Performance evaluation of investment portfolios: the measurement of forecasting abilities and the impact of liabilities
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
1999
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 12, 154 S. Ill., graph. Darst. |
| ISBN: | 9080409138 |
Internformat
MARC
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| 100 | 1 | |a Plantinga, Auke |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Performance evaluation of investment portfolios |b the measurement of forecasting abilities and the impact of liabilities |c door Auke Plantinga |
| 264 | 1 | |c 1999 | |
| 300 | |a 12, 154 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Groningen, Univ., Diss., 1999 | ||
| 650 | 7 | |a Investeringen |2 gtt | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
| 650 | 7 | |a Prestatiebeoordeling |2 gtt | |
| 650 | 0 | 7 | |a Investment Banking |0 (DE-588)4200159-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Evaluation |0 (DE-588)4071034-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Portfolio Selection |0 (DE-588)4046834-3 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 655 | 7 | |a Proefschriften (vorm) |2 gtt | |
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| 689 | 0 | |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008964678&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-008964678 | ||
Datensatz im Suchindex
| _version_ | 1804127857483448320 |
|---|---|
| adam_text | Contents
1 Introduction 1
1.1 The need for performance evaluation 1
1.2 Institutional investors 3
1.3 Performance control 4
1.4 Issues in performance evaluation 6
1.5 Objective of the study 9
2 Methods of performance measurement 11
2.1 Measurement of returns 13
2.2 Risk measures 18
2.3 Evaluation with time series of return 21
2.4 Attribution with time series of return 28
2.5 Evaluation with portfolio composition 32
2.6 Attribution with portfolio composition 34
2.7 Summary and discussion 37
3 Evaluation of asset only methods 39
3.1 Private information and the JTS measures 41
3.2 Private information and alternative measures 44
3.3 A simulation study with one risky asset 49
3.4 Multiple risky assets 65
3.5 Summary and discussion 75
4 Liabilities and portfolio choice 77
4.1 Immunization 79
4.2 Surplus optimization 81
4.3 Liability protection and surplus optimization 89
4.4 Conflict of interests 94
4.5 Conclusion 98
11
12 CONTENTS
5 Liability driven attribution 99
5.1 Liability driven performance measurement 99
5.2 Implications for risk measurement 107
5.3 Conclusion 115
6 An application 117
6.1 Market conditions 118
6.2 The liabilities 120
6.3 The assets 121
6.4 Performance analysis 122
6.5 An analysis of risk 127
6.6 Conclusion and discussion 132
7 Conclusions 135
7.1 Forecasting abilities 136
7.2 Liabilities and performance evaluation 137
A Symbols 141
Bibliography 146
Summary in Dutch 151
|
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| genre_facet | Hochschulschrift Proefschriften (vorm) |
| id | DE-604.BV013157324 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:40:01Z |
| institution | BVB |
| isbn | 9080409138 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008964678 |
| oclc_num | 67868326 |
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| physical | 12, 154 S. Ill., graph. Darst. |
| publishDate | 1999 |
| publishDateSearch | 1999 |
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| spelling | Plantinga, Auke Verfasser aut Performance evaluation of investment portfolios the measurement of forecasting abilities and the impact of liabilities door Auke Plantinga 1999 12, 154 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Groningen, Univ., Diss., 1999 Investeringen gtt Portfolio-analyse gtt Prestatiebeoordeling gtt Investment Banking (DE-588)4200159-6 gnd rswk-swf Evaluation (DE-588)4071034-8 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Proefschriften (vorm) gtt Investment Banking (DE-588)4200159-6 s Portfolio Selection (DE-588)4046834-3 s Evaluation (DE-588)4071034-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008964678&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Plantinga, Auke Performance evaluation of investment portfolios the measurement of forecasting abilities and the impact of liabilities Investeringen gtt Portfolio-analyse gtt Prestatiebeoordeling gtt Investment Banking (DE-588)4200159-6 gnd Evaluation (DE-588)4071034-8 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4200159-6 (DE-588)4071034-8 (DE-588)4046834-3 (DE-588)4113937-9 |
| title | Performance evaluation of investment portfolios the measurement of forecasting abilities and the impact of liabilities |
| title_auth | Performance evaluation of investment portfolios the measurement of forecasting abilities and the impact of liabilities |
| title_exact_search | Performance evaluation of investment portfolios the measurement of forecasting abilities and the impact of liabilities |
| title_full | Performance evaluation of investment portfolios the measurement of forecasting abilities and the impact of liabilities door Auke Plantinga |
| title_fullStr | Performance evaluation of investment portfolios the measurement of forecasting abilities and the impact of liabilities door Auke Plantinga |
| title_full_unstemmed | Performance evaluation of investment portfolios the measurement of forecasting abilities and the impact of liabilities door Auke Plantinga |
| title_short | Performance evaluation of investment portfolios |
| title_sort | performance evaluation of investment portfolios the measurement of forecasting abilities and the impact of liabilities |
| title_sub | the measurement of forecasting abilities and the impact of liabilities |
| topic | Investeringen gtt Portfolio-analyse gtt Prestatiebeoordeling gtt Investment Banking (DE-588)4200159-6 gnd Evaluation (DE-588)4071034-8 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Investeringen Portfolio-analyse Prestatiebeoordeling Investment Banking Evaluation Portfolio Selection Hochschulschrift Proefschriften (vorm) |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008964678&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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