- Reveals new methodologies for asset pricing within a global asset allocation framework.
- Contains cutting-edge empirical research on global markets and sectors of the global economy.
- Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.
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Book Description
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From the Inside Flap
The increase in international investment activity is a natural consequence of the overall globalization of economies as well as the international financial system. The critical question that many, if not all, financial professionals have about this brave new investment world is: How are portfolio diversification strategies affected by the evolving global investment landscape? In Global Asset Allocation: New Methods and Applications, Heinz Zimmermann, Wolfgang Drobetz, and Peter Oertmann answer this and many other critical questions about a global investment environment that consists of more countries, more sectors, more companies, and more financial instruments with each passing day.
Whether you're a portfolio manager or financial analyst, Global Asset Allocation has the information you need to make the decisions you're responsible for. This book takes a close look at the most sophisticated global asset allocation methods and techniques currently available, and provides you with cutting-edge advances in the methods, practice, and implementation of global asset allocation investment strategies.
Global Asset Allocation thoroughly examines a wide range of asset pricing models, discusses international asset allocation, and explores empirical studies of global asset allocation strategies. It also investigates whether emerging stock markets can be seen as integrated parts of the developed worldwide stock markets, and whether global sector diversification strategies produce risk-return patterns different from asset allocation rules defined in terms of national markets. But that's not all. This comprehensive guide also analyzes the performance of strategies exploiting a specific investment style within a global asset allocation pricing framework-by implementing active style rotation strategies. You'll also be introduced to the Black-Litterman model and learn how it can be used to improve global asset allocation decisions.
Filled with in-depth insights and expert advice, this invaluable resource will allow you to use advanced methods for global asset pricing and portfolio decisions in practical, real-world situations. Investment in global financial markets is growing with great speed. Global Asset Allocation will help you keep up.
Whether you're a portfolio manager or financial analyst, Global Asset Allocation has the information you need to make the decisions you're responsible for. This book takes a close look at the most sophisticated global asset allocation methods and techniques currently available, and provides you with cutting-edge advances in the methods, practice, and implementation of global asset allocation investment strategies.
Global Asset Allocation thoroughly examines a wide range of asset pricing models, discusses international asset allocation, and explores empirical studies of global asset allocation strategies. It also investigates whether emerging stock markets can be seen as integrated parts of the developed worldwide stock markets, and whether global sector diversification strategies produce risk-return patterns different from asset allocation rules defined in terms of national markets. But that's not all. This comprehensive guide also analyzes the performance of strategies exploiting a specific investment style within a global asset allocation pricing framework-by implementing active style rotation strategies. You'll also be introduced to the Black-Litterman model and learn how it can be used to improve global asset allocation decisions.
Filled with in-depth insights and expert advice, this invaluable resource will allow you to use advanced methods for global asset pricing and portfolio decisions in practical, real-world situations. Investment in global financial markets is growing with great speed. Global Asset Allocation will help you keep up.
From the Back Cover
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, Universit?t Konstanz, Fachbereich Wirtschaftswissenschaften
"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, Universit?t Konstanz, Fachbereich Wirtschaftswissenschaften
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5 of 30 people found the following review helpful:
5.0 out of 5 stars
A practical approach to global diversification,
By A Customer
This review is from: Global Asset Allocation: New Methods and Applications (Wiley Finance) (Hardcover)
Financial professionals will find this book to be an invaluable tool to understanding and implementing global asset allocation strategies. The book uses a number of different pricing models and performance analyses. A highly informative read.
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Inside This Book
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First Sentence:
Globalization, or more precisely, integration of financial markets implies the convergence of risk premiums between national markets, sectors, and other market segments. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
emerging stock market returns, higher downside volatility, single latent variable model, expected value premiums, national consumption baskets, volatility drivers, international asset returns, global risk factors, international risk diversification, world market risk, world market portfolio, beta pricing model, style rotation strategies, stock market correlations, tangency portfolio, stock market integration, news impact curves, national equity markets, international stock returns, correlation breakdown, international asset pricing models, total return indices, optimal portfolio weights, pricing restriction, bond market returns Key Phrases - Capitalized Phrases (CAPs): (learn more)
United States, United Kingdom, Journal of Finance, Hong Kong, North America, Pacific Rim, Dow Jones, Journal of Financial Economics, Capital Asset Pricing Model, Arbitrage Pricing Theory, Journal of Portfolio Management, The Correlation Breakdown, Generalized Method of Moments, Journal of Business, American Economic Review, Europe Austria, Financial Studies, Journal of Economic Theory, Far East, Morgan Stanley Capital International, South Africa, Average Annual Volatility, Journal of Political Economy, Princeton University Press New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Globalization, or more precisely, integration of financial markets implies the convergence of risk premiums between national markets, sectors, and other market segments. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
emerging stock market returns, higher downside volatility, single latent variable model, expected value premiums, national consumption baskets, volatility drivers, international asset returns, global risk factors, international risk diversification, world market risk, world market portfolio, beta pricing model, style rotation strategies, stock market correlations, tangency portfolio, stock market integration, news impact curves, national equity markets, international stock returns, correlation breakdown, international asset pricing models, total return indices, optimal portfolio weights, pricing restriction, bond market returns Key Phrases - Capitalized Phrases (CAPs): (learn more)
United States, United Kingdom, Journal of Finance, Hong Kong, North America, Pacific Rim, Dow Jones, Journal of Financial Economics, Capital Asset Pricing Model, Arbitrage Pricing Theory, Journal of Portfolio Management, The Correlation Breakdown, Generalized Method of Moments, Journal of Business, American Economic Review, Europe Austria, Financial Studies, Journal of Economic Theory, Far East, Morgan Stanley Capital International, South Africa, Average Annual Volatility, Journal of Political Economy, Princeton University Press New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 17
books:
See all 17 books this book cites
- Asset Pricing: (Revised Edition) by John H. Cochrane on page 288, and page 289
- Routledge Library Editions: Economics: Economic Theory (Routledge Library Editions-Economics, 19) by G. B. Richardson on page 297
- International Investments (4th Edition) by Bruno Solnik on page 298
- Emerging Markets (International Library of Critical Writings in Economics) by Geert Bekaert on page 293
- High Finance in the Euro-Zone: Competing in the New European Capital Market by Ingo Walter on page 298
See all 17 books this book cites
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