Global Asset Allocation:New Methods and Applications

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Global Asset Allocation:New Methods and Applications

By: Heinz Zimmerman

Normal price: 43.95
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Product code: 16039
ISBN: 0471264261
320 pages
Format: Hb
Published by: John Wiley & Sons, 2002
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Description of Global Asset Allocation:New Methods and Applications
This volume explores methodological advances in global asset allocation for professional investors. It includes a thorough examination of asset pricing models, international asset allocation and an empirical study of global asset allocation strategies. It also investigates whether global sector diversification strategies produce risk-return patterns different from asset allocation rules defined in terms of national markets.

- 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.

Global Asset Allocation:New Methods and Applications - Chapter headings
1. The global economy and investment management

2. International asset pricing, portfolio selection, and currency hedging: An overview

3. The anatomy of volatility and stock market correlations

4. The correlation breakdown in international stock markets

5. Global Economic Risk Profiles: Analyzing Value and Volatility drivers in global markets

6. Testing market integration: The case of Switzerland and Germany

7. Emerging market investments: Myth or reality?

8. The structure of sector and markets returns: Implications international diversification

9. The value-growth enigma: Time-varying risk premiums and active portfolio strategies

10. Integrating tactical and equilibrium portfolio management: Putting the Black-Litterman

Authobiography of Heinz Zimmerman
HEINZ ZIMMERMANN is a professor of finance at the Universitdt 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 Universitdt Bern, Switzerland, and became a professor at the Universitdt 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 Universitdt Basel, Switzerland. He is also a lecturer of finance at the Universitdt 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 Universitdt St. Gallen, a diploma in commerce from the Wirtschaftsuniversitdt 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 Universitdt St. Gallen, Switzerland, where he earned his doctorate in 1997. Oertmann holds a diploma in quantitative management from the Universitdt Bielefeld, Germany, and a master's in finance from the University of Georgia.

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