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Author: Raj S. Dhankar
Publisher: Springer Nature
ISBN: 8132239504
Category : Business & Economics
Languages : en
Pages : 323
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Book Description
This book covers all aspects of modern finance relating to portfolio theory and risk–return relationship, offering a comprehensive guide to the importance, measurement and application of the risk–return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in developing economies. Part III highlights the significance of risk–return analysis as a prerequisite for investment decisions, while Part IV examines the selection and performance appraisals of portfolios against the backdrop of the risk–return relationship. It also examines new tools such as the value-at-risk application for mutual funds and the applications of the price-to-earnings ratio in portfolio performance measurement. Lastly, Part V explores contemporary issues in finance, including the relevance of Islamic finance in the increasingly volatile global financial system.
Author: Raj S. Dhankar
Publisher: Springer Nature
ISBN: 8132239504
Category : Business & Economics
Languages : en
Pages : 323
Get Book Here
Book Description
This book covers all aspects of modern finance relating to portfolio theory and risk–return relationship, offering a comprehensive guide to the importance, measurement and application of the risk–return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in developing economies. Part III highlights the significance of risk–return analysis as a prerequisite for investment decisions, while Part IV examines the selection and performance appraisals of portfolios against the backdrop of the risk–return relationship. It also examines new tools such as the value-at-risk application for mutual funds and the applications of the price-to-earnings ratio in portfolio performance measurement. Lastly, Part V explores contemporary issues in finance, including the relevance of Islamic finance in the increasingly volatile global financial system.
Author: Raj S. Dhankar
Publisher:
ISBN: 9788132239499
Category : Electronic books
Languages : en
Pages :
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Book Description
This book covers all aspects of modern finance relating to portfolio theory and risk-return relationship, offering a comprehensive guide to the importance, measurement and application of the risk-return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in developing economies. Part III highlights the significance of risk-return analysis as a prerequisite for investment decisions, while Part IV examines the selection and performance appraisals of portfolios against the backdrop of the risk-return relationship. It also examines new tools such as the value-at-risk application for mutual funds and the applications of the price-to-earnings ratio in portfolio performance measurement. Lastly, Part V explores contemporary issues in finance, including the relevance of Islamic finance in the increasingly volatile global financial system.
Author: Richard A. Brealey
Publisher: MIT Press (MA)
ISBN:
Category : Investment analysis
Languages : en
Pages : 168
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Book Description
Author: Minxian Yang
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Book Description
The risk return relationship is analysed in bivariate models for return and realised variance (RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the empirical risk return relationship is primarily shaped by two important data features: the negative contemporaneous correlation between the return and RV, and the difference in the autocorrelation structures of the return and RV.
Author: Frank H. Knight
Publisher: Cosimo, Inc.
ISBN: 1602060053
Category : Business & Economics
Languages : en
Pages : 401
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Book Description
A timeless classic of economic theory that remains fascinating and pertinent today, this is Frank Knight's famous explanation of why perfect competition cannot eliminate profits, the important differences between "risk" and "uncertainty," and the vital role of the entrepreneur in profitmaking. Based on Knight's PhD dissertation, this 1921 work, balancing theory with fact to come to stunning insights, is a distinct pleasure to read. FRANK H. KNIGHT (1885-1972) is considered by some the greatest American scholar of economics of the 20th century. An economics professor at the University of Chicago from 1927 until 1955, he was one of the founders of the Chicago school of economics, which influenced Milton Friedman and George Stigler.
Author: Naina
Publisher:
ISBN: 9783384246059
Category :
Languages : en
Pages : 0
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Book Description
Author: Eric Ghysels
Publisher:
ISBN:
Category :
Languages : en
Pages : 20
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Book Description
The risk-return trade-off implies that a riskier investment should demand a higher expected return relative to the risk-free return. The approach of Ghysels, Santa-Clara, and Valkanov (2005) consisted of estimating the risk-return trade-off with a mixed frequency, or MIDAS, approach. MIDAS strikes a compromise between on the one hand the need for longer horizons to model expected returns and on the other hand to use high frequency data to model the conditional volatility required to estimate expected returns. Using the approach of Ghysels, Santa-Clara, and Valkanov (2005), after correcting a coding error pointed out to us, we find that the Merton model holds over samples that exclude financial crises, in particular the Great Depression and/or the subprime mortgage financial crisis and the resulting Great Recession. We find that a simple flight to safety indicator separates the traditional risk-return relationship from financial crises which amount to fundamental changes in that relationship.
Author: Karunanithy Banumathy
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659746130
Category :
Languages : en
Pages : 356
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Book Description
Investment is a commitment of funds to one or more assets with the expectation to enhance future wealth. In the recent past decades, investment in stock market is the one investment vehicle that has truly come of age in India. The risk-return relationship is a fundamental concept in not only financial analysis, but also in every aspects of life. It plays a universal role in our lives and the relationship between risk and return has been subjected to extensive theoretical and empirical enquiry. However, such relationship needs to be measured in order to develop an effective investment strategy. The present study has been made to analyse the risk-return relationship as well as the behaviour of investors about investment in stock market. The study used a sample of 140 firms of Bombay Stock Exchange 500, which have got the daily data consecutively for ten years from 1st January 2003 to 31st December 2012 and also primary data for analysing the investors' perception about investment in stock market. The findings of the study will enable improve the stock returns of firms and also the investors' investment decision, therefore they have implications for both investment and policy making
Author: Yakov Amihud
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 56
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Book Description
Author: Roger G. Ibbotson
Publisher: CFA Institute Research Foundation
ISBN: 1944960619
Category : Business & Economics
Languages : en
Pages : 128
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Book Description
Classical and behavioral finance are often seen as being at odds, but the idea of “popularity” has been introduced as a way of reconciling the two approaches. Investors like or dislike various characteristics of securities for rational reasons (as in classical finance) or irrational reasons (as in behavioral finance), which makes the assets popular or unpopular. In the capital markets, popular (unpopular) securities trade at prices that are higher (lower) than they would be otherwise; hence, the shares may provide lower (higher) expected returns.This book builds on this idea and expands it in two major ways. First, it introduces a rigorous asset pricing model, the popularity asset pricing model (PAPM), which adds investor preferences for security characteristics other than the risk and expected return that are part of the capital asset pricing model. A major conclusion of the PAPM is that the expected return of any security is a linear function of not only its systematic risk (beta) but also of all security characteristics that investors care about. The other major contribution of the book is new empirical work that, while confirming the well-known premiums (such as size, value, and liquidity) in a popularity context, supports the popularity hypothesis on the basis of portfolios of stocks based on such characteristics as brand value, sustainable competitive advantage, and reputation. Popularity unifies the factors that affect price in classical finance with those that drive price in behavioral finance, thus creating a unifying theory or bridge between classical and behavioral finance.
