Advances in investment analysis and portfolio management. / by Cheng-Few Lee

By Cheng-Few Lee

This learn annual ebook intends to assemble funding research and portfolio concept and their implementation to portfolio administration. It seeks theoretical and empirical study manuscripts with top of the range within the sector of funding and portfolio research. The contents will encompass unique examine on: the foundations of portfolio administration of equities and fixed-income securities. The overview of portfolios (or mutual money) of universal shares, bonds, foreign resources, and innovations. The dynamic strategy of portfolio administration. thoughts of foreign investments and portfolio administration. The purposes of invaluable and significant analytical thoughts similar to arithmetic, econometrics, facts, and pcs within the box of funding and portfolio administration. Theoretical examine relating to strategies and futures. additionally, it additionally includes articles that current and think about new and critical accounting, monetary, and financial facts for dealing with and comparing portfolios of dicy resources.

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Ng (1987), for example, finds that futures returns generally lead spot returns for a variety of futures contracts including stock indices, commodities, and currencies. Herbst, McCormack and West (1987) use tick-by-tick data to demonstrate a lead-lag relationship between the Standard and Poor (S&P) 500 Index futures, the Kansas City Board of Trade Value Line Index (VL) futures, and their respective spot indices. Kawaller et al. (1987) show that, although S&P 500 Index cash returns sometimes lead futures for approximately one minute, the S&P 500 futures returns lead spot market The Information Role of Portfolio Depository Receipts 43 returns by 20 to 45 minutes.

7. The test procedure involves moving from the most restrictive model to the least restrictive model and comparing the trace statistic (or ␭max) to its critical value at each stage. The progression stops the first time the null hypothesis is not rejected. 16 MARC CHOPIN AND MAOSEN ZHONG 8. 81. 9. For a detailed description, refer to Johansen and Juselius (1994) and Harris (1995, p. 111). 10. Here, all restrictions on the cointegrating vectors refer to zero restrictions. 11. The degrees of freedom are equal to v = ͚i(n Ϫ r + 1 Ϫ si) = (6 Ϫ 3 + 1 Ϫ 3) + (6 Ϫ 3 + 1 Ϫ 3) + (6 Ϫ 3 + 1 Ϫ 4) = 2.

Finally, if the stock price goes down, so that node A moves to node D, F remains at 50, and kd = 2. Using Eq. 12. 12 at node A resulted in ku = 2, km = 1 and kd = 1. 31) in this case, early exercise is optimal. Hence, the option value equals 26 CHUANG-CHANG CHANG AND SAN-LIN CHUNG Fig. 2. Pricing European and American Lookback Options Using Trinomial Method. 79. 87. It is difficult to calculate the American lookback option values with continuous observation frequency since the convergence of numerical methods for pricing these options is very slow as pointed out by Cheuk and Vorst (1997).

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