Download PDF by Cheng-Few Lee: Advances in Investment Analysis and Portfolio Management,

By Cheng-Few Lee

ISBN-10: 008054505X

ISBN-13: 9780080545059

ISBN-10: 0762308877

ISBN-13: 9780762308873

Twelve papers specialise in funding research, portfolio thought, and their implementation in portfolio administration

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Extra info for Advances in Investment Analysis and Portfolio Management, Volume 9 (Advances in Investment Analysis and Portfolio Management)

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Econometrika, 34 (October), 768–783. Pang, J. S. (1980). A New and Efficient Algorithm for a Class of Portfolio Selection Problem. Operation Research, 28, 754–767. A Note on the Markowitz Risk Minimization 29 Ross, S. A. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13, 341–360. Schrange, L. (1986). ). Palo Alto, CA: The Scientific Press. Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium Under Condition of Risk. Journal of Finance, (September), 425–442.

Applied Financial Economics, forthcoming. Myers, R. , & Thompson, S. R. (1989). Generalized Optimal Hedge Ratio Estimation. American Journal of Agricultural Economics, 71, 858–868. Optimal Hedge Ratios and Temporal Aggregation of Cointegrated Systems 39 APPENDIX A By definition, d(n) = [(1 + ␣)n Ϫ 1]/n␣. To compare d(n) with d(n + 1), consider the following: (1 + ␣)n + 1 Ϫ 1 (1 + ␣)n Ϫ 1 (1 + ␣)n(n␣ Ϫ 1) + 1 Ϫ = . n+1 n n(n + 1) (A1) d [(1 + ␣)n(n␣ Ϫ 1)] = n(n + 1)␣(1 + ␣)n Ϫ 1, d␣ (A2) Note that which is negative whenever Ϫ 1 < ␣ < 0.

Abnormal returns of managed funds are interpreted as reflecting managers’ superior ability to outperform the market. Fama (1972) indicated that there are two ways to achieve such abnormal returns; they are superior security selection ability and superior market timing ability. Selection ability is the ability of funds managers to identify the potential winning securities. Market timing ability is the ability of funds managers to time market cycles and react accordingly; that is, portfolio managers increase the relative volatility of their portfolios in anticipation of a bull market and reduce its volatility prior to a bear market.

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Advances in Investment Analysis and Portfolio Management, Volume 9 (Advances in Investment Analysis and Portfolio Management) by Cheng-Few Lee

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