Advances in Investment Analysis and Portfolio Management

by Cheng-Few Lee, Son-Nan Chen

Overview

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

Product Details

ISBN-13:	9781559387651
Publisher:	Jai Press, Inc.
Publication date:	11/28/1995
Series:	Advances in Investment Analysis & Portfolio Management , #3
Pages:	324
Product dimensions:	0.81(w) x 6.14(h) x 9.21(d)

Table of Contents

List of Contributors     vii
Evaluating the Risk of Portfolios with Options   Elizabeth A. Sheedy   Robert G. Trevor     1
Co-Movement Pattern of Daily Stock Returns: An Analysis of Dow and January Effects   Gordon Y. N. Tang     19
Portfolio Allocation and the Length of the Investment Horizon   R. Douglas Van Eaton     41
Markowitz Models of Portfolio Selection: The Inverse Problem   Michael J. Hartley   Gurdip S. Bakshi     55
The Impact of Offering Size on the Initial and Aftermarket Performance of IPOs   Karen M. Hogan   Gerard T. Olson     91
Portfolio Formation Methods: Linear Programming as an Alternative to Ranking   Robert A. Wood   Michael S. McCorry   Bonnie F. Van Ness   Robert A. Van Ness     105
Risk Diversification Through Expert Use   Christian Genest   Michel Gendron     117
A Note on the Length Effect of Futures Hedging   Donald Lien   Yiu Kuen Tse     131
Asymmetric-Nested Garch Models, Trading Volume, and Return Volatility: An Empirical Study of the Taiwan Stock Market   Li-Ju Tsai   Yin-Hua Yeh     145
Optimal Market Timing Strategies for Arma(1,1) Return Processes   Wei Li   Kin Lam     163
Pricing Interest Rate Swaps with Stochastic Volatility   William T. Lin     191

Editorial Reviews

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

From the Publisher