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A beta-return efficient portfolio optimisation following the CAPM : an analysis of international markets and sectors

Author: Markus Vollmer
Publisher: Wiesbaden : Springer Gabler, [2014] ©2015
Series: BestMasters.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Vollmer, Markus.
A Beta-return Efficient Portfolio Optimisation Following the CAPM : An Analysis of International Markets and Sectors.
Dordrecht : Springer, ©2014
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Markus Vollmer
ISBN: 9783658066345 3658066342 3658066334 9783658066338
OCLC Number: 884879120
Description: 1 online resource (xiv, 124 pages) : illustrations.
Contents: Acknowledgements; Table of Contents; List of figures; List of tables; Abstract; Purpose; Design/methodology/approach; Findings; Research Limitations; Practical Implications; Originality/value; Chapter 1: Introduction; 1.1 Chapter Introduction; 1.2 Background and Problem Foundation; 1.3 Aims and Objectives; 1.4 Structure; Chapter 2: Literature Review; 2.1 Chapter Introduction; 2.2 Fundamental Theory; 2.2.1 Efficient Markets; 2.2.2 Modern Portfolio Theory (MPT); 2.2.3 Capital Asset Pricing Model (CAPM); 2.2.4 Arbitrage Pricing Theory (APT); 2.2.5 Three-factor model (Fama & French). 2.3 Recent Developments2.3.1 Three-factor model (Fama & French); 2.3.2 Investor Relations and Financial Analysts; 2.3.3 International Aspects; 2.3.4 Sector Specifics; 2.4 Gaps in knowledge and literature; Chapter 3: Research Methodology; 3.1 Chapter Introduction; 3.2 Preconceptions; 3.3 Literature Search; 3.4 Research Philosophy and Scientific Approach; 3.4.1 Positivism vs. Interpretivism; 3.4.2 Objectivism vs. Constructivism; 3.5 Research Approach, Strategy and Time Horizon; 3.5.1 Deductivism vs. Inductivism; 3.5.2 Quantitative vs. Qualitative Research Strategy. 3.5.3 Cross-sectional vs. Longitudinal3.6 Reliability, Validity and Generalisibility; 3.6.1 Reliability; 3.6.2 Validity; 3.7 Practical Method; 3.7.1 Data Sampling; 3.7.2 Procedure; 3.7.3 Statistical Methods; 3.8 Ethical Issues; Chapter 4: Analysis & Discussion; 4.1 Chapter Introduction; 4.2 Structure of the analysis; 4.3 Proxy analysis; 4.4 Beta and Return Analysis; 4.4.1 Descriptive Statistics ; 4.4.2 Building the model; 4.4.3 Modelling of an efficient Portfolio allocation; Chapter 5: Conclusions, Limitations & Outlook; 5.1 Chapter Introduction; 5.2 Conclusion; 5.3 Limitations. 5.4 Future ResearchAppendices; Appendix 1: Beta-Return Relations within supersectors --
November 2010; Appendix 2: Beta-Return Relations within supersectors --
April 2011; Appendix 3: Beta-Return Relations within countries --
November 2010; Appendix 4: Beta-Return Relations within countries --
April 2011; References.
Series Title: BestMasters.
Responsibility: Markus Vollmer.

Abstract:

Investors are trying to generate excess returns through active investment strategies. He reveals purposefully the need for further research and simultaneously he derives specific and applicable  Read more...

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