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eISBN : 9780230626515

Sommaire : Acknowledgments
Notes on the Contributors
Introduction
1 Time-Varying Downside Risk: An Application to the Art Market
1.1 Introduction
1.2 Art as an investment
1.3 Previous empirical studies
1.4 Empirical analysis
1.5 Data
1.6 Methodology
1.7 Results
1.8 Discussion
1.9 Conclusion
2 International Stock Portfolios and Optimal Currency Hedging with Regime Switching
2.1 Introduction
2.2 The model
2.3 Estimation results
2.4 Discussion
2.5 Conclusion
3 The Determinants of Domestic and Foreign Biases: An Empirical Study
3.1 Introduction
3.2 Theoretical framework of domestic and foreign biases
3.3 Data and preliminary statistics
3.4 The determinants of domestic and foreign biases
3.5 The empirical analysis
3.6 Additional tests
3.7 Conclusion
4 The Critical Line Algorithm for UPM–LPM Parametric General Asset Allocation Problem with Allocation Boundaries and Linear Constraints
4.1 Introduction
4.2 The upside potential–downside risk portfolio model
4.3 An empirical example
4.4 Conclusion
5 Currency Crises, Contagion and Portfolio Selection
5.1 Introduction
5.2 Stock market average rates of return and average volatility
5.3 Stock market correlations
5.4 Portfolio performance
5.5 Conclusion
6 Bond and Stock Market Linkages: The Case of Mexico and Brazil
6.1 Introduction
6.2 The estimation equations and data
6.3 Results
6.4 Conclusion
7 The Australian Stock Market: An Empirical Investigation
7.1 Introduction
7.2 Existing evidence
7.3 Hypothesis
7.4 The data
7.5 Data analysis and results
7.6 Conclusion
8 The Price of Efficiency – So, What Do You Think About Emerging Markets?
8.1 Introduction
8.2 Higher moment performance analysis – the theory
8.3 The efficiency gain/loss methodology
8.4 Testing results
8.5 Conclusion
9 Liquidity and Market Efficiency Before and After the Introduction of Electronic Trading at the Sydney Futures Exchange
9.1 Introduction
9.2 Review of the literature
9.3 Options data volume as a proxy for liquidity
9.4 Sample design
9.5 Analysis of results
9.6 Conclusion
10 How Does Systematic Risk Impact Stocks? A Study of the French Financial Market
10.1 Introduction
10.2 Theoretical framework
10.3 Empirical study
10.4 The impact of systematic risk
10.5 Further investigation
10.6 Market benchmark comparison
10.7 Conclusion
11 Matrix Elliptical Contoured Distributions versus a Stable Model: Application to Daily Stock Returns of Eight Stock Markets
11.1 Introduction
11.2 Small sample tests
11.3 Analysis of the power functions
11.4 Empirical study
11.5 Conclusion
12 The Modified Sharpe Ratio Applied to Canadian Hedge Funds
12.1 Introduction
12.2 Literature review
12.3 Data and methodology
12.4 Empirical results
12.5 Conclusion
Index

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque