Global Asset Allocation: New Methods and Applications

Praise for Global Asset Allocation
"In the critical field of global portfolio optimization, this volume is not only a technical tour de force, but also provides excellent access to state–of–the–art concepts for practitioners. It represents an important resource for those who manage institutional and individual portfolios as it is for those who want the latest applied research in international finance."
–Ingo Walter, Charles Simon Professor of Applied Business Economics
& Sidney Homer Director, New York University Salomon Center Stern School of Business, New York University
"The authors apply modern statistical modeling of time–varying risk and return to the study of global asset allocation. They offer empirical results and methodologies that shed light on the benefits of international diversification."
–Prof. Bruno Solnik, Finance and Economics Department, HEC Paris
"This book presents an amazing variety of empirical findings on stock and bond returns in many national markets. Combining economic intuition and econometric rigor, the academic scholar and the portfolio manager will find a treasure of important insights and get very valuable advice for global asset allocation."
–Prof. Gunter Franke, Universität Konstanz, Fachbereich Wirtschaftswissenschaften

Spis treści:
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.

Nota biograficzna:
HEINZ ZIMMERMANN is a professor of finance at the Universität 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 Universität Bern, Switzerland, and became a professor at the Universität 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).
WOLFGANG DROBETZ is an assistant professor of finance at the Universität Basel, Switzerland. He is also a lecturer of finance at the Universität 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 Universität St. Gallen, a diploma in commerce from the Wirtschaftsuniversität Wien, Austria, and an MA in economics from the University of Virginia.
PETER OERTMANN is the managing director and CEO of Vescore Solutions, St. Gallen, Switzerland. He is also a lecturer at the Universität St. Gallen, Switzerland, where he earned his doctorate in 1997. Oertmann holds a diploma in quantitative management from the Universität Bielefeld, Germany, and a master′s in finance from the University of Georgia.

Okładka tylna:
Praise for Glob al Asset Allocation
"In the critical field of global portfolio optimization, this volume is not only a technical tour de force, but also provides excellent access to state–of–the–art concepts for practitioners. It represents an important resource for those who manage institutional and individual portfolios as it is for those who want the latest applied research in international finance."
–Ingo Walter, Charles Simon Professor of Applied Business Economics
& Sidney Homer Director, New York University Salomon Center Stern School of Business, New York University
"The authors apply modern statistical modeling of time–varying risk and return to the study of global asset allocation. They offer empirical results and methodologies that shed light on the benefits of international diversification."
–Prof. Bruno Solnik, Finance and Economics Department, HEC Paris
"This book presents an amazing variety of empirical findings on stock and bond returns in many national markets. Combining economic intuition and econometric rigor, the academic scholar and the portfolio manager will find a treasure of important insights and get very valuable advice for global asset allocation."
–Prof. Gunter Franke, Universität Konstanz, Fachbereich Wirtschaftswissenschaften