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Global Portfolio Diversification – Risk Management, Market Microstructure, and Implementation Issues de Raj Aggarwal

Global Portfolio Diversification – Risk Management, Market Microstructure, and Implementation Issues: Economic Theory, Econometrics, and Mathematical Economics

Autor Raj Aggarwal, David C. Schirm
en Limba Engleză Hardback – 4 dec 1994
Global Portfolio Diversification synthesizes principal debates between analysts and academics. Covering subjects such as risk management, diversification and hedging strategies, deviations from market efficiency, and exchange rates, the book includes case studies, research, and commentary by the editors. Essayists include two past presidents of the American Finance Association and the current editors of the Journal of Finance and Economic Inquiry, as well as senior market regulators, financial managers, and representatives of international securities exchanges.

Key Features
* Deals with increased interest in the globalization of financial markets
* Covers managing and hedging risks
* Analyzes microstructures and analyses
* Shows how to implement portfolio diversification
* Prepared by an international team of leading financial academics and portfolio managers
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Specificații

ISBN-13: 9780120445004
ISBN-10: 012044500X
Pagini: 302
Dimensiuni: 152 x 229 x 559 mm
Greutate: 0.66 kg
Editura: Emerald Publishing
Seria Economic Theory, Econometrics, and Mathematical Economics

Public țintă

University professors in finance and investments; pension fund managers; investment bank research departments to mutual funds; bank trust.

Cuprins

R. Aggarwal and D.C. Schirm, Issues in Global Portfolio Diversification: An Introduction.
Part One: Managing Risk in International Portfolios:
R.T. Baillie and T. Bollerslev, On the Interdependence of International Asset Markets.
R.J. Sweeney, Foreign Exchange Risk in International Portfolios.
F. Ibrahimi, L. Oxelheim, and C. Wihlborg, International Stock Markets and Fluctuations in Exchange Rates and Other Macroeconomic Variables.
Comments and Discussion to Part One: Exchange Rates and Security Prices.
Part Two: Hedging Portfolio Foreign Exchange Risk:
M. Adler and B. Prasad, On Universal Currency Hedges.
W. Bailey, E. Ng, and R.M. Stulz, Optimal Hedging of Stock Portfolios Against Foreign Exchange Risk: The Case of Nikkei.
T. Schneeweis and H. Geman, The Effectiveness of the French CAC 40 Futures Contract in Risk-Return Management.
Comments and Discussion to Part Two: Issues in Hedging Foreign Exchange Risk.
Part Three: Market Microstructure and Anomalies:
J.-C. Duan, V. Errunza, and A.F. Moreau, International Market Microstructure and the Pricing of ADRs.
T. Hiraki and H. Takehara, International Diversification When Small Firm Stocks are Treated as Separate Investment Assets: An Application of the Multiperiod Model.
A. Agrawal and K. Tandon, Stock Market Anomalies: The International Evidence.
Comments and Discussion to Part Three: Microstructure Issues in Global Diversification.
Part Four: Implementing Global Portfolio Diversification:
R. Aggarwal, Investing in Emerging Markets: Challenges and Opportunities.
H.R. Haworth, Regulatory Aspects of International Portfolio Diversification.
P.J. Sieglebaum, The World Bank's Global Bond: Efficiency in Global Portfolio Diversification.
S.W. Broka, Changing with the Times: International Initiatives at the NASD.
Summary Comments and Concluding Discussion: Important Issues and Future Directions.
Author Index.
Subject Index.