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9780471445555

Global Asset Allocation: New Methods and Applications

by ; ;
  • ISBN13:

    9780471445555

  • ISBN10:

    047144555X

  • Format: eBook
  • Copyright: 2003-02-01
  • Publisher: Wiley
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Summary

Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.

Author Biography

Heinz Zimmermann is a professor of finance at the Universitat Basel, Switzerland, and heads the department of finance at the Wirtschaftswissenschaftliches Zentrum. He also holds the Chair in international corporate finance at the WHU Koblenz, Germany, as a visiting professor Wolfgang Drobetz is an assistant professor of finance at the Universitat Basel, Switzerland. He is also a lecturer of finance at the Universitat St. Gallen, Switzerland, and the Otto Beisheim Graduate School of Management (WHU), Germany Peter Oertmann is the managing director and CEO of Vescore Solutions, St. Gallen, Switzerland. He is also a lecturer at the Universitat St. Gallen, Switzerland

Table of Contents

Chapter 1- The Global Economy and Investment Management.
Chapter 2- International Asset Pricing, Portfolio Selection, and Currency Hedging: An Overview.
Chapter 3- The Anatomy of Volatility and Stock Market Correlations.
Chapter 4- The Correlation Breakdown in International Stock Markets.
Chapter 5- Global Economic Risk Profiles: Analyzing Value and Volatility Drivers in Global Markets.
Chapter 6- Testing Market Integration: The Case of Switzerland and Germany.
Chapter 7- Emerging Market Investments: Myth or Reality?
Chapter 8- The Structure of Sector and Market Returns: Implications for International Diversification.
Chapter 9- The Value-Growth Enigma: Time-Varying Risk Premiums and Active Portfolio Strategies.
Chapter 10- Integrating Tactical and Equilibrium Portfolio Management: Putting the Black-Litterman Model at Work.
Bibliography.
Notes.
Index.

Supplemental Materials

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