Catálogo de publicaciones - tesis
Título de Acceso Abierto
Cross sectional dispersion in active portfolio management of the CAC40 index
Guillaume Manca Ignacio Warnes
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Resumen/Descripción – provisto por el repositorio digital
"When active managers try to outperform the benchmark they predict which stocks will perform better than others, forecasting the cross-sectional dispersion (or standard deviation) of returns. This measure is central to understand and enhance performances of the active managers. Based on the hypothesis set forth by Larry R. Gorman (2010) we will verify whether this measure of the risk impacts systematic and idiosyncratic risks, and impacts the results of the active manager looking for outperforming the benchmark. Moreover we will verify whether active portfolio returns are function of managers’ skill and cross- sectional dispersion, on the CAC40, in order to prove that Gorman’s work conclusions are verified on the French market."Palabras clave – provistas por el repositorio digital
Portfolio management; Mathematical models.; Financial risk management; Mathematical models.; Asset allocation; Mathematical models.; Cartera de valores; Dirección y administración; Modelos matemáticos.; Administración de riesgos financieros; Modelos matemáticos.; Asignación de activos; Modelos matemáticos.
Disponibilidad
| Institución detectada | Año de publicación | Navegá | Descargá | Solicitá |
|---|---|---|---|---|
| No requiere | 2015 | Repositorio Digital San Andrés (SNRD) |
|
Información
Tipo de recurso:
tesis
Idiomas de la publicación
- inglés
País de edición
Argentina
Fecha de publicación
2015-08
Información sobre licencias CC
