Frömmel Finance 1: Portfolio Theory and Management

1. Auflage 2016
ISBN: 978-3-7431-5532-9
Verlag: BoD - Books on Demand
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 352 Seiten

Reihe: Textbooks in Finance

The book gives an introduction to portfolio theory and management and shall help the reader to better set up a long-term strategic asset allocation. After an introduction into financial markets, their instruments and players, the Markowitz portfolio theory is derived. Limitations and alternatives to Markowitz are discussed. Factor models, the capital asset pricing model and the arbitrage pricing theory, as well as the theory of efficient markets are considered, before we turn to the valuation of securities. The final section deals with the steps of asset allocation, performance measurement and international portfolios.

Michael Frömmel was born in 1970 in Rheydt, Germany. From 1990 to 1997 he studied mathematics and business administration at the RWTH Aachen University. In 2003 he obtained a doctoral degree in economics at the Leibniz University Hanover, Germany. In 2007 he joined the Department of Financial Economics at Ghent University, Belgium, as a Professor of Finance. He is program director of the Master of Banking and Finance at Ghent University. Michael Frömmel has worked as a visiting researcher at the central banks of Bulgaria, Hungary and Austria and taught at various universities in several countries in Europe and Asia. His research focuses on international financial markets, foreign exchange and emerging market finance. He is author of several books and articles in, inter alia, the Journal of Financial Markets, the Journal of International Money and Finance and the Financial Analysts Journal.

Autoren/Hrsg.

Frömmel, Michael

Inhaltsverzeichnis

1;Title Page;3
2;Copyright;4
3;Dedication;5
4;Table of Contents;9
5;Preface;13
6;Section 1: Introduction;15
6.1;1. Financial Markets, Players and Instruments;17
6.1.1;1.1 What is Traded on Financial Markets;17
6.1.2;1.2 Where Financial Assets are Traded;24
6.2;2. Risk and Return;31
6.3;3. Distributional Properties of Returns Series;41
6.3.1;3.1 Some Stylized Facts;41
6.3.2;3.2 Measuring Historical Volatility;48
6.3.3;3.3 GARCH Models;56
6.4;4. From Utility to the Indifference Curve;69
7;Section 2: Portfolio Theory;77
7.1;5. The Capital Allocation Line;79
7.2;6. Optimal Risky Portfolios: The Markowitz Portfolio Selection Procedure and the Benefits of Diversification;89
7.2.1;6.1 The Benefits of Diversification;91
7.2.2;6.2 The Efficient Frontier;97
7.2.3;6.3 The Capital Allocation Line;99
7.2.4;6.4 Alternatives to the Markovitz Rule;102
7.3;7. Factor and Index Models;117
7.3.1;7.1 The Basic Setting;117
7.3.2;7.2 Single Factor Models and Portfolio Construction;120
7.3.3;7.3 Single Factor Models and Active Diversification;123
7.3.4;7.4 Multifactor Models: The Fama-French Model;129
7.3.5;7.5 Is Liquidity a Factor?;132
7.3.6;7.6 Further Multifactor Models;138
8;Section 3: Equilibrium Models;143
8.1;8. The Capital Asset Pricing Model;145
8.1.1;8.1 The Basic Setting;145
8.1.2;8.2 The Security Characteristic Line and the Security Market Line;148
8.2;9. Arbitrage Pricing Theory;153
8.2.1;9.1 What Does Arbitrage Mean?;153
8.2.2;9.2 The Arbitrage Pricing Theory;160
8.2.3;9.3 How Can APT Help us in Practice?;167
8.2.4;9.4 CAPM and APT;169
9;Section 4: Efficient Markets;173
9.1;10. The Efficient Market Hypothesis;175
9.1.1;10.1 Origins of the Efficient Market Hypothesis;175
9.1.2;10.2 Event Studies;182
9.1.3;10.3 Price Anomalies on Financial Markets;189
9.1.3.1;10.3.1 Calendar Anomalies;190
9.1.3.2;10.3.2 Cross Sectional Anomalies;194
9.1.3.3;10.3.3 Time Series Return Predictability;196
10;Section 5: The Valuation of Particular Asset Types;201
10.1;11. The Valuation of Bonds;203
10.1.1;11.1 Determinants of Interest Rates;203
10.1.2;11.2 Bond Yield Calculations;207
10.1.3;11.3 The Risk Structure of Bonds;214
10.1.4;11.4 The Term Structure of Bonds: Yield Curves;221
10.1.5;11.5 The Duration and Convexity of Bonds;231
10.2;12. The Valuation of Equity;241
10.2.1;12.1 One-Stage Dividend Discount Models;241
10.2.2;12.2 The Dividend Discount Model and the Company’s Investment Policy;247
10.2.3;12.3 Dividend Discount Models and Implicit Dividend Growth Rates;251
10.2.4;12.4 Two- and Three-Stage Dividend Discount Models;254
10.2.5;12.5 P/E Ratios and Other Valuation Measures;259
10.3;13. Derivatives: A Brief Introduction;267
10.3.1;13.1 Derivatives: Terminology, Forwards and Swaps;267
10.3.2;13.2 Options;276
11;Section 6: Portfolio Management;289
11.1;14. Asset Allocation;291
11.1.1;14.1 Strategic and Tactical Asset Allocation;291
11.1.2;14.2 Integrated Asset Allocation;300
11.1.3;14.3 Investments Styles;303
11.2;15. Performance Measurement;308
11.2.1;15.1 Why Performance Measurement?;308
11.2.2;15.2 Some Performance Measures;309
11.2.3;15.3 Performance Attribution;318
11.3;16. International Portfolios and Currency Risk;325
11.3.1;16.1 International Portfolios: Pros and Cons;325
11.3.2;16.2 Currency Risk Management;326
11.3.3;16.3 Application: The Exchange Rate Exposure of Exporting Firms in Central and Eastern Europe;344