Asset Allocation and International Investments

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ISBN: 9780230019171 | 023001917X
Cover: Hardcover
Copyright: 1/15/2007

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This volume consists of a collection of edited papers from respected academics worldwide on the latest developments in asset allocation, portfolio management and international investments, including original scientific articles that will help the investor to identify new trends. These expert studies can effectively improve the risk and return characteristics of anyone's investment portfolio.

Acknowledgments	p. xi
Notes on the Contributors	p. xii
Introduction	p. xvii
Time-Varying Downside Risk: An Application to the Art Market	p. 1
Introduction	p. 1
Art as an investment	p. 3
Previous empirical studies	p. 4
Empirical analysis	p. 5
Data	p. 6
Methodology	p. 9
Results	p. 10
Discussion	p. 11
Conclusion	p. 13
International Stock Portfolios and Optimal Currency Hedging with Regime Switching	p. 16
Introduction	p. 16
The model	p. 18
Estimation results	p. 21
Discussion	p. 26
Conclusion	p. 39
The Determinants of Domestic and Foreign Biases: An Empirical Study	p. 42
Introduction	p. 42
Theoretical framework of domestic and foreign biases	p. 44
Data and preliminary statistics	p. 46
The determinants of domestic and foreign biases	p. 56
The empirical analysis	p. 67
Additional tests	p. 71
Conclusion	p. 74
The Critical Line Algorithm for UPM-LPM Parametric General Asset Allocation Problem with Allocation Boundaries and Linear Constraints	p. 80
Introduction	p. 80
The upside potential-downside risk portfolio model	p. 82
An empirical example	p. 92
Conclusion	p. 94
Currency Crises, Contagion and Portfolio Selection	p. 96
Introduction	p. 96
Stock market average rates of return and average volatility	p. 97
Stock market correlations	p. 99
Portfolio performance	p. 100
Conclusion	p. 101
Bond and Stock Market Linkages: The Case of Mexico and Brazil	p. 103
Introduction	p. 103
The estimation equations and data	p. 105
Results	p. 109
Conclusion	p. 112
The Australian Stock Market: An Empirical Investigation	p. 114
Introduction	p. 114
Existing evidence	p. 115
Hypothesis	p. 118
The data	p. 119
Data analysis and results	p. 127
Conclusion	p. 132
The Price of Efficiency - So, What Do You Think About Emerging Markets?	p. 137
Introduction	p. 137
Higher moment performance analysis - the theory	p. 138
The efficiency gain/loss methodology	p. 140
Testing results	p. 143
Conclusion	p. 149
Liquidity and Market Efficiency Before and After the Introduction of Electronic Trading at the Sydney Futures Exchange	p. 151
Introduction	p. 151
Review of the literature	p. 152
Options data volume as a proxy for liquidity	p. 154
Sample design	p. 159
Analysis of results	p. 165
Conclusion	p. 178
How Does Systematic Risk Impact Stocks? A Study of the French Financial Market	p. 183
Introduction	p. 183
Theoretical framework	p. 185
Empirical study	p. 187
The impact of systematic risk	p. 190
Further investigation	p. 195
Market benchmark comparison	p. 201
Conclusion	p. 209
Matrix Elliptical Contoured Distributions versus a Stable Model: Application to Daily Stock Returns of Eight Stock Markets	p. 214
Introduction	p. 214
Small sample tests	p. 216
Analysis of the power functions	p. 221
Empirical study	p. 222
Conclusion	p. 224
The Modified Sharpe Ratio Applied to Canadian Hedge Funds	p. 228
Introduction	p. 228
Literature review	p. 229
Data and methodology	p. 230
Empirical results	p. 231
Conclusion	p. 233
Index	p. 235
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Asset Allocation and International Investments

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