Global Asset Allocation : New Methods and Applications

by Zimmermann, Heinz; Drobetz, Wolfgang; Oertmann, Peter

• ISBN13: 9780471264262
• ISBN10: 0471264261
• Format: Hardcover
• Copyright: 2002-11-22
• Publisher: Wiley

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

<b>HEINZ ZIMMERMANN</b> is a professor of finance at the UniversitSt 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. Zimmermann received his doctorate at the UniversitSt Bern, Switzerland, and became a professor at the UniversitSt St. Gallen in 1989. He is managing editor of the Journal of Financial Markets and Portfolio Management. He has been awarded with the Latsis Prize (1989), the Award for Financial Innovation (1992), and the Graham and Dodd Award for Excellence in financial writing (1993). <p> <b>WOLFGANG DROBETZ</b> is an assistant professor of finance at the UniversitSt Basel, Switzerland. He is also a lecturer of finance at the UniversitSt St. Gallen, Switzerland, and the Otto Beisheim Graduate School of Management (WHU), Germany. Drobetz was head of research at Vescore Solutions, St. Gallen. He holds a doctorate from the UniversitSt St. Gallen, a diploma in commerce from the WirtschaftsuniversitSt Wien, Austria, and an MA in economics from the University of Virginia. <p> <b>PETER OERTMANN</b> is the managing director and CEO of Vescore Solutions, St. Gallen, Switzerland. He is also a lecturer at the UniversitSt St. Gallen, Switzerland, where he earned his doctorate in 1997. Oertmann holds a diploma in quantitative management from the UniversitSt Bielefeld, Germany, and a masters in finance from the University of Georgia.

Table of Contents

Foreword

Chapter 1- The global economy and investment management 1

Chapter 2- International asset pricing, portfolio selection, and currency hedging: An overview 9

Chapter 3- The anatomy of volatility and stock market correlations 62

Chapter 4- The correlation breakdown in international stock markets 100

Chapter 5- Global Economic Risk Profiles: Analyzing Value and Volatility drivers in global markets 131

Chapter 6- Testing market integration: The case of Switzerland and Germany 160

Chapter 7- Emerging market investments: Myth or reality? 194

Chapter 8- The structure of sector and markets returns: Implications 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 278