Comparing Mean Variance Tests with Stochastic Dominance Tests when Assessing International Portfolio Diversification Benefits
Author | : Thomas O. Meyer |
Publisher | : |
Total Pages | : 34 |
Release | : 2004 |
Genre | : Investment analysis |
ISBN | : |
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Author | : Thomas O. Meyer |
Publisher | : |
Total Pages | : 34 |
Release | : 2004 |
Genre | : Investment analysis |
ISBN | : |
Author | : Thomas O. Meyer |
Publisher | : |
Total Pages | : 36 |
Release | : 2007 |
Genre | : |
ISBN | : |
Stochastic dominance has been shown to be theoretically superior to mean variance (MV) analysis because it considers the entire return distribution and is based on minimally-restrictive assumptions regarding investor motives. This study uses stochastic dominance to examine whether adding internationally-based assets to a wholly-domestic portfolio generates diversification benefits. In contrast to previous MV findings, a New Zealand-only portfolio stochastically dominates four internationally-diversified portfolios across all periods considered. Similarly, the least internationally-diversified portfolio persistently dominates more diversified counterparts. Within-portfolio analysis supports the fundamental precept of finance theory showing that in the Asian Crisis period, the least risky/lowest return weighting schemes dominate those with a greater risk or higher return characteristic.
Author | : Gagari Chakrabarti |
Publisher | : Springer |
Total Pages | : 110 |
Release | : 2014-08-28 |
Genre | : Business & Economics |
ISBN | : 8132220269 |
This book seeks to answer the essential question of the investment-worthiness of green instruments. It is evident that investing in green and energy-efficient firms will be the most profitable choice for wise investors in the years to come. The reconciliation of the social choice for green technology and investors’ choice for gray technology will be automatically achieved once green firms become more profitable than gray ones, in the Indian context. As there has been very little research done in this area, especially in the Indian context, this book addresses that gap. In order to do so, it follows the development of five different portfolios consisting of 100% green, 75% green-25% gray, 50% green-50% gray, 25% green-75% gray and 100% gray stocks, and attempts to answer questions such as: Do green portfolios entail less relative own-risk as compared to their gray counterparts? How effectively do green portfolios avoid market risk? Are green portfolios inherently more stable? Do green portfolios have a higher probability of surviving a financial crisis? Is the performance of green portfolios backed by their fundamentals? Is there any particular technical trading strategy that can ensure a consistently above-average return from these portfolios?
Author | : Frith Jarrad |
Publisher | : CABI |
Total Pages | : 388 |
Release | : 2015-03-13 |
Genre | : Science |
ISBN | : 1780643594 |
This book is a source of information on practical and innovative approaches to biosecurity surveillance. It explains the foundation and concepts behind surveillance design, with examples of methods and tools created to deal with surveillance challenges. With supporting case studies and including current directions in research, it covers evidence-based approaches to surveillance, statistics, detectability, single and multi-species detection, risk assessment, diagnostics, data-basing, modelling of invasion and spread, optimisation, and future climate challenges.
Author | : Khaled Guesmi |
Publisher | : World Scientific |
Total Pages | : 142 |
Release | : 2021-09-15 |
Genre | : Business & Economics |
ISBN | : 9811239622 |
The World Health Organization confirmed COVID-19 a pandemic on March 11, 2020, causing vast impact on international economy. The coronavirus pandemic has given rise to an unprecedented global health and economic crises. Apart from the toll of early deaths, economic activities have been stalled and stock markets have tumbled, while a wide range of energy markets — including oil, gas and renewable energy — have been severely affected. This crisis The pandemic has stressed the critical value of the health care infrastructure and electricity infrastructure. In view of the above, while governments and policy makers respond to these interlinked crises, they must not lose sight of a major challenge of our time: clean energy transitions.The pandemic has continued to to slow down the recovery of economic activities and consumption due to combination of many factors such as economic recession, expensive storage, warm climate, and enormous uncertainty. Mitigation and adaptation policies are crucial to overcoming the crisis. The commodity futures market will depend on the effectiveness of decision-makers' policies in containing the COVID-19 outbreak and reducing the negative effect of the pandemic on economic activities. This book seeks to throw light on the adverse effects of COVID-19 through enhanced scientific and multi-disciplinary knowledge. The chapters in the book show that the energy, stock, crypto-currencies markets are vulnerable to the surge in coronavirus deaths.
Author | : Gregory J. Stock |
Publisher | : |
Total Pages | : 378 |
Release | : 2007 |
Genre | : Stochastic orders |
ISBN | : |