Modelling reality and personal modelling
著者
書誌事項
Modelling reality and personal modelling
(Contributions to management science)
Physica , Springer, c1993
- : Physica
- : Springer
大学図書館所蔵 全1件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Includes bibliographical references
内容説明・目次
内容説明
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.
目次
Modelling Reality.- Economic Policy Determinants: Sensitivity Testing Based on the Mahalanobis Distance Statistic.- Time Dominance and I.R.R..- Linear Gears for Asset Pricing.- Stochastic Behaviour of European Stock Market Indices.- Measuring Firm/Market Information Asymmetry: The Model of Myers and Majluf or the Importance of the Asset Structure of the Firm.- The Construction of Smoothed Forward Rates.- An Index of De-stability for Controlling Shareholders.- On Imitation.- Financial Factors and the Dutch Stock Market: Some Empirical Results.- A Present Value Approach to the Portfolio Selection Problem.- Discounting When Taxes are Paid One Year Later: A Finance Application of Linear Programming Duality.- The Asset Transformation Function of Financial Intermediaries.- Management of the Interest Rate Swaps Portfolio Under the New Capital Adequacy Guidelines.- Developing a Multinational Index Fund.- Directional Judgemental Financial Forecasting: Trends and Random Walks.- Forecasting the Behaviour of Bankruptcies.- Theoretical Analysis of the Difference Between the Traditional and the Annuity Stream Principles Applied to Inventory Evaluation.- A Micro-Simulation Model for Pension Funds.- Asset Allocation and the Investor's Relative Risk Aversion.- Financing Behaviour of Small Retailing Firms.- Computing Price Paths of Mortgage-Backed Securities Using Massively Parallel Computing.
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