Advances in Investment Analysis and Portfolio Management
- 1st Edition, Volume 9 - July 12, 2002
- Imprint: JAI Press
- Editor: Cheng-Few Lee
- Language: English
- Hardback ISBN:9 7 8 - 0 - 7 6 2 3 - 0 8 8 7 - 3
- eBook ISBN:9 7 8 - 0 - 0 8 - 0 5 4 5 0 5 - 9
Twelve papers focus on investment analysis, portfolio theory, and their implementation in portfolio… Read more
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Request a sales quoteTwelve papers focus on investment analysis, portfolio theory, and their implementation in portfolio management
Endogenous growth and stock returns volatility in the long run (C. Faugére, H. Shawky). A note on the Markowitz risk minimization and the Sharpe angle maximization models (C.W. Yang, K. Hung and F.A. Yang). Optimal hedge ratios and temporal aggregation of cointegrated systems (D. Lien, K. Leggio). Market timing, selectivity, and mutual fund performance (C.F. Lee, L. Li). Sources of time-varying risk premia in the term structure (J. Elder). Stock splits and liquidity: evidence from American depository receipts (C.X. Jiang, J.-C. Kim). Portfolio selection with round-lot holdings (C.C.Y. Kwan, M. Parlar). Defining a security market line for debt explicitly considering the risk of default (J.L. Heck, M.M. Holland and D.R. Shaffer). Shareholder heterogeneity: further evidence (Y.T. Lee, G. Liaw). The long-run performance and pre-selling information of initial public offerings (A. Chen, J.F. Cotter). The term structure of return correlations: the U.S. and Pacific-Basin stock markets (M.-S. Pan, Y.A. Liu). Characteristics versus covariances: an examination of domestic asset allocation strategies (J. Fletcher).
- Edition: 1
- Volume: 9
- Published: July 12, 2002
- No. of pages (Hardback): 288
- No. of pages (eBook): 288
- Imprint: JAI Press
- Language: English
- Hardback ISBN: 9780762308873
- eBook ISBN: 9780080545059
CL
Cheng-Few Lee
Affiliations and expertise
Rutgers University at New Brunswick, NJ, USA