Download or read book Moving Beyond Modern Portfolio Theory written by Jon Lukomnik and published by Routledge. This book was released on 2021-04-29 with total page 175 pages. Available in PDF, EPUB and Kindle. Book excerpt: Moving Beyond Modern Portfolio Theory: Investing That Matters tells the story of how Modern Portfolio Theory (MPT) revolutionized the investing world and the real economy, but is now showing its age. MPT has no mechanism to understand its impacts on the environmental, social and financial systems, nor any tools for investors to mitigate the havoc that systemic risks can wreck on their portfolios. It’s time for MPT to evolve. The authors propose a new imperative to improve finance’s ability to fulfil its twin main purposes: providing adequate returns to individuals and directing capital to where it is needed in the economy. They show how some of the largest investors in the world focus not on picking stocks, but on mitigating systemic risks, such as climate change and a lack of gender diversity, so as to improve the risk/return of the market as a whole, despite current theory saying that should be impossible. "Moving beyond MPT" recognizes the complex relations between investing and the systems on which capital markets rely, "Investing that matters" embraces MPT’s focus on diversification and risk adjusted return, but understands them in the context of the real economy and the total return needs of investors. Whether an investor, an MBA student, a Finance Professor or a sustainability professional, Moving Beyond Modern Portfolio Theory: Investing That Matters is thought-provoking and relevant. Its bold critique shows how the real world already is moving beyond investing orthodoxy.

Download or read book Capital Taxation with Entrepreneurial Risk written by Vasia Panousi and published by DIANE Publishing. This book was released on 2010 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book ICEMME 2022 written by Nikolaos Freris and published by European Alliance for Innovation. This book was released on 2023-02-15 with total page 2592 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is our great pleasure to have you at the 2022 4th International Conference on Economic Management and Model Engineering (ICEMME 2022), which was held in Nanjing, China from November 18th to 20th (virtual event). It is an international forum for academic communications between experts and scholars in the fields of economic management and model engineering. The main objective of ICEMME 2022 is to provide a platform to deliberate latest developments and future directions in the fields of economic management and model engineering. The conference provided opportunities for the delegates to exchange research ideas and scientific information, and established business or research relations for all participants to find global partners for future collaboration.

Download or read book Factor Investing and Asset Allocation A Business Cycle Perspective written by Vasant Naik and published by CFA Institute Research Foundation. This book was released on 2016-12-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.

Download or read book Nonparametric Econometrics written by Jeffrey Scott Racine and published by Now Publishers Inc. This book was released on 2008 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonparametric Econometrics is a primer for those who wish to familiarize themselves with nonparametric econometrics. While the underlying theory for many of these methods can be daunting for practitioners, this monograph presents a range of nonparametric methods that can be deployed in a fairly straightforward manner. Nonparametric methods are statistical techniques that do not require a researcher to specify functional forms for objects being estimated. The methods surveyed are known as kernel methods, which are becoming increasingly popular for applied data analysis. The appeal of nonparametric methods stems from the fact that they relax the parametric assumptions imposed on the data generating process and let the data determine an appropriate model. Nonparametric Econometrics focuses on a set of touchstone topics while making liberal use of examples for illustrative purposes. The author provides settings in which the user may wish to model a dataset comprised of continuous, discrete, or categorical data (nominal or ordinal), or any combination thereof. Recent developments are considered, including some where the variables involved may in fact be irrelevant, which alters the behavior of the estimators and optimal bandwidths in a manner that deviates substantially from conventional approaches.

Download or read book Equity Ownership and Performance written by Kerstin Groß and published by Springer Science & Business Media. This book was released on 2007-05-06 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: The empirical studies presented in this book model the endogeneity by applying the simultaneous equations methodology on the relation of ownership and financial performance as well as on different ownership dimensions themselves. Its final model comprises a four equations system containing performance, general ownership concentration, managerial and institutional ownership.

Download or read book Financial Integration Entrepreneurial Risk and Global Dynamics written by George-Marios Angeletos and published by DIANE Publishing. This book was released on 2011-04 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: How does financial integration impact capital accumulation, current-account dynamics, and cross-country inequality? This paper investigates this question within a two-country, general-equilibrium, incomplete-markets model that focuses on the importance of idiosyncratic entrepreneurial risk -- a risk that introduces, not only a precautionary motive for saving, but also a wedge between the interest rate and the marginal product of capital. This friction provides a simple resolution to the empirical puzzle that capital often fails to flow from the rich or slow-growing countries to the poor or fast-growing ones, and a distinct set of policy lessons regarding the intertemporal costs and benefits of capital-account liberalization. Illus. A print on demand report.

Download or read book Handbook of Corporate Finance written by David J. Denis and published by Edward Elgar Publishing. This book was released on 2024-02-12 with total page 709 pages. Available in PDF, EPUB and Kindle. Book excerpt: Expertly surveying the realm of corporate finance, this adroitly-crafted Handbook offers a wealth of conceptual analysis and comprehensively outlines recent scholarly research and developments within the field. It not only delves into the theoretical dimensions of corporate finance, but also explores its practical implications, thereby bridging the gap between these distinct strands.

Download or read book Portfolio Preferences of Foreign Institutional Investors written by Reena Aggarwal and published by World Bank Publications. This book was released on 2003 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Handbook of Traditional and Alternative Investment Vehicles written by Mark J. P. Anson and published by John Wiley & Sons. This book was released on 2010-12-03 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive volume that covers a complete array of traditional and alternative investment vehicles This practical guide provides a comprehensive overview of traditional and alternative investment vehicles for professional and individual investors hoping to gain a deeper understanding of the benefits and pitfalls of using these products. In it, expert authors Mark Anson, Frank Fabozzi, and Frank Jones clearly present the major principles and methods of investing and their risks and rewards. Along the way, they focus on providing you with the information needed to successfully invest using a host of different methods depending upon your needs and goals. Topics include equities, all types of fixed income securities, investment-oriented insurance products, mutual funds, closed-end funds, investment companies, exchange-traded funds, futures, options, hedge funds, private equity, and real estate Written by the expert author team of Mark Anson, Frank Fabozzi, and Frank Jones Includes valuable insights for everyone from finance professionals to individual investors Many finance books offer collections of expertise on one or two areas of finance, but The Handbook of Traditional and Alternative Investment Vehicles brings all of these topics together in one comprehensive volume.

Download or read book The Quality of the Legal System Firm Ownership and Firm Size written by Luc Laeven and published by World Bank Publications. This book was released on with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Econophysics and Capital Asset Pricing written by James Ming Chen and published by Springer. This book was released on 2017-10-04 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the frustration with beta stems from the failure to disaggregate its discrete components; conventional beta is often treated as if it were "atomic" in the original Greek sense: uncut and indivisible. By analogy to the Standard Model of particle physics theory's three generations of matter and the three-way interaction of quarks, Chen divides beta as the fundamental unit of systemic financial risk into three matching pairs of "baryonic" components. The resulting econophysics of beta explains no fewer than three of the most significant anomalies and puzzles in mathematical finance. Moreover, the model's three-way analysis of systemic risk connects the mechanics of mathematical finance with phenomena usually attributed to behavioral influences on capital markets. Adding consideration of volatility and correlation, and of the distinct cash flow and discount rate components of systematic risk, harmonizes mathematical finance with labor markets, human capital, and macroeconomics.

Download or read book Do IMF Programs Stimulate Private Sector Investment written by Pietro Bomprezzi and published by International Monetary Fund. This book was released on 2022-07-29 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides new evidence on the role of IMF programs in stimulating private sector investments. Using detailed firm-level data on tangible fixed assets and a local projection methodology, we first estimate the dynamic response of firm investments to the approval of an IMF arrangement. We find that distinguishing between GRA and PRGT financing matters for the path of firm investment and its growth, and we also document the presence of two financial channels; the degree of firms’ external financial dependence and firms’ sectoral uncertainty. Exploiting these firm-level characteristics, we employ a difference-in-differences approach to understand the mechanisms through which the approval of an IMF arrangement propagates in the private sector. We find that the more firms rely on external finance and the more they are subject to uncertainty, the less binding these financial frictions become, and hence the more firms invest following a program approval. Finally, using ownership data, we find that private investments are stimulated more for domestic firms. The presence of a private investment transmission channel could help improve our understanding of what factors could affect the success and effectiveness of IMF programs.

Download or read book Bovernance and Bank Valuation written by Gerard Caprio and published by World Bank Publications. This book was released on 2003 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Which public policies and ownership structures enhance the governance of banks? This paper constructs a new database on the ownership of banks internationally and then assesses the ramifications of ownership, shareholder protection laws, and supervisory/regulatory policies on bank valuations. Except in a few countries with very strong shareholder protection laws, banks are not widely held, but rather families or the State tend to control banks. We find that (i) larger cash flow rights by the controlling owner boosts valuations, (ii) stronger shareholder protection laws increase valuations, and (iii) greater cash flow rights mitigate the adverse effects of weak shareholder protection laws on bank valuations. These results are consistent with the views that expropriation of minority shareholders is important internationally, that laws can restrain this expropriation, and concentrated cash flow rights represent an important mechanism for governing banks. Finally, the evidence does not support the view that empowering official supervisory and regulatory agencies will increase the market valuation of banks"--NBER website

Download or read book Private Real Estate Markets and Investments written by H. Kent Baker and published by Oxford University Press. This book was released on 2014-08-07 with total page 311 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an overview of private real estate markets and investments. The 14 chapters are divided into three sections for conventional and alternative real estate investments and regulatory issues. Conventional investable real assets examined are retail spaces, apartments, offices, and industrial facilities owned by corporate entities. Alternative real estate assets are uniquely and extensively addressed. These include healthcare, both for facilities and the pricing to make it an investable asset; infrastructure contains roads, bridges, and public utilities; and resources are in land, agriculture, oil, and gas. The regulatory section includes appraisal and valuation, brokerage and transaction costs, sustainability, and green buildings. Readers should gain a greater appreciation of what is needed to be successful when investing in private real estate markets. The share of real estate in institutional portfolios has risen above a previous 5% target, as investors avoid the risks of low interest rates. The world's wealth is shifting to emerging markets where real estate is already a dominant asset class and public securities markets are limited. Institutions with long horizons avoid publicly traded markets because they want to capture any premium from illiquidity. Real estate involves local and cultural restrictions on land usage, sustainability and on the regulation of the illiquidity. For information about public real estate, read Public Real Estate Markets and Investments.

Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.