Originally published as Managerial Finance, Volume 32, Issue 4
ISBN: 1 84544 943 6
Guest Edited by: Giampaolo Gabbi
Applying strict quantitative methodology to management issues involving assets, intellectual capital or intangibles is notoriously difficult. This e-book provides an excellent exploration of these issues, and specifically analyses the optimization of asset management for pension funds, performance evaluation, fund management and strategies for portfolio optimization
Contents:
Fund management, intellectual capital, intangibles and private disclosure
This paper aims to explore how fund managers (FMs) deal with major problems of ignorance and uncertainty in stock selection and in asset allocation decisions.
Using analysts’ earnings forecasts for country/industry-based asset allocation
This paper seeks to investigate the usefulness of analysts’ earnings forecast revisions in the allocation of funds to different industries and countries. In particular, it asks whether a post analyst revision announcement drift in prices can be exploited to guide an asset allocation strategy based on industry, or country, selection.
Portfolio optimisation under changing risk via time-varying beta
The paper is aimed at modelling time varying betas via a state space representation in order to decompose the marginal contribution to risk of downside and upside deviations of asset returns in portfolio optimisation.
Optimal asset management for pension funds
Purpose – The purpose of this paper is to study the asset allocation problem for a pension fund which maximizes the expected present value of its wealth augmented by the prospective mathematical reserve at the death time of a representative member.
Performance evaluation considering the coskewness: A stochastic discount factor framework
The paper aims to examine the performance of Spanish mutual funds between 1999 and 2003.
About Managerial Finance
Managerial Finance aims to provide an international forum for the publication of high quality research in: finance, financial management, international finance, economics, banking, financial markets, financial institutions, financial strategy, accounting and management information.
Visit the Managerial Finance homepage
