Indices as benchmarks in the portfolio management : with special consideration of the European Monetary Union
Author(s)
Bibliographic Information
Indices as benchmarks in the portfolio management : with special consideration of the European Monetary Union
(Research)
Springer Gabler, c2013
Available at 2 libraries
  Aomori
  Iwate
  Miyagi
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  Yamagata
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  Ibaraki
  Tochigi
  Gunma
  Saitama
  Chiba
  Tokyo
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  Niigata
  Toyama
  Ishikawa
  Fukui
  Yamanashi
  Nagano
  Gifu
  Shizuoka
  Aichi
  Mie
  Shiga
  Kyoto
  Osaka
  Hyogo
  Nara
  Wakayama
  Tottori
  Shimane
  Okayama
  Hiroshima
  Yamaguchi
  Tokushima
  Kagawa
  Ehime
  Kochi
  Fukuoka
  Saga
  Nagasaki
  Kumamoto
  Oita
  Miyazaki
  Kagoshima
  Okinawa
  Korea
  China
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  United Kingdom
  Germany
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  United States of America
Note
Originally presented as the author's thesis (doctoral)--Comenius University, Bratislava, 2012
Bibliography: p. [151]-233
Description and Table of Contents
Description
Based on a very extensive literature review the book delineates the previous scientific and practical applications of indices as benchmarks for single asset classes as stocks, commodities, German governmental bonds and cash as well as especially for multi asset portfolios. According to the specific influencing factors of the Eurozone a recommendation of allocating equity portfolios with respect to industrial or regional factors is given by an empirical analysis. As most common and significant benchmark index for the Eurozone, the Dow Jones Euro STOXX 50 is analysed according to index effects. This serves as comparison and consideration of the active anticipations of index membership exchanges and a simple index investment during short- and long-term periods. Furthermore a correlation weighted equity index, established by different TMI industry indices of the Eurozone is calculated, which serves as benefit for diversification opportunities of two multidimensionally diversified and systamatically allocated multi asset portfolios. These portfolios are composed with reference towards the Portfolio Selection Theory by Harry M. Markowitz to test its practical relevance and validity during the challenging years from 2001 and 2010.
Table of Contents
Introduction.- Principles of Portfolio Management Conditions.- Evaluation of the Allocation Framework.- Multi Asset Portfolio Construction with the EMU.- Conclusion and Outlook.
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