Asset Allocation and International Investments

1. Front Matter

   Pages i-xix

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2. Time-Varying Downside Risk: An Application to the Art Market

   • Rachel Campbell, Roman Kräussl

   Pages 1-15

3. International Stock Portfolios and Optimal Currency Hedging with Regime Switching

   • Markus Leippold, Felix Monger

   Pages 16-41

4. The Determinants of Domestic and Foreign Biases: An Empirical Study

   • Fathi Abid, Slah Bahloul

   Pages 42-79

5. The Critical Line Algorithm for UPM-LPM Parametric General Asset Allocation Problem with Allocation Boundaries and Linear Constraints

   • Denisa Cumova, David Moreno, David Nawrocki

   Pages 80-95

6. Currency Crises, Contagion and Portfolio Selection

   • Arindam Bandopadhyaya, Sushmita Nagarajan

   Pages 96-102

7. Bond and Stock Market Linkages: The Case of Mexico and Brazil

   • Arindam Bandopadhyaya

   Pages 103-113

8. The Australian Stock Market: An Empirical Investigation

   • Adeline Chan, J. Wickramanayake

   Pages 114-136

9. The Price of Efficiency — So, What Do You Think About Emerging Markets?

   • Zsolt Berényi

   Pages 137-150

10. Liquidity and Market Efficiency Before and After the Introduction of Electronic Trading at the Sydney Futures Exchange

    • Mark Burgess, J. Wickramanayake

    Pages 151-182

11. How Does Systematic Risk Impact Stocks? A Study of the French Financial Market

    • Hayette Gatfaoui

    Pages 183-213

12. Matrix Elliptical Contoured Distributions versus a Stable Model: Application to Daily Stock Returns of Eight Stock Markets

    • Taras Bodnar, Wolfgang Schmid

    Pages 214-227

13. The Modified Sharpe Ratio Applied to Canadian Hedge Funds

    • Greg N. Gregoriou

    Pages 228-234

14. Back Matter

    Pages 235-244

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This book relates to strategic asset allocation for institutional investors. It consists of a collection of edited papers from academics worldwide on the latest developments in asset allocation, portfolio management and international investments. These expert studies can improve the risk and return characteristics of your investment portfolio.

• asset allocation
• Futures
• Investment
• Investments
• Portfolio
• Portfolio Management
• Portfolio Selection
• investments and securities

• State University of New York (Plattsburgh), USA

  Greg N. Gregoriou

FAITH ABID SLAH BAHLOUL ARINDAM BANDOPADHYAYA Chairman and Associate Professor of Finance at UMASS-Boston, USA A. CHAN BART FRIJNS Senior Lecturer at the School of Business, Auckland University of Technology, New Zealand STEFANO GALLUCCIO Director at the Investment Banking Division of BNP Paribas, London, UK KLAUS HELLWIG Professor of Business Administration, University of Ulm, Germany MARKUS LEIPPOLD Assistant Professor of Finance at the Swiss Banking Institute of the University of Zurich, Switzerland CLAUDIO MARSALA Quantitative Portfolio Manager at Ras Asset Management FELIX MORGER Fourth-year PhD Student at the Swiss Banking Institute of the University of Zurich, Switzerland SUSHMITA NAGARAJAN Senior Associate in the Structured Finance Group, Moody's Investor Service, New York, USA ROGÉR OTTEN Assistant Professor of Finance at Maastricht University, The Netherlands MASSIMILIANO PALLOTTA Member of the Risk Management Team at Ras Asset Management VALERIO POTI Finance Lecturer at Dublin City University, Ireland STEFANO RICCI Member of the Quantitative Portfolio Management Unit at Ras Asset Management ANDREA RONCORONI Assistant Professor in the Finance Department of the ESSEC Business School, Paris, France JAYASINGHE WICKRAMANAYAKE RAFFAELE ZENTI Quantitative Portfolio Manager at Ras Asset Management and Lecturer at the Master in Finance of CORIPE, University of Turin, Italy

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