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| ADVANCES IN INVESTMENT ANALYSIS AND PORTFOLIO MANAGEMENT, VOLUME 8, 8
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To order this title, and for more information, click here
Edited By
Cheng-Few Lee, Rutgers University at New Brunswick, NJ, USA
Included in series
Advances in Investment Analysis and Portfolio Management,
Description
This research annual publication intends to bring together investment analysis and portfolio theory and their implementation to portfolio
management. It seeks theoretical and empirical research manuscripts with high quality in the area of investment and portfolio analysis.
The contents will consist of original research on: The principles of portfolio management of equities and fixed-income securities.
The evaluation of portfolios (or mutual funds) of common stocks, bonds, international assets, and options. The dynamic process of portfolio
management. Strategies of international investments and portfolio management. The applications of useful and important analytical techniques
such as mathematics, econometrics, statistics, and computers in the field of investment and portfolio management. Theoretical research
related to options and futures. In addition, it also contains articles that present and examine new and important accounting, financial,
and economic data for managing and evaluating portfolios of risky assets.
Contents
Stock-returns, inflation and the macroeconomy: The long- and short-run dynamics (M. Chopin, M. Zhong). Valuation and hedging of American-style
lookback and barrier options (C.C.C San-Lin Chung). The information role of portfolio depository receipts (P. Brockman, Y. Tse). A double
sharpe ratio (M. Morey, H. Vinod). Institutional Ownership analyst following and market liquidity (S. Hedge, S. Mangiero). European stock
markets: An error correction model analysis (A. Ghosh R. Clayton). Alternative method for robust analysis in event study applications
(S.L. Kramer). A test for a new Dynamic CAPM (R. Faff, R. Brooks, T.P. Fan). Biases in Using Jensen's alpha (Y. Xu). Market timing skill,
expected returns and mutual fund performance (J. Greene, C. Hodges). Dynamic Hedge with Forecasting: A return-stabilizing approach (C.S
Lee). Measuring the interest rate risk of bonds with embedded options (S.V. Mann, P. Ramanlal). Two-factor jump-diffusion interest rate
process: An empirical examination in Taiwan money market (S.Yeh, B. Lin). Cross hedging and value at risk: Wholesale electricity forward
contracts (C. Woo, I. Horowitz, K Hoang). Using microsoft excel and decision trees to demonstrate the binominal option pricing model
(J. Lee).
| Bibliographic details |
Hardbound, 344 pages, publication date: SEP-2001
ISBN-13: 978-0-7623-0798-2
ISBN-10: 0-7623-0798-6
Imprint: JAI
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| Price and Ordering |
Price:
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GBP 83.99
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Last update: 22 Sep 2009
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