The Resource A beta-return efficient portfolio optimisation following the CAPM : an analysis of international markets and sectors, Markus Vollmer

A beta-return efficient portfolio optimisation following the CAPM : an analysis of international markets and sectors, Markus Vollmer

Label
A beta-return efficient portfolio optimisation following the CAPM : an analysis of international markets and sectors
Title
A beta-return efficient portfolio optimisation following the CAPM
Title remainder
an analysis of international markets and sectors
Statement of responsibility
Markus Vollmer
Creator
Author
Subject
Language
eng
Summary
Investors are trying to generate excess returns through active investment strategies. Since the outbreak of the financial crisis, investors face a situation where increased risks are accompanied by falling key interest rates. An optimal portfolio in terms of risk and return becomes a perpetual motion machine. Markus Vollmer answers the question how the seemingly impossible could still be achieved by an empirical analysis of historical data of 1'800 stocks listed at equity markets in 24 countries covering all 19 super sectors. The author offers valid and reliable findings by using the previousl
Member of
Cataloging source
GW5XE
Dewey number
332.63/222
Illustrations
illustrations
Index
no index present
LC call number
HG4636
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
BestMasters
Label
A beta-return efficient portfolio optimisation following the CAPM : an analysis of international markets and sectors, Markus Vollmer
Publication
Copyright
Antecedent source
unknown
Bibliography note
Includes bibliographical references
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Acknowledgements; Table of Contents; List of figures; List of tables; Abstract; Purpose; Design/methodology/approach; Findings; Research Limitations; Practical Implications; Originality/value; Chapter 1: Introduction; 1.1 Chapter Introduction; 1.2 Background and Problem Foundation; 1.3 Aims and Objectives; 1.4 Structure; Chapter 2: Literature Review; 2.1 Chapter Introduction; 2.2 Fundamental Theory; 2.2.1 Efficient Markets; 2.2.2 Modern Portfolio Theory (MPT); 2.2.3 Capital Asset Pricing Model (CAPM); 2.2.4 Arbitrage Pricing Theory (APT); 2.2.5 Three-factor model (Fama & French)
  • 2.3 Recent Developments2.3.1 Three-factor model (Fama & French); 2.3.2 Investor Relations and Financial Analysts; 2.3.3 International Aspects; 2.3.4 Sector Specifics; 2.4 Gaps in knowledge and literature; Chapter 3: Research Methodology; 3.1 Chapter Introduction; 3.2 Preconceptions; 3.3 Literature Search; 3.4 Research Philosophy and Scientific Approach; 3.4.1 Positivism vs. Interpretivism; 3.4.2 Objectivism vs. Constructivism; 3.5 Research Approach, Strategy and Time Horizon; 3.5.1 Deductivism vs. Inductivism; 3.5.2 Quantitative vs. Qualitative Research Strategy
  • 3.5.3 Cross-sectional vs. Longitudinal3.6 Reliability, Validity and Generalisibility; 3.6.1 Reliability; 3.6.2 Validity; 3.7 Practical Method; 3.7.1 Data Sampling; 3.7.2 Procedure; 3.7.3 Statistical Methods; 3.8 Ethical Issues; Chapter 4: Analysis & Discussion; 4.1 Chapter Introduction; 4.2 Structure of the analysis; 4.3 Proxy analysis; 4.4 Beta and Return Analysis; 4.4.1 Descriptive Statistics ; 4.4.2 Building the model; 4.4.3 Modelling of an efficient Portfolio allocation; Chapter 5: Conclusions, Limitations & Outlook; 5.1 Chapter Introduction; 5.2 Conclusion; 5.3 Limitations
  • 5.4 Future ResearchAppendices; Appendix 1: Beta-Return Relations within supersectors -- November 2010; Appendix 2: Beta-Return Relations within supersectors -- April 2011; Appendix 3: Beta-Return Relations within countries -- November 2010; Appendix 4: Beta-Return Relations within countries -- April 2011; References
Control code
ocn884879120
Dimensions
unknown
Extent
1 online resource (xiv, 124 pages)
File format
unknown
Form of item
online
Isbn
9783658066345
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-3-658-06634-5
Other physical details
illustrations
Quality assurance targets
not applicable
http://library.link/vocab/recordID
.b30731616
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)884879120
  • pebco3658066342

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
Processing Feedback ...