Asset pricing implications of delegated portfolio management and benchmarking:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Göttingen
Cuvillier
2010
|
| Ausgabe: | 1. Aufl. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 191 S. Ill., graph. Darst. 21 cm |
| ISBN: | 9783869553351 |
Internformat
MARC
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| 245 | 1 | 0 | |a Asset pricing implications of delegated portfolio management and benchmarking |c presented by Philippe Rohner |
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| 264 | 1 | |a Göttingen |b Cuvillier |c 2010 | |
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Datensatz im Suchindex
| _version_ | 1804152131004923904 |
|---|---|
| adam_text | IMAGE 1
CONTENTS
1 INTRODUCTION 1
2 ASSET ALLOCATION WITH BENCHMARK 9
2.1 MEAN-VARIANCE ANALYSIS 10
2.1.1 BASICS OF UTILITY THEORY 11
2.1.2 NOTION OF A PORTFOLIO 12
2.1.3 THE MARKOWITZ PARADIGM 13
2.1.4 INCLUSION OF A RISK-FREE ASSET 16
2.2 RELATIVE RETURN ANALYSIS 18
2.2.1 MEAN-TRACKING ERROR CRITERION 19
2.2.2 BETA CONSTRAINTS 22
2.3 REGRET AVERSION 27
2.3.1 UTILITY UNDER REGRET 28
2.3.2 MEAN-VARIANCE-COVARIANCE CRITERION 29
2.4 CHAPTER SUMMARY 31
3 MODELING INFORMATION CHOICE 33
3.1 BASIC SETUP 35
3.2 THE CONCEPT OF INFORMATION CAPACITY 36
3.2.1 LINEAR INFORMATION TECHNOLOGY 37
3.2.2 ENTROPY INFORMATION TECHNOLOGY 38
3.2.3 COSTLY INFORMATION CAPACITY 40
3.3 PORTFOLIO PROBLEM WITH ACTIVE LEARNING 41
3.3.1 LIMITED INFORMATION CAPACITY 42
3.3.2 COSTLY INFORMATION CAPACITY 48
3.4 EXTENSION TO CORRELATED ASSETS 51
3.4.1 CORRELATION STRUCTURE OF ASSETS 53
3.4.2 OPTIMAL INFORMATION CHOICE 55
3.4.3 NUMERICAL ILLUSTRATION 56
3.5 CHAPTER SUMMARY 61
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1003668453
DIGITALISIERT DURCH
IMAGE 2
CONTENTS
A MODE] OF DELEGATED PORTFOLIO MANAGEMENT 63
4.1 THE MODEL 64
4.1.1 DESCRIPTION OF THE MODEL 65
4.1.2 APPROACH 68
4.2 PARTIAL EQUILIBRIUM ANALYSIS 71
4.2.1 DIRECT INVESTMENT 71
4.2.2 DELEGATED INVESTMENT 73
4.2.3 DELEGATION WITH BENCHMARKING 75
4.2.4 INFORMATION CHOICE 80
4.2.5 PORTFOLIO IMPLICATIONS 82
4.3 GENERAL EQUILIBRIUM ANALYSIS 84
4.3.1 SETTING 84
4.3.2 EQUILIBRIUM AT THE TRADING STAGE 86
4.3.3 THE CROSS-SECTION OF RETURNS 91
4.3.4 EQUILIBRIUM AT THE DELEGATION STAGE 95
4.3.5 OPTIMAL FRACTION OF DELEGATION 98
4.3.6 EQUILIBRIUM AT THE INFORMATION ACQUISITION STAGE 102 4.4 ANALYSIS
OF EQUILIBRIUM 107
4.5 CHAPTER SUMMARY 114
EMPIRICAL EVIDENCE 117
5.1 HYPOTHESIS 117
5.1.1 INSTITUTIONAL OWNERSHIP 118
5.1.2 THE BENCHMARK PREMIUM 119
5.2 DATA AND METHODOLOGY 120
5.2.1 U.S. STOCK MARKET DATA 121
5.2.2 INSTITUTIONAL OWNERSHIP DATA 122
5.3 PORTFOLIO RETURN ANALYSIS 127
5.3.1 IMPLICATION OF INSTITUTIONAL OWNERSHIP 127
5.3.2 IMPLICATION OF BENCHMARKING 130
5.4 FAMA-MACBETH REGRESSIONS 132
5.4.1 APPROACH 135
5.4.2 RESULTS 139
5.4.3 ROBUSTNESS OF RESULTS 142
5.4.4 ALTERNATIVE BENCHMARK SPECIFICATIONS 145
5.5 ASSET PRICING TESTS 154
5.5.1 FACTOR CORRELATIONS 156
5.5.2 S&P 500 AS BENCHMARK 158
5.5.3 RUSSELL INDICES AS BENCHMARK 159
5.5.4 ROBUSTNESS OF ASSET PRICING RESULTS 161
5.6 CHAPTER SUMMARY 161
IMAGE 3
CONTENTS
6 CONCLUSION 165
6.1 SUMMARY 165
6.2 CRITIQUE AND FURTHER RESEARCH 168
A ROBUSTNESS OF PORTFOLIO SORTS 171
B ROBUSTNESS OF ASSET PRICING RESULTS 177
BIBLIOGRAPHY 185
|
| any_adam_object | 1 |
| author | Rohner, Philippe 1979- |
| author_GND | (DE-588)141686553 |
| author_facet | Rohner, Philippe 1979- |
| author_role | aut |
| author_sort | Rohner, Philippe 1979- |
| author_variant | p r pr |
| building | Verbundindex |
| bvnumber | BV041807369 |
| classification_rvk | QK 800 |
| ctrlnum | (OCoLC)699804910 (DE-599)DNB1003668453 |
| dewey-full | 332.60973 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.60973 |
| dewey-search | 332.60973 |
| dewey-sort | 3332.60973 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. Aufl. |
| format | Thesis Book |
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| isbn | 9783869553351 |
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| spelling | Rohner, Philippe 1979- Verfasser (DE-588)141686553 aut Asset pricing implications of delegated portfolio management and benchmarking presented by Philippe Rohner 1. Aufl. Göttingen Cuvillier 2010 X, 191 S. Ill., graph. Darst. 21 cm txt rdacontent n rdamedia nc rdacarrier Zugl.: Zürich, Univ., Diss., 2010 Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Benchmarking (DE-588)4329573-3 gnd rswk-swf Anlageverhalten (DE-588)4214003-1 gnd rswk-swf Institutioneller Anleger (DE-588)4252195-6 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf USA (DE-588)4078704-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content USA (DE-588)4078704-7 g Institutioneller Anleger (DE-588)4252195-6 s Portfoliomanagement (DE-588)4115601-8 s Anlageverhalten (DE-588)4214003-1 s Benchmarking (DE-588)4329573-3 s Kapitalmarkttheorie (DE-588)4137411-3 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027252796&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Rohner, Philippe 1979- Asset pricing implications of delegated portfolio management and benchmarking Kapitalmarkttheorie (DE-588)4137411-3 gnd Benchmarking (DE-588)4329573-3 gnd Anlageverhalten (DE-588)4214003-1 gnd Institutioneller Anleger (DE-588)4252195-6 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
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| title | Asset pricing implications of delegated portfolio management and benchmarking |
| title_auth | Asset pricing implications of delegated portfolio management and benchmarking |
| title_exact_search | Asset pricing implications of delegated portfolio management and benchmarking |
| title_full | Asset pricing implications of delegated portfolio management and benchmarking presented by Philippe Rohner |
| title_fullStr | Asset pricing implications of delegated portfolio management and benchmarking presented by Philippe Rohner |
| title_full_unstemmed | Asset pricing implications of delegated portfolio management and benchmarking presented by Philippe Rohner |
| title_short | Asset pricing implications of delegated portfolio management and benchmarking |
| title_sort | asset pricing implications of delegated portfolio management and benchmarking |
| topic | Kapitalmarkttheorie (DE-588)4137411-3 gnd Benchmarking (DE-588)4329573-3 gnd Anlageverhalten (DE-588)4214003-1 gnd Institutioneller Anleger (DE-588)4252195-6 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Kapitalmarkttheorie Benchmarking Anlageverhalten Institutioneller Anleger Portfoliomanagement USA Hochschulschrift |
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