By Heinz Zimmermann
Finds new methodologies for asset pricing inside an international asset allocation framework.Contains state-of-the-art empirical examine on international markets and sectors of the worldwide economy.Introduces the Black-Litterman version and the way it may be used to enhance international asset allocation judgements.
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Extra resources for Global Asset Allocation: New Methods and Applications (Wiley Finance)
The Stulz Consumption-Based IntCAPM In several papers, Stulz (1981a, 1984) suggests a consumption-based equilibrium model to determine expected returns in an international setting. This model may also be seen as a simple alternative to the multi-beta IntAPM of Adler and Dumas (1983). 17 Stulz (1984) contains a discrete-time version of the model. 33) and ri is the (inflation adjusted) real return on the ith asset in excess of the real rate of return on the asset that is risk-free in terms of real consumption growth.
Although the structure of the pricing restrictions, derived by assuming that all markets are in equilibrium, is similar to standard closed-economy valuation concepts, a prevalent conclusion is that the world market portfolio is not optimal a priori. In an international environment, unexpected changes in exchange rates affect the investors’ perception of asset returns differently, inducing a demand for individual purchasing power hedge portfolios. Hence, a well-identified benchmark portfolio of risky assets does not exist in the setting of an IntAPM, which makes the theory burdensome to test empirically.
12) now separating the demand for risky stocks and the demand for currency forward contracts. However, before we can give this equation economic content, a few technical comments are necessary. 13a) which represents the coefficients of a linear regression of excess stock returns (in domestic currency) on excess returns on the riskfree deposit (in domestic currency), or, equivalently, the payoffs of the currency forward contracts. Taking currency forward positions according to this matrix produces a minimum-variance currency hedge.
Global Asset Allocation: New Methods and Applications (Wiley Finance) by Heinz Zimmermann