed the critical value of the health care infrastructure and electricity infrastructure. In view of the above, while governments and policy makers respond to these interlinked crises, they must not lose sight of a major challenge of our time: clean energy transitions.The pandemic has continued to to slow down the recovery of economic activities and consumption due to combination of many factors such as economic recession, expensive storage, warm climate, and enormous uncertainty. Mitigation and adaptation policies are crucial to overcoming the crisis. The commodity futures market will depend on the effectiveness of decision-makers' policies in containing the COVID-19 outbreak and reducing the negative effect of the pandemic on economic activities. This book seeks to throw light on the adverse effects of COVID-19 through enhanced scientific and multi-disciplinary knowledge. The chapters in the book show that the energy, stock, crypto-currencies markets are vulnerable to the surge in coronavirus deaths.
Book Synopsis Biosecurity Surveillance by : Frith Jarrad
Download or read book Biosecurity Surveillance written by Frith Jarrad and published by CABI. This book was released on 2015-03-13 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a source of information on practical and innovative approaches to biosecurity surveillance. It explains the foundation and concepts behind surveillance design, with examples of methods and tools created to deal with surveillance challenges. With supporting case studies and including current directions in research, it covers evidence-based approaches to surveillance, statistics, detectability, single and multi-species detection, risk assessment, diagnostics, data-basing, modelling of invasion and spread, optimisation, and future climate challenges.
Book Synopsis Recent Applications of Financial Risk Modelling and Portfolio Management by : Škrinjari?, Tihana
Download or read book Recent Applications of Financial Risk Modelling and Portfolio Management written by Škrinjari?, Tihana and published by IGI Global. This book was released on 2020-09-25 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: In today’s financial market, portfolio and risk management are facing an array of challenges. This is due to increasing levels of knowledge and data that are being made available that have caused a multitude of different investment models to be explored and implemented. Professionals and researchers in this field are in need of up-to-date research that analyzes these contemporary models of practice and keeps pace with the advancements being made within financial risk modelling and portfolio control. Recent Applications of Financial Risk Modelling and Portfolio Management is a pivotal reference source that provides vital research on the use of modern data analysis as well as quantitative methods for developing successful portfolio and risk management techniques. While highlighting topics such as credit scoring, investment strategies, and budgeting, this publication explores diverse models for achieving investment goals as well as improving upon traditional financial modelling methods. This book is ideally designed for researchers, financial analysts, executives, practitioners, policymakers, academicians, and students seeking current research on contemporary risk management strategies in the financial sector.
Book Synopsis Handbook of the Fundamentals of Financial Decision Making by : Leonard C. MacLean
Download or read book Handbook of the Fundamentals of Financial Decision Making written by Leonard C. MacLean and published by World Scientific. This book was released on 2013 with total page 941 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).
Download or read book Stochastic Dominance written by Haim Levy and published by Springer Science & Business Media. This book was released on 2006-08-25 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.
Download or read book Money written by John Eatwell and published by W. W. Norton & Company. This book was released on 1989 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume follows the course of the debate from the Bullionist Controversy of the Napoleonic period through the perennial arguments over the gold standard to the dispute between Keynesians, monetarist, and 'new classical macroeconomists, ' tracing the evolution of theory and doctrine over nearly 200 years.
Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Book Synopsis International Financial Markets by : Richard M. Levich
Download or read book International Financial Markets written by Richard M. Levich and published by McGraw-Hill/Irwin. This book was released on 1998 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Linear and Mixed Integer Programming for Portfolio Optimization by : Renata Mansini
Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Download or read book Finance Literature Index written by and published by . This book was released on 1994 with total page 622 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Portfolio Construction by : John B. Guerard, Jr.
Download or read book Handbook of Portfolio Construction written by John B. Guerard, Jr. and published by Springer Science & Business Media. This book was released on 2009-12-12 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.
Book Synopsis Portfolio Diversification by : Francois-Serge Lhabitant
Download or read book Portfolio Diversification written by Francois-Serge Lhabitant and published by Elsevier. This book was released on 2017-09-26 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. - Focuses on portfolio diversification across all its dimensions - Includes recent empirical material that was created and developed specifically for this book - Provides several tools to quantify and implement optimal diversification
Book Synopsis Efficient Asset Management by : Richard O. Michaud
Download or read book Efficient Asset Management written by Richard O. Michaud and published by Oxford University Press. This book was released on 2008-03-03 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints. Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors. With its important implications for investment practice, Efficient Asset Management 's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.
Book Synopsis Theory of Random Sets by : Ilya Molchanov
Download or read book Theory of Random Sets written by Ilya Molchanov and published by Springer Science & Business Media. This book was released on 2005-05-11 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first systematic exposition of random sets theory since Matheron (1975), with full proofs, exhaustive bibliographies and literature notes Interdisciplinary connections and applications of random sets are emphasized throughout the book An extensive bibliography in the book is available on the Web at http://liinwww.ira.uka.de/bibliography/math/random.closed.sets.html, and is accompanied by a search engine
Book Synopsis The Handbook of Equity Market Anomalies by : Leonard Zacks
Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Book Synopsis Risk Analysis and Portfolio Modelling by : Elisa Luciano
Download or read book Risk Analysis and Portfolio Modelling written by Elisa Luciano and published by MDPI. This book was released on 2019-10-16 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.
