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Beta-return Efficient Portfolio Optimisation Following the CAPM

Name: Beta-return Efficient Portfolio Optimisation Following the CAPM
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 05041511
Price: 53.79 EUR
Availability: InStock
Author: Markus Vollmer
ISBN: 9783658066338

An Analysis of International Markets and Sectors

Markus Vollmer

Language

English

Book Paperback

Libristo code: 05041511

Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, July 2014

Investors are trying to generate excess returns through active investment strategies. Since the outb... Full description

Libristo code: 05041511

132 b

53.79 € VAT included

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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 previously mentioned data proxy. He reveals purposefully the need for further research and simultaneously he derives specific and applicable guidelines for the design of investment strategies which are extremely exciting for both the institutional expert and the private investor.