Download Asset Allocation and International Investments (Finance and by Greg N. Gregoriou PDF

By Greg N. Gregoriou

ISBN-10: 023001917X

ISBN-13: 9780230019171

This publication is set strategic asset allocation for institutional traders. it really is an edited sequence of papers, from revered teachers around the globe, at the most up-to-date advancements in portfolio administration, together with new medical articles that aid to spot new tendencies. those specialist experiences can successfully increase the chance and go back features of your funding portfolio.

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Extra info for Asset Allocation and International Investments (Finance and Capital Markets)

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1989), Garcia and Perron (1996), Gray (1996), Perez-Quiros and Timmermann (2000), Whitelaw (2000), Ang and Bekaert (2002a, 2002b), Ang and Chen (2002), Connolly, Stivers and Sun (2005) and Guidolin and Timmermann (2005a, 2006) report evidence of regimes in stock or bond returns. Therefore, in our study, we analyze the impact of such regime-switching models on optimal currency hedging. Closely related to our study are the works by Ang and Bekaert (2002a) and Guidolin and Timmermann (2005a). Both papers make use of regimeswitching models.

Although the results presented here are preliminary in nature, they provide an extremely innovative and interesting avenue for further research into the notion of bubbles in financial markets. The use of the art market, which represents a market in which deviations from fundamental values are much more likely, provides a particularly interesting market with which to observe such measures. There are many further areas that may need to be addressed before any definite conclusions can be drawn. For example, the use of this measure on alternative asset classes in which bubbles have been observed.

The investment horizon T is fixed. The investor has the possibility of rebalancing the asset allocation at the beginning of every period; for example, at times t = 0, . , T − 1. There are no transaction costs. MARKUS LEIPPOLD AND FELIX MORGER 19 We further assume that the investor has a CRRA utility function defined over wealth, for example U(W) = 1 W 1−γ 1−γ where we assume γ > 1 for the relative risk aversion coefficient. We start with the situation in which the investor has perfect knowledge of the active state.

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