Portfolio Construction, Measurement, And Efficiency - Guerard Jr. John B. (Curatore) | Libro Springer 10/2016 - HOEPLI.it


home libri books ebook dvd e film top ten sconti 0 Carrello


Torna Indietro

guerard jr. john b. (curatore) - portfolio construction, measurement, and efficiency

Portfolio Construction, Measurement, and Efficiency Essays in Honor of Jack Treynor




Disponibilità: Normalmente disponibile in 15 giorni


PREZZO
151,98 €
NICEPRICE
144,38 €
SCONTO
5%



Questo prodotto usufruisce delle SPEDIZIONI GRATIS
selezionando l'opzione Corriere Veloce in fase di ordine.


Pagabile anche con 18App Bonus Cultura e Carta del Docente


Facebook Twitter Aggiungi commento


Spese Gratis

Dettagli

Genere:Libro
Lingua: Inglese
Editore:

Springer

Pubblicazione: 10/2016
Edizione: 1st ed. 2017





Trama

This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured.  In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market?

Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency.  Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models.  Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics.

This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets.  The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.





Sommario

Foreword #1.- Foreword #2: Jack Treynor: An Appreciation.- Foreword #3: Jack Treynor and the Q-Group.- Ch 1 The Theory of Risk, Return, and Performance Measurement.- Ch 2 Origins of Portfolio Theory: Selection and Evaluation.- Ch 3 Market Timing.- Ch 4 Returns, Risk, Portfolio Selection, and Evaluation.- Ch 5 Validating Return-Generating Models.- Ch 6 Invisible Costs and Profitability.- Ch 7 Mean-ETL Portfolio Construction in U.S. Equity Market.- Ch 8 Portfolio Performance Assessment: Statistical Issues and Methods for Improvement.- Ch 9 The Duality of Value and Mean Reversion.- Ch 10 Performance of Earnings Yield and Momentum Factors in US and International Equity Markets.- Ch 11 Alpha Construction in a Consistent Investment Process.- Ch 12 Empirical Analysis of Market Connectedness as a Risk Factor for Explaining Expected Stock Returns.- Ch 13 The Behavior of Sentiment-Induced Share Returns: Measurement when Fundamentals are Observable.- Ch 14 Constructing Mean Variance Efficient Frontiers Using Foreign Large Blend Mutual Funds.- Ch 15 Fundamental versus Traditional Indexation for International Mutual Funds.- Ch 16 Forecasting Implied Volatilities for Options on Index Futures.- Ch 17 The Swiss Black Swan Bad Scenario: Another Casualty of the Eurozone Crisis.- Ch 18 Leveling the Playing Field.- Ch 19 Uncommon Value: The Investment Performance of Contrarian Funds.




Autore

John B. Guerard, Jr., Ph.D. is Director of Quantitative Research at McKinley Capital Management, in Anchorage, Alaska.  He earned his AB in Economics from Duke University, MA in Economics from the University of Virginia, MSIM from the Georgia Institute of Technology, and Ph.D. in Finance from the University of Texas, Austin. John taught at the McIntire School of Commerce, the University of Virginia, Lehigh University, and Rutgers University. John taught as an adjunct faculty member at the International University of Monaco and the University of Pennsylvania. He worked with the DAIS Group at Drexel, Burnham, Lambert, Daiwa Securities Trust Company, Vantage Global Advisors, and served on the Virtual Research team at GlobeFlex Capital.  John co-managed a Japanese equity portfolio with Harry Markowitz at Daiwa Securities Trust Company. While serving as Director of Quantitative Research at Vantage Global Advisors (formerly MPT Associates), Mr. Guerard was awarded the first Moskowitz Prize for research in socially responsible investing.  Mr. Guerard has published several monographs, including Corporate Financial Policy and R&D Management (Wiley, 2006, second edition), Quantitative Corporate Finance (Springer, 2007, with Eli Schwartz), The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques (Springer, 2010), and Introduction to Financial Forecasting in Investment Analysis (Springer, 2013). John serves an Associate Editor of the Journal of Investing and The International Journal of Forecasting. Mr. Guerard has published research in The International Journal of Forecasting, Management Science, the Journal of Forecasting, Journal of Investing, Research in Finance, the IBM Journal of Research and Development, Research Policy, and the Journal of the Operational Research Society.








i libri che interessano a chi ha i tuoi gusti





Altre Informazioni

ISBN:

9783319339740

Condizione: Nuovo
Dimensioni: 235 x 155 mm Ø 8513 gr
Formato: Copertina rigida
Illustration Notes:7 Illustrations, black and white
Pagine Arabe: 453
Pagine Romane: xxxiii






Utilizziamo i cookie di profilazione, anche di terze parti, per migliorare la navigazione, per fornire servizi e proporti pubblicità in linea con le tue preferenze. Se vuoi saperne di più o negare il consenso a tutti o ad alcuni cookie clicca qui. Chiudendo questo banner o proseguendo nella navigazione acconsenti all’uso dei cookie.

X