Investment Strategies: Implementation and Performance
By:Gerhard W”rtche
Published on 2010-05 by Diplomica Verlag
This book analyzes several investment strategies that are applied to an international equity portfolio. The evaluated strategies are: the Simple Crossover Moving Average, the Equally Weighted Portfolio, the Minimum Variance Portfolio, the Certainty Equivalent Tangency Portfolio, the James Stein Estimator and the Black Litterman Model. Besides the applied methodology part which demonstrates how to implement the considered strategies, the empirical section shows from the viewpoint of a European investor whether the final performance parameters are mainly due to returns of foreign markets or through exchange rate developments. The investigation is carried out from an ex ante as well as from an ex post perspective. In order to examine the time window of a strategy, the in- and the out of the sample periods are varied. The empirical investigation indicates that - the relative young more sophisticated approaches are superior to the traditional strategies, the impact of exchange rate developments cannot be ignored in an equity portfolio, nearly no conclusion can be drawn in the context of a superior in- and out of the sample period.
This Book was ranked at 41 by Google Books for keyword markets and efficiency.
Book ID of Investment Strategies: Implementation and Performance's Books is NCX6AwAAQBAJ, Book which was written byGerhard W”rtchehave ETAG "JG2CswoEfL4"
Book which was published by Diplomica Verlag since 2010-05 have ISBNs, ISBN 13 Code is 9783836690140 and ISBN 10 Code is 3836690144
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