haku: @indexterm PORTFOLIO INVESTMENT / yhteensä: 425
viite: 87 / 425
| Tekijä: | Albrecht, P. Maurer, R. Mayser, J. |
| Otsikko: | Multi-Faktorenmodelle: Grundlagen und Einsatz im Management von Aktien-Portefeuilles |
| Lehti: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1996 : VOL. 48:1, p. 3-29 |
| Asiasana: | PORTFOLIO INVESTMENT PORTFOLIO MANAGEMENT MULTIPLE FACTOR ANALYSIS |
| Kieli: | ger |
| Tiivistelmä: | The present paper gives a systematic introduction to multi- factor-models for stock portfolios and their applications in investment management. The existing alternative approaches to the statistical identification of multi-factor-models are discussed and corresponding examples are given. The paper explains how risk and return of stock portfolios can be systematically decomposed including the measurement of selectivilty and market timing effects. The applications in investment management discussed are portfolio optimization, beta prediction and performance analysis. |
SCIMA