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Advances in Investment Analysis and Portfolio Management - 1st Edition - ISBN: 9780762306589, 9780080944036

Advances in Investment Analysis and Portfolio Management, Volume 7

1st Edition

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Editor: Cheng-Few Lee
Hardcover ISBN: 9780762306589
eBook ISBN: 9780080944036
Imprint: JAI Press
Published Date: 20th December 2000
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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).


© JAI Press 2000
20th December 2000
JAI Press
Hardcover ISBN:
eBook ISBN:

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About the Editor

Cheng-Few Lee

Affiliations and Expertise

Rutgers University at New Brunswick, NJ, USA