Modelling Reality and Personal Modelling (Contributions to Management Science) - Softcover

Softcover

ISBN 10: 379080682X ISBN 13: 9783790806823

Verlag: Physica, 1993

Inhaltsangabe

The recent introduction of two European index options on the FTSE Eurotrack 100 and the Eurotop 100 is evidence of a demand from investors to hedge pan-European risk. The FTSE Eurotrack 100 was designed to closely resemble the longer established and widely quoted Morgan Stanley European index. The Eurotrack 100 covers a hundred companies in eleven countries in continental Europe. The index is denominated in DM and’ a breakdown by value into the different countries covered is given in figure 1. Capitalisation weights for Figure 1 FT-SE Eurotrack 100 Index Norway mark Germany Italy Switzerland France Netherlands Another recently introduced European index is the Eurotop 100 index denominated in EeUs, this index contains twenty two UK companies which represent 27% by value of this index. The attraction of investments in these indices is that they provide a basis for weighted exposure to Europe, investors can then build on this 240 basis by investment in individual countries. The multinational context of the universe of shares defined by this index raises some new questions for the selection of portfolios, whether the portfolios are chosen for absolute performance or to track the index. Various possible objectives of portfolio selection will be discussed, in all cases the crucial role of the covariance matrix of returns is clear. The extra source of risk present in a multinational portfolio is the combination of country risk coupled with foreign exchange risk. Two models of the return covariance matrix are proposed and examined.

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Reseña del editor

This book is on the theory and practice of quantitative financial research that is taking place in Eurpoe. It tries to demonstrate the variety of research that is currently being undertaken. This includes the practical, such as the financing of small firms in the Netherlands, the use of subjectivity in forecasting, and the management of swap portfolios. It also includes the empirical such as an examiniation of various European stock indices, the construction of a European index fund, simulation of pension funds, and pricing of mortgage-backed securities using parallel processing. Purely theoretical research is also described such as the relationship between dominanace and the internal rate of return, the behaviour of market traders, and the allocation of assets under risk aversion. This volume should be of interest to researchers in and consumwers of quantitative financial work.

Details zur Ausgabe

• Verlag: Physica
• Erscheinungsdatum: 1993
• Sprache: Englisch
• ISBN 10: 379080682X
• ISBN 13: 9783790806823
• Einband: Tapa blanda
• Anzahl der Seiten: 416
• Herausgeber: Flavell Richard
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: Nicht verfügbar