Greek Tragedies by David Grene
The recent introduction of two European index options on the FTSE Eurotrack 100 and the Eurotop 100 is evidence of a demand from investors to hedge pan-European risk. The FTSE Eurotrack 100 was designed to closely resemble the longer established and widely quoted Morgan Stanley European index. The Eurotrack 100 covers a hundred companies in eleven countries in continental Europe. The index is denominated in DM and' a breakdown by value into the different countries covered is given in figure 1. Capitalisation weights for Figure 1 FT-SE Eurotrack 100 Index Norway mark Germany Italy Switzerland France Netherlands Another recently introduced European index is the Eurotop 100 index denominated in EeUs, this index contains twenty two UK companies which represent 27% by value of this index. The attraction of investments in these indices is that they provide a basis for weighted exposure to Europe, investors can then build on this 240 basis by investment in individual countries. The multinational context of the universe of shares defined by this index raises some new questions for the selection of portfolios, whether the portfolios are chosen for absolute performance or to track the index. Various possible objectives of portfolio selection will be discussed, in all cases the crucial role of the covariance matrix of returns is clear. The extra source of risk present in a multinational portfolio is the combination of country risk coupled with foreign exchange risk. Two models of the return covariance matrix are proposed and examined.David Grene (1913-2002) was a classics professor at the University of Chicago for many years. He was a founding member of the Council on Social Thought and coedited the acclaimed series The Complete Greek Tragedies published by the University of Chicago Press.
| SKU | Unavailable |
| ISBN 13 | 9780226307756 |
| ISBN 10 | 0226307751 |
| Title | Greek Tragedies |
| Author | David Grene |
| Series | Phoenix Books |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | The University of Chicago Press |
| Year published | 1960-02-15 |
| Number of pages | 319 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |