Global asset allocation: new methods and applications-
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2003
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Publisher description Table of contents Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. 287 - 299 |
| Beschreibung: | XII, 320 S. graph. Darst. |
| ISBN: | 0471264261 |
Internformat
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
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| 003 | DE-604 | ||
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| 007 | t| | ||
| 008 | 020710s2003 xxud||| |||| 00||| eng d | ||
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| 100 | 1 | |a Zimmermann, Heinz |d 1958- |e Verfasser |0 (DE-588)130896322 |4 aut | |
| 245 | 1 | 0 | |a Global asset allocation |b new methods and applications- |c Heinz Zimmermann ; Wolfgang Drobetz ; Peter Oertmann |
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2003 | |
| 300 | |a XII, 320 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley finance series | |
| 500 | |a Literaturverz. S. 287 - 299 | ||
| 650 | 4 | |a Affectation de l'actif | |
| 650 | 4 | |a Investissements étrangers | |
| 650 | 4 | |a Mondialisation | |
| 650 | 4 | |a Globalisierung | |
| 650 | 4 | |a Asset allocation | |
| 650 | 4 | |a Investments, Foreign | |
| 650 | 4 | |a Globalization -- Economic aspects | |
| 650 | 0 | 7 | |a Internationaler Kapitalmarkt |0 (DE-588)4027402-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Portfolio Selection |0 (DE-588)4046834-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Portfolio-Investition |0 (DE-588)4175391-4 |2 gnd |9 rswk-swf |
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| 689 | 1 | 1 | |a Internationaler Kapitalmarkt |0 (DE-588)4027402-0 |D s |
| 689 | 1 | |5 DE-188 | |
| 700 | 1 | |a Drobetz, Wolfgang |e Verfasser |4 aut | |
| 700 | 1 | |a Oertmann, Peter |e Verfasser |4 aut | |
| 856 | 4 | |u http://www.loc.gov/catdir/description/wiley038/2002009972.html |3 Publisher description | |
| 856 | 4 | |u http://www.loc.gov/catdir/toc/wiley031/2002009972.html |3 Table of contents | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009899072&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-009899072 | |
Datensatz im Suchindex
| _version_ | 1826499116032589824 |
|---|---|
| adam_text |
contents
CHAPTER
1
The Global Economy and Investment Management
1
Executive Summary
1
Motivation
2
Globalization and Risk
2
Globalization and Expected Returns
3
Globalization and the Market Price of Risk
4
Tactical Asset Allocation and Estimation Risk
4
About This Book
5
CHAPTER
2
International Asset Pricing, Portfolio Selection, and
Currency Hedging: An Overview
7
Executive Summary
7
Introduction
8
Valuation in an International Setting: Basic Facts
9
Purchasing Power Relationships
10
The Core Problem of International Asset Pricing
12
Portfolio Selection and Asset Pricing I
13
Utility-Based Asset Pricing Models
—
Overview
1 *>
The Basic International Capital Asset Pricing
Model (intCAPM) without Deviations from PPP
14
Portfolio Separation and the IntCAPM in Real Terms
15
The IntCAPM in
Kominál
Terms
16
Portfolio Selection and Asset Pricing II
18
Accounting for PPP Deviations and "Real"
Exchange Rate Risk
18
The Solnik-Serai International Asset Pricing Model
19
From Partial to General Equilibrium
1"
General Models Accounting for Domestic Inflation
30
Currency Hedging
36
Equilibrium Currency Hedging 3~
Universal Currency Hedging
38
VII
contents
СНДРТВИ
The
ШоЬаІ
Economy »id Investment Management
1
Executive Summary
1
Motivation
2
Globalization and Risk
2
Globalization and Expected Returns
3
Globalization and the Market Price of Risk
4
Tactical Asset Allocation and Estimation Risk
4
About This Book
5
Internationa) Asset
Pricing, Ponti
oHo Selection, and
Currency Hedging: An Overview
7
Executive Summary
7
Introduction
8
Valuation in an International Setting: Basic Facts
9
Purchasing Power Relationships
10
The Core Problem of International Asset Pricing
12
Portfolio Selection and Asset Pricing I
13
Utility-Based Asset Pricing Models
—
Overview
13
The Basic International Capital Asset Pricing
Model (IntCAPM) without Deviations from PPP
14
Portfolio Separation and the IntCAPM in Real Terms
15
The IntCAPM in Nominal Terms
16
Portfolio Selection and Asset Pricing II
18
Accounting for PPP Deviations and "Real"
Exchange Rate Risk
18
The Solnik-Sercu International Asset Pricing Model
19
Prom Partial to General Equilibrium
27
General Models Accounting for Domestic Inflation
30
Currency Hedging
36
Equilibrium Currency Hedging
37
Universal Currency Hedging
38
vl
ЇЛИ
CONTENTS
Free Lunch and Full Currency Hedging
39
Overlay Currency Hedges
40
International Arbitrage Pricing Theory
41
Pricing Condition with Currency Risk Adjustment
42
The Solnik Pricing Condition
45
Summing Up the Main Streams
47
CHAPTERS
The Anatomy of Volatility and Stock Market Correlations
SI
Executive Summary
51
Introduction
51
Data and Descriptive Statistics
53
An Asymmetrical Model of Volatility
58
The Correlation Structure of International Stock Returns
64
Correlation and Volatility
64
Upmarket and Downmarket Correlations
70
Business Cycles and Correlations
74
Investment Implications
76
Diversification in Upmarkets and
Downmarkets
77
Shortfall Risk
79
Value-at-Risk
80
Option Pricing
84
Conclusion
86
CHAPTER
4
The Correlation Breakdown In International stock Markets
88
Executive Summary
89
Motivation
90
Analysis of the Stock Return Series
91
Description of the Data
92
Summary Statistics
92
International Equity Market Correlations
93
Time-Measured Observations
95
Moving
Estimation
Windows
96
Realized Correlation Constructed from Daily Data
98
Is There a Time Trend?
101
Event-Measured Observations
105
Correlation Breakdown
105
105
What Actually Is an (Extreme) Event on Financial Markets?
106
Contents ix
Empirical Evidence: Based on Realized Correlations
107
Empirical Evidence: Based on Monthly Return Data
110
Implications for Asset Management
115
Optimal Portfolios from Event-Varying
Variance-Covariance Matrices
116
Conclusion
119
CHAPTEfiö
Global Economic Risk Profiles: Analyzing Value and Volatility
Drivées
in Global Markets
121
Executive Summary
121
Introduction
121
Empirical Methodology
123
The Return-Generating Process
124
The Pricing Restriction
125
Data Description
126
Stock and Bond Market Returns
126
Specification of Global Risk Factors
127
GERP—A First Inspection of the Markets' Risk Profiles
129
Factor Profiles for Stock Markets
131
Factor Profiles for Bond Markets
133
Explanatory Power of the Factor Models
133
Discriminating between Volatility and Value Drivers
134
Testing the Pricing Potential of the Risk Factors:
Wald
Tests
134
Potential Value Drivers for Stock Markets
135
Potential Value Drivers for Bond Markets
137
Choosing the Common Factors
137
Assessing the Power of Value Drivers: Testing the
Pricing Equation
138
Conclusion
141
Appendix
142
СНАРТШб
Testine
Market Megnflon: Tee Case of Swteertand and Germany
145
Executive Summary
145
Introduction
146
Integration and Correlation
150
χ
CONTENTS
Two Models for Testing Integration
152
A Consumption-Based Test for Market Integration
152
A Beta Pricing Model with an Unobservable
Benchmark Portfolio
157
Data
161
Description of the Data for the Consumption-Based
Integration Test
161
Description of the Data for the Latent Variable Model
163
Empirical Results of the Tests for Integration
164
Results of the Consumption-Based Test for Integration
164
Results of the Latent Variable Test for Integration
166
Conclusion
168
Appendix
169
CHAPTffiľ
Emerging Market Investments: Myth or Reality?
178
Exeuctive Summary
173
Motivation
174
Data
176
Emerging Markets and Diversification
183
The Mean-Variance Analysis Revisited
187
The Stein-Estimator
190
Simulating Portfolio Strategies with and without Shrinkage
192
Simultaneous Investment in MSCI and IFC Markets
194
Investment in MSCI Markets
196
Investment in IFC Markets
196
Conclusion
197
СНАРТШб
The Structure of Sector and Market Returns: Implications
for International
Diversification
189
Executive Summary
199
Introduction
200
The Setup of the Problem: Two Numerical Examples
202
Structure of the Indices
208
Characteristics of the Datastream Index Family
208
Statistical Properties of the Index Returns
209
The Temporal Behavior of Index Volatilities
and
Corrélations
214
Contents xl
Markets, Sectors, and Extreme Market Events
216
Efficient Frontiers
219
Simple Diversification Strategies
219
Two-Dimensional Diversification Strategies
222
Analyzing Specific Portfolios
223
Conclusion
227
The Value-Growth Enigma: Time-Varying Risk Premiums and
Active Portfolio Strategies
229
Executive Summary
229
Introduction
230
Exploration of a Phenomenon
230
Open Questions for Value Investors
231
Insights from the Empirical Analysis
232
Data Description
233
Empirical Facts on International Value-Growth Spreads
234
Long-Horizon Value Premiums
234
Short-Horizon Value Premiums
237
International Correlations of Value Premiums
239
Economics of International Value-Growth Spreads
244
Instrumental Regression Framework
244
Global Forces Driving Value Premiums
248
Global integration of Value Premiums
250
Tactical Style Rotation Strategies
253
Devising a Simple Switching Strategy
253
Performance of Active Value-Growth Strategies
253
Conclusion
259
ШРТБПО
Integrating Tactical and
Bmmrium
РогМо&о
Management
Putting the Black-UttermanModeJ to
Wort 281
Executive Summary
261
Introduction
262
The Deficiencies of Standard Portfolio Theory
263
Amount of Required Input Data
263
Extreme Portfolio Weights
264
Sensitivity of Portfolio Weights
266
Mismatch in Levels
ofinformation
267
Xli_CONTENTS
Neutral Views
as the Starting Point
267
The Black-Litterman Approach
271
Long-Term
Equilibrium
272
Expressing Views
273
Combining Certain Views
275
Combining Uncertain Views
276
A Simple Example
277
Incorporating a Relative View
277
Incorporating an Absolute View
280
Conclusion
283
Appendix
284
BBUOGMPHY
287
NOTÏS
SOI
МЕХ
309 |
| any_adam_object | 1 |
| author | Zimmermann, Heinz 1958- Drobetz, Wolfgang Oertmann, Peter |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV014560123 |
| illustrated | Illustrated |
| indexdate | 2025-03-13T17:01:35Z |
| institution | BVB |
| isbn | 0471264261 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009899072 |
| oclc_num | 50143138 |
| open_access_boolean | |
| owner | DE-703 DE-Aug4 DE-12 DE-739 DE-1050 DE-1047 DE-706 DE-355 DE-BY-UBR DE-521 DE-188 DE-91 DE-BY-TUM |
| owner_facet | DE-703 DE-Aug4 DE-12 DE-739 DE-1050 DE-1047 DE-706 DE-355 DE-BY-UBR DE-521 DE-188 DE-91 DE-BY-TUM |
| physical | XII, 320 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | Zimmermann, Heinz 1958- Verfasser (DE-588)130896322 aut Global asset allocation new methods and applications- Heinz Zimmermann ; Wolfgang Drobetz ; Peter Oertmann Hoboken, NJ Wiley 2003 XII, 320 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Literaturverz. S. 287 - 299 Affectation de l'actif Investissements étrangers Mondialisation Globalisierung Asset allocation Investments, Foreign Globalization -- Economic aspects Internationaler Kapitalmarkt (DE-588)4027402-0 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfolio-Investition (DE-588)4175391-4 gnd rswk-swf Portfolio-Investition (DE-588)4175391-4 s DE-604 Portfolio Selection (DE-588)4046834-3 s Internationaler Kapitalmarkt (DE-588)4027402-0 s DE-188 Drobetz, Wolfgang Verfasser aut Oertmann, Peter Verfasser aut http://www.loc.gov/catdir/description/wiley038/2002009972.html Publisher description http://www.loc.gov/catdir/toc/wiley031/2002009972.html Table of contents Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009899072&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Zimmermann, Heinz 1958- Drobetz, Wolfgang Oertmann, Peter Global asset allocation new methods and applications- Affectation de l'actif Investissements étrangers Mondialisation Globalisierung Asset allocation Investments, Foreign Globalization -- Economic aspects Internationaler Kapitalmarkt (DE-588)4027402-0 gnd Portfolio Selection (DE-588)4046834-3 gnd Portfolio-Investition (DE-588)4175391-4 gnd |
| subject_GND | (DE-588)4027402-0 (DE-588)4046834-3 (DE-588)4175391-4 |
| title | Global asset allocation new methods and applications- |
| title_auth | Global asset allocation new methods and applications- |
| title_exact_search | Global asset allocation new methods and applications- |
| title_full | Global asset allocation new methods and applications- Heinz Zimmermann ; Wolfgang Drobetz ; Peter Oertmann |
| title_fullStr | Global asset allocation new methods and applications- Heinz Zimmermann ; Wolfgang Drobetz ; Peter Oertmann |
| title_full_unstemmed | Global asset allocation new methods and applications- Heinz Zimmermann ; Wolfgang Drobetz ; Peter Oertmann |
| title_short | Global asset allocation |
| title_sort | global asset allocation new methods and applications |
| title_sub | new methods and applications- |
| topic | Affectation de l'actif Investissements étrangers Mondialisation Globalisierung Asset allocation Investments, Foreign Globalization -- Economic aspects Internationaler Kapitalmarkt (DE-588)4027402-0 gnd Portfolio Selection (DE-588)4046834-3 gnd Portfolio-Investition (DE-588)4175391-4 gnd |
| topic_facet | Affectation de l'actif Investissements étrangers Mondialisation Globalisierung Asset allocation Investments, Foreign Globalization -- Economic aspects Internationaler Kapitalmarkt Portfolio Selection Portfolio-Investition |
| url | http://www.loc.gov/catdir/description/wiley038/2002009972.html http://www.loc.gov/catdir/toc/wiley031/2002009972.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009899072&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT zimmermannheinz globalassetallocationnewmethodsandapplications AT drobetzwolfgang globalassetallocationnewmethodsandapplications AT oertmannpeter globalassetallocationnewmethodsandapplications |