How did different investment strategies perform when applied to an international portfolio?:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Lahr
WHL
2010
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| Schriftenreihe: | WHL, Wissenschaftliche Hochschule Lahr Diskussionspapier
28 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturangaben |
| Beschreibung: | 23 Bl. graph. Darst. 30 cm |
Internformat
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Datensatz im Suchindex
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| adam_text | Titel: How did different investment strategies perform when applied to an international portfolio?
Autor: Wörtche, Gerhard
Jahr: 2010
an International Portfolio?
Gerhard Wörtche and Tristan Nguyen
Table of Contents
Abstract...............................................................................................................................................1
Key words:..........................................................................................................................................1
1 Introduction...................................................................................................................................2
2 Literature and Data.......................................................................................................................2
2.1 Literature Overview...............................................................................................................2
2.2 Data........................................................................................................................................3
3 Applied Methodology....................................................................................................................4
3.1 Risk, Return and Correlation.................................................................................................4
3.2 Portfolio Strategies.................................................................................................................5
3.2.1 Equally Weighted Portfolio...............................................................................................6
3.2.2 Minimum Variance Portfolio.............................................................................................6
3.2.3 Certainty Equivalence Tangency Portfolio........................................................................6
3.2.4 James Stein Estimator........................................................................................................7
3.2.5 Black Litterman Model......................................................................................................8
4 Empirical Results..........................................................................................................................9
4-1 Risk, Return and Correlation.................................................................................................9
4-2 Strategy Performances.........................................................................................................10
4.2.1 EQW, MVP and CET......................................................................................................10
4.2.2 James Stein Estimator......................................................................................................
4.2.3 Black Litterman Model....................................................................................................18
4-3 Constraints of the observed Magnitudes..............................................................................
5 Conclusion....................................................................................................................................21
References........ .......................................................................................22
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| discipline | Wirtschaftswissenschaften |
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| illustrated | Illustrated |
| indexdate | 2024-07-10T00:39:45Z |
| institution | BVB |
| language | English |
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| physical | 23 Bl. graph. Darst. 30 cm |
| publishDate | 2010 |
| publishDateSearch | 2010 |
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| publisher | WHL |
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| series | WHL, Wissenschaftliche Hochschule Lahr Diskussionspapier |
| series2 | Diskussionspapier / WHL, Wissenschaftliche Hochschule Lahr |
| spelling | Wörtche, Gerhard Verfasser (DE-588)141495154 aut How did different investment strategies perform when applied to an international portfolio? Gerhard Wörtche and Tristan Nguyen Lahr WHL 2010 23 Bl. graph. Darst. 30 cm txt rdacontent n rdamedia nc rdacarrier Diskussionspapier / WHL, Wissenschaftliche Hochschule Lahr 28 Literaturangaben Portfolio Investment Kreditinstitut Nguyen, Tristan 1969- Verfasser (DE-588)122100867 aut WHL, Wissenschaftliche Hochschule Lahr Diskussionspapier 28 (DE-604)BV020840975 28 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026082291&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wörtche, Gerhard Nguyen, Tristan 1969- How did different investment strategies perform when applied to an international portfolio? WHL, Wissenschaftliche Hochschule Lahr Diskussionspapier |
| title | How did different investment strategies perform when applied to an international portfolio? |
| title_auth | How did different investment strategies perform when applied to an international portfolio? |
| title_exact_search | How did different investment strategies perform when applied to an international portfolio? |
| title_full | How did different investment strategies perform when applied to an international portfolio? Gerhard Wörtche and Tristan Nguyen |
| title_fullStr | How did different investment strategies perform when applied to an international portfolio? Gerhard Wörtche and Tristan Nguyen |
| title_full_unstemmed | How did different investment strategies perform when applied to an international portfolio? Gerhard Wörtche and Tristan Nguyen |
| title_short | How did different investment strategies perform when applied to an international portfolio? |
| title_sort | how did different investment strategies perform when applied to an international portfolio |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026082291&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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