The book gives an introduction to portfolio theory and management and shall help the reader to better set up a long-term strategic asset allocation. After an introduction into financial markets, their instruments and players, the Markowitz portfolio theory is derived. Limitations and alternatives to Markowitz are discussed. Factor models, the capital asset pricing model and the arbitrage pricing theory, as well as the theory of efficient markets are considered, before we turn to the valuation of securities. The final section deals with the steps of asset allocation, performance measurement and international portfolios.
Michael Frömmel is a Full Professor of Finance at Ghent University, where he has been teaching and conducting research since 2007. His work focuses on empirical financial market analysis, including international financial markets, foreign exchange, market microstructure, and institutional asset management. He earned his doctoral degree in Economics from Leibniz University Hannover (summa cum laude) and has published a large number of articles in international peer reviewed journals, several books, and numerous book chapters.
He has held visiting research and teaching positions at universities and research institutes worldwide, including the London School of Economics, the Austrian National Bank, the Hungarian National Bank, the Bulgarian National Bank, the Higher School of Economics in Saint Petersburg, and Shanghai Dian Ji University. His international research visits also include collaborations with central banks and economic research institutes in Europe, working on projects related to exchange rate modelling, credit market dynamics, volatility, and financial market microstructure.
In addition to his academic output, Froemmel has collaborated with the financial industry in projects on trading behaviour, market efficiency, and asset pricing. He has coordinated major international research projects funded by national and international research foundations, and he has supervised many PhD students. He regularly presents his work at leading international finance conferences.
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