Asset Allocation and International Investments (Finance and Capital Markets)

This Book Is About Strategic Asset Allocation For Institutional Investors. It Is An Edited Series Of Papers, From Respected Academics Worldwide, On The Latest Developments In Portfolio Management, Including New Scientific Articles That Help To Identify New Trends. These Expert Studies Can Effectively Improve The Risk And Return Characteristics Of Your Investment Portfolio. Time Varying Downside Risk: An Application To The Art Market / R. Campbell And R. Krüssl -- International Stock Portfolios And Optimal Currency Hedging With Regime Switching / M. Leippold And F. Morger -- The Determinants Of Domestic And Foreign Biases: An Empirical Study / F. Abid And S. Bahloul -- The Critical Line Algorithm For Upm-lpm Parametric General Asset Allocation Problem With Allocation Boundaries And Linear Constraints / D. Cumova, D. Moreno, And D. Nawrocki -- Currency Crises, Contagion And Portfolio Selection / A. Bandopadhyaya And S. Nagarajan -- Bond And Stock Market Linkages: The Case Of Mexico And Brazil / A. Bandopadhyaya -- Australian Stock Market: An Empirical Investigation / A. Chan And J. Wickramanayake -- The Price Of Efficiency -- So, What Do You Think About Emerging Markets? / Z. Berenyi -- Liquidity And Market Efficiency Before And After The Introduction Of Electronic Trading At The Sydney Futures Exchange / M. Burgess And J. Wickramanayake -- How Does Systematic Risk Impact Stocks? A Study On The French Financial Market / H. Gatfaoui -- Matrix Elliptical Contoured Distributions Versus Stable Model: Application To Daily Stock Returns Of Eight Stock Markets / T. Bodnar And W. Schmid -- Modified Sharpe Ratio Applied To Canadian Hedge Funds / G.n. Gregoriou. Edited By Greg N. Gregoriou. Series Title From Jacket. Includes Bibliographical References And Index. Cover......Page 1 Contents......Page 8 Acknowledgments......Page 12 Notes on the Contributors......Page 13 Introduction......Page 18 1.1 Introduction......Page 22 1.2 Art as an investment......Page 24 1.3 Previous empirical studies......Page 25 1.4 Empirical analysis......Page 26 1.5 Data......Page 27 1.6 Methodology......Page 30 1.7 Results......Page 31 1.8 Discussion......Page 32 1.9 Conclusion......Page 34 2.1 Introduction......Page 37 2.2 The model......Page 39 2.3 Estimation results......Page 42 2.4 Discussion......Page 47 2.5 Conclusion......Page 60 3.1 Introduction......Page 63 3.2 Theoretical framework of domestic and foreign biases......Page 65 3.3 Data and preliminary statistics......Page 67 3.4 The determinants of domestic and foreign biases......Page 77 3.5 The empirical analysis......Page 88 3.6 Additional tests......Page 92 3.7 Conclusion......Page 95 4.1 Introduction......Page 101 4.2 The upside potential–downside risk portfolio model......Page 103 4.3 An empirical example......Page 113 4.4 Conclusion......Page 115 5.1 Introduction......Page 117 5.2 Stock market average rates of return and average volatility......Page 118 5.3 Stock market correlations......Page 120 5.4 Portfolio performance......Page 121 5.5 Conclusion......Page 122 6.1 Introduction......Page 124 6.2 The estimation equations and data......Page 126 6.3 Results......Page 130 6.4 Conclusion......Page 133 7.1 Introduction......Page 135 7.2 Existing evidence......Page 136 7.3 Hypothesis......Page 139 7.4 The data......Page 140 7.5 Data analysis and results......Page 148 7.6 Conclusion......Page 153 8.1 Introduction......Page 158 8.2 Higher moment performance analysis – the theory......Page 159 8.3 The efficiency gain/loss methodology......Page 161 8.4 Testing results......Page 164 8.5 Conclusion......Page 170 9.1 Introduction......Page 172 9.2 Review of the literature......Page 173 9.3 Options data volume as a proxy for liquidity......Page 175 9.4 Sample design......Page 180 9.5 Analysis of results......Page 186 9.6 Conclusion......Page 199 10.1 Introduction......Page 204 10.2 Theoretical framework......Page 206 10.3 Empirical study......Page 208 10.4 The impact of systematic risk......Page 211 10.5 Further investigation......Page 216 10.6 Market benchmark comparison......Page 222 10.7 Conclusion......Page 230 11.1 Introduction......Page 235 11.2 Small sample tests......Page 237 11.3 Analysis of the power functions......Page 242 11.4 Empirical study......Page 243 11.5 Conclusion......Page 245 12.1 Introduction......Page 249 12.2 Literature review......Page 250 12.3 Data and methodology......Page 251 12.4 Empirical results......Page 252 12.5 Conclusion......Page 254 B......Page 256 C......Page 257 E......Page 258 H......Page 259 L......Page 260 N......Page 261 R......Page 262 S......Page 263 V......Page 264 Z......Page 265 This book relates to strategic asset allocation for institutional investors. It consists of a collection of edited papers from academics worldwide on the latest developments in asset allocation, portfolio management and international investments. These expert studies can improve the risk and return characteristics of your investment portfolio.