Advances in Investment Analysis and Portfolio Management

by Cheng-Few Lee

Overview

Twelve papers focus on investment analysis, portfolio theory, and their implementation in portfolio management

Product Details

ISBN-13:	9780762306589
Publisher:	Elsevier Science
Publication date:	02/02/2001
Series:	Advances in Investment Analysis and Portfolio Management , #7
Pages:	218
Product dimensions:	6.12(w) x 9.21(h) x (d)

Table of Contents

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).

Editorial Reviews

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

From the Publisher