Applied asset and risk management: a guide to modern portfolio management and behavior-driven markets
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2015
|
| Series: | Management for Professionals
|
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Item Description: | Hier auch später erschienene unveränderte Nachdrucke. |
| Physical Description: | XVII, 476 S. graph. Darst. 235 mm x 155 mm |
| ISBN: | 3642554431 9783642554438 9783662525753 |
Staff View
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| 245 | 1 | 0 | |a Applied asset and risk management |b a guide to modern portfolio management and behavior-driven markets |c Marcus Schulmerich ; Yves-Michel Leporcher ; Ching-Hwa Eu |
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2015 | |
| 300 | |a XVII, 476 S. |b graph. Darst. |c 235 mm x 155 mm | ||
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| 653 | |a Behavioral Finance | ||
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Record in the Search Index
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CONTENTS
1 RISK MEASURES IN ASSET MANAGEMENT 1
1.1 INTRODUCTION 1
1.2 MEASURING INVESTMENT RETURNS 3
1.2.1 NOTATION 3
1.2.2 BASIC PERFORMANCE MEASURES 7
1.2.3 RANDOM VARIABLE AND EXPECTED VALUE 14
1.3 TRADITIONAL RISK AND RISK-ADJUSTED RETURN MEASURES 16
1.3.1 VOLATILITY 16
1.3.2 TRACKING ERROR 31
1.3.3 RELATIONSHIP OF TRACKING ERROR AND ALPHA 35
1.3.4 COVARIANCE AND CORRELATION 38
1.3.5 BETA 53
1.3.6 BULL AND BEAR MARKET BETA 58
1.3.7 SHARPE RATIO 63
1.3.8 INFORMATION RATIO 66
1.3.9 TREYNOR RATIO 69
1.4 ADVANCED RISK AND RISK-ADJUSTED RETURN MEASURES 73
1.4.1 MAXIMUM ABSOLUTE DRAWDOWN 79
1.4.2 MAXIMUM RELATIVE DRAWDOWN 83
1.4.3 SEMI-DEVIATION AND SEMI-VARIANCE 88
1.4.4 SHORTFALL PROBABILITY 90
1.4.5 SORTINO RATIO 93
1.5 PORTFOLIO RETURN AND VOLATILITY 95
1.6 SUMMARY 97
REFERENCES 97
2 MODERN PORTFOLIO THEORY AND ITS PROBLEMS 101
2.1 INTRODUCTION 101
2.2 A QUICK REVIEW OF REGRESSION ANALYSIS 102
2.2.1 SIMPLE LINEAR REGRESSION 103
2.2.2 MULTI-LINEAR AND NON-LINEAR REGRESSION 110
XIII
HTTP://D-NB.INFO/1049845366
XIV CONTENTS
2.3 THE CAPITAL ASSET PRICING MODEL (CAPM) 112
2.3.1 INTRODUCTION 112
2.3.2 ASSUMPTIONS 113
2.3.3 THE MODEL 114
2.3.4 EMPIRICAL TESTS 122
2.3.5 EVALUATION OF THE CAPM 145
2.3.6 A CRITICAL VIEW OF THE CAPM ASSUMPTIONS 155
2.4 THE FAMA-FRENCH THREE-FACTOR MODEL 158
2.4.1 INTRODUCTION 158
2.4.2 THE MODEL 158
2.4.3 THEORETICAL EXPLANATIONS OF THE FAMA-FRENCH
THREE-FACTOR MODEL 160
2.4.4 EMPIRICAL TESTS 162
2.5 SUMMARY 170
REFERENCES 170
3 STOCK MARKET ANOMALIES 175
3.1 INTRODUCTION 175
3.2 WEEKEND EFFECT 176
3.2.1 DESCRIPTION 177
3.2.2 EVIDENCE 177
3.2.3 EXPLANATIONS 179
3.2.4 PERSISTENCE 180
3.2.5 SUMMARY 181
3.3 JANUARY EFFECT 181
3.3.1 DESCRIPTION AND EVIDENCE 181
3.3.2 EXPLANATIONS 182
3.3.3 PERSISTENCE 183
3.4 TURN-OF-THE-MONTH AND HOLIDAY EFFECT 183
3.4.1 DESCRIPTION 183
3.4.2 EVIDENCE 184
3.4.3 EXPLANATIONS 185
3.4.4 PERSISTENCE 185
3.5 S&P 500 INDEX EFFECT 185
3.5.1 DESCRIPTION 186
3.5.2 EVIDENCE 187
3.5.3 EXPLANATIONS 190
3.5.4 PERSISTENCE 193
3.5.5 SUMMARY 194
3.6 TRADING BY INSIDERS 194
3.6.1 DESCRIPTION 195
3.6.2 EVIDENCE AND INSIDER BEHAVIOR 195
3.6.3 INFORMATION EFFECT 196
3.6.4 STEALTH TRADING HYPOTHESIS 197
3.6.5 NEWSPAPER AND MIMICKING 198
3.6.6 PERSISTENCE 199
CONTENTS XV
3.7 MOMENTUM OF INDUSTRY PORTFOLIOS 200
3.7.1 DESCRIPTION 200
3.7.2 EVIDENCE 201
3.7.3 EXPLANATIONS 205
3.7.4 PERSISTENCE 210
3.8 HOME BIAS AND INTERNATIONAL INVESTING 211
3.8.1 DESCRIPTION 212
3.8.2 EVIDENCE OF THE ADVANTAGES OF INTERNATIONAL INVESTING . 212
3.8.3 EXPLANATIONS 218
3.8.4 SUMMARY 222
3.9 VALUE LINE ENIGMA 223
3.9.1 DESCRIPTION OF VALUE LINE RANKING SYSTEM TIMELINESS. 223
3.9.2 EVIDENCE OF OUTPERFORMANCE 224
3.9.3 POSSIBLE EXPLANATIONS FOR ABNORMAL RETURNS 227
3.9.4 POSSIBLE EXPLANATIONS FOR IMPLEMENTATION SHORTFALL 230
3.9.5 PERSISTENCE 231
3.10 EXPIRY OF IPO LOCKUPS 232
3.10.1 DESCRIPTION 232
3.10.2 EVIDENCE 234
3.10.3 EXPLANATIONS 236
3.10.4 PERSISTENCE 238
3.11 SUMMARY 239
REFERENCES 240
4 STOCK MARKET CRASHES 245
4.1 INTRODUCTION 245
4.2 WHAT IS A CRASH? 246
4.3 BEFORE A CRASH: A BUBBLE 248
4.4 CHARACTERISTICS OF A CRASH 251
4.5 CRASHES WITH REGIONAL IMPACT 260
4.5.1 TULIP MANIA (1637) 260
4.5.2 SOUTH SEA BUBBLE (1720) 262
4.5.3 RAILWAY MANIA (1846) 264
4.5.4 SOUK AL-MANAKH (1982) 266
4.5.5 DUBAI REAL ESTATE BUBBLE (2009) 270
4.5.6 GREEK CRISIS (2010) 277
4.5.7 FLASH CRASH OF MAY 6, 2010 285
4.5.8 CONCLUSION 291
4.6 INTERNATIONAL CRASHES 291
4.6.1 THE GREAT WALL STREET CRASH (1929) 292
4.6.2 THE ASIAN FINANCIAL CRISIS (1997) 295
4.6.3 THE RUSSIAN FINANCIAL CRISIS (1998) 304
4.6.4 DOTCOM BUBBLE (2001) 311
4.6.5 SUBPRIME CRISIS (2007) 319
4.6.6 CONCLUSION 331
XVI CONTENTS
4.7 FORECASTING A BUBBLE: A CASE STUDY 332
4.7.1 HOW TO SPOT A BUBBLE? 332
4.7.2 CHINA: A STOCK EXCHANGE AND REAL ESTATE CASE 333
4.8 SUMMARY 343
REFERENCES 344
5 EXPLAINING STOCK MARKET CRASHES: A BEHAVIORAL FINANCE
APPROACH 355
5.1 INTRODUCTION 355
5.2 WHAT IS BEHAVIORAL FINANCE? 358
5.2.1 A SHORT INTRODUCTION TO BEHAVIORAL FINANCE 359
5.2.2 HISTORICAL OVERVIEW 362
5.3 BEHAVIORAL BIASES AND STOCK MARKET CRASHES 372
5.3.1 AVAILABILITY BIAS 373
5.3.2 REPRESENTATIVENESS BIAS 376
5.3.3 HERDING BIAS 381
5.3.4 OVEROPTIMISM BIAS 383
5.3.5 OVERCONFIDENCE BIAS 386
5.3.6 ANCHORING BIAS 392
5.3.7 PROSPECT THEORY 398
5.4 THE POSITIVE FEEDBACK TRADING THEORY 402
5.4.1 A CASE STUDY 403
5.4.2 THE POSITIVE FEEDBACK TRADING MODEL 404
5.5 SUMMARY 410
REFERENCES 411
6 INVESTOR RISK PERCEPTIONS AND INVESTMENTS: RECENT DEVELOPMENTS .
415
6.1 INTRODUCTION 415
6.2 A GENERAL OVERVIEW 417
6.2.1 FREQUENCY OF FINANCIAL SHOCK EVENTS
AND THE AWARENESS OF INVESTORS 417
6.2.2 EXPECTATIONS OF TAIL RISK EVENTS 420
6.2.3 CHANGE DRIVERS IN RISK STRATEGY 422
6.3 GERMANY AND AUSTRIA 426
6.3.1 INSTITUTIONAL ASSET OWNERS 429
6.3.2 THIRD PARTY DISTRIBUTION 432
6.4 SWITZERLAND 434
6.4.1 INSTITUTIONAL ASSET OWNERS 434
6.4.2 THIRD PARTY DISTRIBUTION 436
6.5 UNITED KINGDOM 436
6.5.1 INSTITUTIONAL ASSET OWNERS 437
6.5.2 THIRD PARTY DISTRIBUTION 439
6.6 IRELAND 441
6.6.1 INSTITUTIONAL ASSET OWNERS 441
6.6.2 THIRD PARTY DISTRIBUTION 442
CONTENTS XVII
6.7 ITALY 442
6.7.1 INSTITUTIONAL ASSET OWNERS 442
6.7.2 THIRD PARTY DISTRIBUTION 444
6.8 NORDIC REGION 444
6.8.1 INSTITUTIONAL ASSET OWNERS 444
6.8.2 THIRD PARTY DISTRIBUTION 446
6.9 BENELUX REGION 447
6.9.1 INSTITUTIONAL ASSET OWNERS 448
6.9.2 THIRD PARTY DISTRIBUTION 449
6.10 FRANCE 450
6.10.1 INSTITUTIONAL ASSET OWNERS 450
6.10.2 THIRD PARTY DISTRIBUTION 452
6.11 MIDDLE EAST AND NORTH AFRICA 453
6.11.1 INSTITUTIONAL ASSET OWNERS 453
6.11.2 THIRD PARTY DISTRIBUTION 455
6.12 CENTRAL BANKS 456
6.12.1 BEFORE THE CRISIS 456
6.12.2 DURING THE CRISIS 457
6.12.3 THE YEARS DIRECTLY AFTER THE CRISIS 458
6.12.4 EARLY 2014 460
6.13 SUMMARY 460
REFERENCES 462
ABOUT THE AUTHORS 463
INDEX 465 |
| any_adam_object | 1 |
| author | Schulmerich, Marcus Leporcher, Yves-Michel Eu, Ching-Hwa |
| author_GND | (DE-588)1061219313 (DE-588)1061219917 (DE-588)1061220389 |
| author_facet | Schulmerich, Marcus Leporcher, Yves-Michel Eu, Ching-Hwa |
| author_role | aut aut aut |
| author_sort | Schulmerich, Marcus |
| author_variant | m s ms y m l yml c h e che |
| building | Verbundindex |
| bvnumber | BV042054622 |
| classification_rvk | QK 810 |
| ctrlnum | (OCoLC)878167333 (DE-599)DNB1049845366 |
| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV042054622 |
| illustrated | Illustrated |
| indexdate | 2024-09-10T01:23:18Z |
| institution | BVB |
| isbn | 3642554431 9783642554438 9783662525753 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027495637 |
| oclc_num | 878167333 |
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| physical | XVII, 476 S. graph. Darst. 235 mm x 155 mm |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | Springer |
| record_format | marc |
| series2 | Management for Professionals |
| spelling | Schulmerich, Marcus Verfasser (DE-588)1061219313 aut Applied asset and risk management a guide to modern portfolio management and behavior-driven markets Marcus Schulmerich ; Yves-Michel Leporcher ; Ching-Hwa Eu Berlin [u.a.] Springer 2015 XVII, 476 S. graph. Darst. 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Management for Professionals Hier auch später erschienene unveränderte Nachdrucke. Anlageverhalten (DE-588)4214003-1 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Risk Management Portfolio Management Behavioral Finance Stock Market Crashes Stock Market Anomalies Aktienmarkt (DE-588)4130931-5 s Anlageverhalten (DE-588)4214003-1 s Portfolio Selection (DE-588)4046834-3 s Risikomanagement (DE-588)4121590-4 s DE-604 Leporcher, Yves-Michel Verfasser (DE-588)1061219917 aut Eu, Ching-Hwa Verfasser (DE-588)1061220389 aut Erscheint auch als Online-Ausgabe 978-3-642-55444-5 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=4632889&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027495637&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schulmerich, Marcus Leporcher, Yves-Michel Eu, Ching-Hwa Applied asset and risk management a guide to modern portfolio management and behavior-driven markets Anlageverhalten (DE-588)4214003-1 gnd Aktienmarkt (DE-588)4130931-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4214003-1 (DE-588)4130931-5 (DE-588)4046834-3 (DE-588)4121590-4 |
| title | Applied asset and risk management a guide to modern portfolio management and behavior-driven markets |
| title_auth | Applied asset and risk management a guide to modern portfolio management and behavior-driven markets |
| title_exact_search | Applied asset and risk management a guide to modern portfolio management and behavior-driven markets |
| title_full | Applied asset and risk management a guide to modern portfolio management and behavior-driven markets Marcus Schulmerich ; Yves-Michel Leporcher ; Ching-Hwa Eu |
| title_fullStr | Applied asset and risk management a guide to modern portfolio management and behavior-driven markets Marcus Schulmerich ; Yves-Michel Leporcher ; Ching-Hwa Eu |
| title_full_unstemmed | Applied asset and risk management a guide to modern portfolio management and behavior-driven markets Marcus Schulmerich ; Yves-Michel Leporcher ; Ching-Hwa Eu |
| title_short | Applied asset and risk management |
| title_sort | applied asset and risk management a guide to modern portfolio management and behavior driven markets |
| title_sub | a guide to modern portfolio management and behavior-driven markets |
| topic | Anlageverhalten (DE-588)4214003-1 gnd Aktienmarkt (DE-588)4130931-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Anlageverhalten Aktienmarkt Portfolio Selection Risikomanagement |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=4632889&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027495637&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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