Encyclopedia of Finance Part 25 ppsx

... x i ¼ proportion of investment in security i s ii ¼ variance of rate of return of security i s ij ¼ covariance of rate of return of security i and j r i ¼ expected rate of return of security i k ... x 4 % x 5 % 1 257 .2 39.19 0 31.87 28.94 0 257 .2 39.19 0 31.87 28.94 0 257 .2 39.19 0 31.87 28.94 0 2 257 .2 39.19 0 31.87 28.94 0 257 .2 39.19 0 31.87 28.94 0 257 .2 39.1...

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... decimalization,’’ prepared by NYSE Research Department. 442 ENCYCLOPEDIA OF FINANCE The development in the Chinese markets may affect the risk and return of A- and B-share classes. He and Wu (2003) ... Pacific- Basin Finance Journal, 7: 557–586. Sun, Q. and Tong, W. (2000). ‘‘The effect of market segmentation on stock prices: the China syndrome.’’ Journal of Banking and Finance...

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... implica- tion of this is that pricing may fail to be linear and instead be sublinear: the value of the sum of pay- offs may be less than the sum of the values of the individual payoffs. Thus, there ... that the cost of super-replicating a pool of payoffs may be cheaper than the sum of the costs of super-replicating the individual payoffs. In other words, the sublinearity res...

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... and professionals, in an attempt to meet the demand for a key source of fundamental finance terminology and concepts. This Encyclopedia of Finance contains five parts. Part I includes finance terminology ... Distinguished Professor of Finance at Rutgers Busi- ness School, Rutgers University and was chairperson of the Department of Finance from 1988–1995. He has also se...

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... company subsidiaries. Furthermore, there is a limitation of the total assets of all financial subsidiaries of 45 percent of the total assets of the bank or $50 billion. 2.3. Functional Regulation ... http:==econ.worldbank.org=programs =finance= topic=depinsurance= 304 ENCYCLOPEDIA OF FINANCE The law, as passed, requires regulators to estab- lish standards to ensure the privacy...

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... Maturity ¼ n years. Empty cell represents the improbable case of r pf < r z . 318 ENCYCLOPEDIA OF FINANCE Journal of international Money and Finance, 9: 182–192. De Santis G. and Gerard, B. (1997). ... theory of capital asset pricing.’’ Journal of Economic Theory, 13: 341–360. Sharpe, W. (1964). ‘‘Capital asset prices: a theory of market equilibrium under conditions of r...

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... (1989). ‘‘The impact of data errors on meas- urement of the foreign exchange risk premium.’’ Jour- nal of International Money and Finance, 8: 147–157. 356 ENCYCLOPEDIA OF FINANCE asset on each ... swap CREDIT DERIVATIVES 341 Counterparty A 100 Counterparty B Counterparty A Counterparty B Reference asset worth P Dirty C LIBOR + S C Counterparty A Counterparty B 100 100 Maturity Pa...

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... 3.09 Foreign Official Institutions 125 0.08 125 0.18 Total 156,374 100.00 a 71,338 100.00 a, b a Numbers are in percentage. b Does not add to 100.00 percent because of rounding. 362 ENCYCLOPEDIA OF FINANCE Ferson, ... the Arbitrage Pricing Theory.’’ Journal of Finance, 43(3): 721–733. 372 ENCYCLOPEDIA OF FINANCE Chapter 7 TREASURY INFLATION-INDEXED SECURITIES QUENTIN C. CH...

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... ability of the manager’s choices at the begin- ning of the first period to predict the subsequent 388 ENCYCLOPEDIA OF FINANCE Grant, D. (1977). ‘‘Portfolio performance and the ‘‘cost’’ of timing ... ‘‘A nonparametric test of market timing.’ Journal of Empirical Finance, 10: 399– 425. Kazemi, H. (2003). ‘‘Conditional Performance of Hedge Funds.’’ Working Paper, University...

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... regard to the time of receipt or payment of cash. Financial accounting enables a manager to measure the financial performance of a firm by 398 ENCYCLOPEDIA OF FINANCE A total review of a cash management ... return of asset i, the payoff equals 1. Where the payoff of asset i is an excess return, the price equals 0. Equation (12.1) states that the expected value of the risk-...

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