Wolfgang Drobetz – författare

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5 produkter

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5 produkter

Asset Management and International Capital Markets
AvWolfgang Bessler,Wolfgang Drobetzm. fl.
Häftad, Engelska, 2024
643 kr
Skickas inom 10-15 vardagar
This innovative volume comprises a selection of original research articles offering a broad perspective on various dimensions of asset management in an international capital market environment. The topics covered include risk management and asset pricing models for portfolio management, performance evaluation and performance measurement of equity mutual funds as well as the wide range of bond portfolio management issues.Asset Management and International Capital Markets offers interesting new insights into state-of-the-art asset pricing and asset management research with a focus on international issues. Each chapter makes a valuable contribution to current research and literature, and will be of significant importance to the practice of asset management. This book is a compilation of articles originally published in The European Journal of Finance.
Asset Management and International Capital Markets
AvChris Adcock,Wolfgang Drobetzm. fl.
E-bok
Engelska, 2013
750 kr
Läs direkt efter köp
This innovative volume comprises a selection of original research articles offering a broad perspective on various dimensions of asset management in an international capital market environment. The topics covered include risk management and asset pricing models for portfolio management, performance evaluation and performance measurement of equity mutual funds as well as the wide range of bond portfolio management issues.
Asset Management and International Capital Markets offers interesting new insights into state-of-the-art asset pricing and asset management research with a focus on international issues. Each chapter makes a valuable contribution to current research and literature, and will be of significant importance to the practice of asset management.
This book is a compilation of articles originally published in The European Journal of Finance.
Asset Management and International Capital Markets
AvChris Adcock,Wolfgang Drobetzm. fl.
E-bok
PDF, Engelska, 2013
743 kr
Läs direkt efter köp
This innovative volume comprises a selection of original research articles offering a broad perspective on various dimensions of asset management in an international capital market environment. The topics covered include risk management and asset pricing models for portfolio management, performance evaluation and performance measurement of equity mutual funds as well as the wide range of bond portfolio management issues.
Asset Management and International Capital Markets offers interesting new insights into state-of-the-art asset pricing and asset management research with a focus on international issues. Each chapter makes a valuable contribution to current research and literature, and will be of significant importance to the practice of asset management.
This book is a compilation of articles originally published in The European Journal of Finance.
Global Stock Markets
Expected returns, consumption, and the business cycle
AvWolfgang Drobetz
E-bok
PDF, Engelska, 2013
739 kr
Läs direkt efter köp
"While the state-preference approach is perhaps more general than the mean variance approach and provides an elegant framework for investigating theo retical issues, it is unfortunately difficult to give it empirical content. " I The state of the art in asset pricing has substantially changed over the past years. While the seminal CAPM represents an equilibrium model derived under rather restrictive assumptions on preferences or return distributions and places a lot of emphasis on the efficiency of a somehow arbitrary market portfolio, subsequent models were much less restrictive with respect to the underlying economic struc ture. For example, the arbitrage pricing theory maintains the linear relationship between risk and return simply by assuming the absence of arbitrage profits. While empirically more tractable than the CAPM, the main drawback of arbitrage pricing models is that they do not provide much insight into the economic and dynamic nature of risk premia. The "conditional" CAPM provides an elegant econometric framework to characterize how changing economic conditions de termine the variability of multiple risk premia. However, this framework still re quires some rather ad-hoc assumptions about the economic nature of the pricing kernel. An ingenious next step in asset pricing modeling was therefore to revert the question to be addressed. Instead of placing strong restrictions on distribu tions and preferences, observed returns are used to derive restrictions which must be imposed on the stochastic properties of the pricing kernel. A simple Euler-type equation is typically used to characterize that approach.
Global Stock Markets
Expected returns, consumption, and the business cycle
AvWolfgang Drobetz
Häftad, Engelska, 2000
573 kr
Skickas inom 10-15 vardagar
"While the state-preference approach is perhaps more general than the mean variance approach and provides an elegant framework for investigating theo retical issues, it is unfortunately difficult to give it empirical content. " I The state of the art in asset pricing has substantially changed over the past years. While the seminal CAPM represents an equilibrium model derived under rather restrictive assumptions on preferences or return distributions and places a lot of emphasis on the efficiency of a somehow arbitrary market portfolio, subsequent models were much less restrictive with respect to the underlying economic struc ture. For example, the arbitrage pricing theory maintains the linear relationship between risk and return simply by assuming the absence of arbitrage profits. While empirically more tractable than the CAPM, the main drawback of arbitrage pricing models is that they do not provide much insight into the economic and dynamic nature of risk premia. The "conditional" CAPM provides an elegant econometric framework to characterize how changing economic conditions de termine the variability of multiple risk premia. However, this framework still re quires some rather ad-hoc assumptions about the economic nature of the pricing kernel. An ingenious next step in asset pricing modeling was therefore to revert the question to be addressed. Instead of placing strong restrictions on distribu tions and preferences, observed returns are used to derive restrictions which must be imposed on the stochastic properties of the pricing kernel. A simple Euler-type equation is typically used to characterize that approach.

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Wolfgang Drobetz – författare

Asset Management and International Capital Markets

Asset Management and International Capital Markets

Asset Management and International Capital Markets

Global Stock Markets

Global Stock Markets

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