Bektic, Demir (2018)
Factor-based Portfolio Management with Corporate Bonds.
Technische Universität Darmstadt
Dissertation, Erstveröffentlichung
Kurzbeschreibung (Abstract)
Over the past 50 years financial asset pricing theories have evolved from simple single-factor models to more complex multi-factor models. Initially, Sharpe’s (1964) Capital Asset Pricing Model (CAPM) postulated that security markets can be described by a single factor (market beta). The basic premise of the model is that market participants require a risk premium for investing in high-beta assets that are typically considered more risky than low-beta assets. However, in the aftermath of the 2008 global financial crisis, two major trends emerged in the investment industry that laid the groundwork for the rise of factor-based investment strategies: 1) Investors started to evaluate and implement portfolio diversification in terms of underlying systematic risk factors given the failure of active management to provide adequate downside protection. 2) Investors demanded cost-effective, transparent and systematic alternative investment vehicles that could capture most or at least parts of active managers’ excess return. As a consequence, factor-based investing has grown in popularity and rapidly attracted academics, asset managers and institutional investors.
| Typ des Eintrags: | Dissertation | ||||
|---|---|---|---|---|---|
| Erschienen: | 2018 | ||||
| Autor(en): | Bektic, Demir | ||||
| Art des Eintrags: | Erstveröffentlichung | ||||
| Titel: | Factor-based Portfolio Management with Corporate Bonds | ||||
| Sprache: | Englisch | ||||
| Referenten: | Schiereck, Prof. Dr. Dirk ; Krüger, Prof. Dr. Jens | ||||
| Publikationsjahr: | 2018 | ||||
| Ort: | Darmstadt | ||||
| Datum der mündlichen Prüfung: | 13 Februar 2018 | ||||
| URL / URN: | http://tuprints.ulb.tu-darmstadt.de/7272 | ||||
| Kurzbeschreibung (Abstract): | Over the past 50 years financial asset pricing theories have evolved from simple single-factor models to more complex multi-factor models. Initially, Sharpe’s (1964) Capital Asset Pricing Model (CAPM) postulated that security markets can be described by a single factor (market beta). The basic premise of the model is that market participants require a risk premium for investing in high-beta assets that are typically considered more risky than low-beta assets. However, in the aftermath of the 2008 global financial crisis, two major trends emerged in the investment industry that laid the groundwork for the rise of factor-based investment strategies: 1) Investors started to evaluate and implement portfolio diversification in terms of underlying systematic risk factors given the failure of active management to provide adequate downside protection. 2) Investors demanded cost-effective, transparent and systematic alternative investment vehicles that could capture most or at least parts of active managers’ excess return. As a consequence, factor-based investing has grown in popularity and rapidly attracted academics, asset managers and institutional investors. |
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| URN: | urn:nbn:de:tuda-tuprints-72726 | ||||
| Sachgruppe der Dewey Dezimalklassifikatin (DDC): | 300 Sozialwissenschaften > 330 Wirtschaft | ||||
| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Betriebswirtschaftliche Fachgebiete > Fachgebiet Unternehmensfinanzierung 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Betriebswirtschaftliche Fachgebiete 01 Fachbereich Rechts- und Wirtschaftswissenschaften |
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| Hinterlegungsdatum: | 04 Mär 2018 20:55 | ||||
| Letzte Änderung: | 04 Mär 2018 20:55 | ||||
| PPN: | |||||
| Referenten: | Schiereck, Prof. Dr. Dirk ; Krüger, Prof. Dr. Jens | ||||
| Datum der mündlichen Prüfung / Verteidigung / mdl. Prüfung: | 13 Februar 2018 | ||||
| Export: | |||||
| Suche nach Titel in: | TUfind oder in Google | ||||
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