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

By Greg N. Gregoriou

This booklet is set strategic asset allocation for institutional traders. it truly is an edited sequence of papers, from revered lecturers around the globe, at the most modern advancements in portfolio administration, together with new clinical articles that support to spot new traits. those professional experiences can successfully enhance the chance and go back features of your funding portfolio.

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2005) “Art Diversification over the Business Cycle: The Case for the UK”, Working Paper, Maastricht University. Baumol, W. (1986) “Unnatural Value: or Art Investment as a Floating Crap Game”, American Economic Review, 76(2): 10–14. Benjamin, W. (1963) Das Kunstwerk im Zeitalter seiner technischen Reproduzierbarkeit, 4th edn (Frankfurt am Main: Edition Suhrkamp). Campbell, R. A. (2005) “Art as an Alternative Asset Class”, Working Paper, Maastricht University. Case, K. , Quigley, J. M. and Shiller, R.

However, Black has to impose some strong assumptions and because of the time-period sensitivity and significant variability and volatility of input parameters in the optimal hedge ratio, there is a significant dispersion in what constitutes the optimal constant hedge ratio. In contrast, the evidence of Glen and Jorion (1993), who analyze the performance of mean-variance efficient stock and bond portfolios from the G5 countries when hedging the associated currency risk with currency forwards, shows that there is a substantial improvement when using conditional time-varying hedging strategies.

To simplify notation, we write Wt+1 = Wt αTt exp (rt+1 ) = Wt Rt+1 (αt ) where Rt+1 is the portfolio’s gross return from time t to time t + 1. Using a dynamic programming approach, we can solve the optimization problem recursively. At each time step t, we have to maximize the indirect utility function J: J(W, r, s, θ, t) = max Et [Qt+1,T U(Wt+1 )] αt given the parameter set θ = {µ(s), (s), P} and with the indirect utility Qt+1,T = Et+1 [(RT (α∗T−1 ) · . . · Rt+2 (α∗t+1 ))1−γ ] QT,T = 1 where α∗T−1 , .

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