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Risk-Return Relationship and Portfolio Management
- © 2019
- Raj S. Dhankar 0
Faculty of Management Studies (FMS), University of Delhi, New Delhi, India
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- Covers various aspects of risk and return against the backdrop of uncertainty and portfolio management
- Focuses on the applied aspects of portfolio management
- Is a valuable guide for researchers and portfolio managers, as well as M.B.A., Ph.D., and graduate students majoring in finance
Part of the book series: India Studies in Business and Economics (ISBE)
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About this book
This book covers all aspects of modern finance relating to portfolio theory and risk–return relationship, offering a comprehensive guide to the importance, measurement and application of the risk–return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in developing economies. Part III highlights the significance of risk–return analysis as a prerequisite for investment decisions, while Part IV examines the selection and performance appraisals of portfolios against the backdrop of the risk–return relationship. It also examines new tools such as the value-at-risk application for mutual funds and the applications of the price-to-earnings ratio in portfolio performance measurement. Lastly, Part V explores contemporary issues in finance, including the relevance of Islamic finance in the increasingly volatile global financial system.
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Table of contents (20 chapters)
Front matter, valuation of capital assets, capital asset pricing model: an overview.
Raj S. Dhankar
Indian Stock Market and Relevance of Capital Asset Pricing Models
Non-linearities, garch effects and emerging stock markets, stock market overreaction, market efficiency and capital market models, single-factor model and portfolio management, variance ratio test, arima model and stock price behaviour, multifactors model and portfolio management, market efficiency and stock market, risk-return analysis and stock markets, risk-return analysis and investment decision, time series of return and volatility, correlation, uncertainty and investment decisions, risk–return assessment: an overview, portfolio selection, performance and risk-return relationship, market efficiency, diversification and portfolio performance, price earning ratio, efficiency and portfolio performance, risk diversification and market index model.
“This book will provide clarity and direction to the investors and policy-makers alike in making sound decisions. It will be also useful for students and teachers of financial mathematics in business schools and other economic departments.” (Yuliya S. Mishura, zbMATH 1442.91001, 2020)
Authors and Affiliations
About the author.
Prof. Raj S Dhankar , a thought leader and institution builder, is currently the Chief Executive Officer (CEO) for Higher Education at Appejay Education Society, New Delhi. He is also a Professor of Finance and former Dean of the Faculty of Management Studies (FMS), University of Delhi, India. In the course of his career, he has held various administrative positions like the Vice-Chancellor, Amity University, Raipur; Vice-Chancellor, Ansal University, Gurgaon; Vice-Chancellor, Maharishi Dayanand University, Rohtak, Haryana; and Director of the Centre for Canadian Studies, University of Delhi.
Holding a Ph.D. (1983) and Post-Doctoral Studies degree (PDS) (1987) in Finance, Prof. Dhankar has been actively involved in teaching, research, training and consultancy in the field of finance since 1977. He received a Commonwealth Scholarship for a Ph.D. program in the UK and Post-Doctoral Studies (PDS) Scholarship for the USA from the Government of India. Prof. Dhankar receivedhis PDS in Finance from the John Anderson Graduate School of Management, University of California, Los Angeles (UCLA), USA in 1987, and has taught at several international universities including the University of California, Los Angeles (UCLA), University of Southern California (USC), and Lakehead University, Canada. He has completed several major research projects with financial assistance from national and international agencies. He has six books to his credit, and has published over one hundred research papers in major national and international journals.
Bibliographic Information
Book Title : Risk-Return Relationship and Portfolio Management
Authors : Raj S. Dhankar
Series Title : India Studies in Business and Economics
DOI : https://doi.org/10.1007/978-81-322-3950-5
Publisher : Springer New Delhi
eBook Packages : Economics and Finance , Economics and Finance (R0)
Copyright Information : Springer Nature India Private Limited 2019
Hardcover ISBN : 978-81-322-3948-2 Published: 06 November 2019
eBook ISBN : 978-81-322-3950-5 Published: 24 October 2019
Series ISSN : 2198-0012
Series E-ISSN : 2198-0020
Edition Number : 1
Number of Pages : XXII, 323
Number of Illustrations : 18 b/w illustrations, 17 illustrations in colour
Topics : Finance, general , Accounting/Auditing , Quantitative Finance
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- > Capital Without Borders
- > Foreign Portfolio Investment, Stock Market and Economic Development: A Case Study in India
Book contents
- Frontmatter
- Acknowledgements
- List of Contributors
- 1 Introduction
- 2 How Financial Liberalization Led in the 1990s to Three Different Cycles of ‘Manias, Panics and Crashes’ in Middle-Income Countries
- 3 Timing the Mexican 1994–95 Financial Crisis using a Markov Switching Approach
- 4 Exchange Rates, Growth and Inflation: What If the Income Elasticities of Trade Flows Respond to Relative Prices?
- 5 Alternative Measures of Currency and Asset Substitution: The Case of Turkey
- 6 Competitive Diversification in Resource Abundant Countries: Argentina after the Collapse of the Convertibility Regime
- 7 Foreign Portfolio Investment, Stock Market and Economic Development: A Case Study in India
- 8 Transnational Corporations and the Internationalization of Research and Development Activities in Developing Countries: The Relative Importance of Affiliates in Asia and Latin America
- 9 External Debt Nationalization as a Major Tendency on Brazilian External Debt in the Twentieth Century: The Shifting Character of the State during Debt Crisis
- 10 Prudential Regulation and Safety Net: Recent Transformations in Brazil
- 11 Re-crafting Bilateral Investment Treaties in a Development Framework: A Comparative Regional Perspective
7 - Foreign Portfolio Investment, Stock Market and Economic Development: A Case Study in India
Published online by Cambridge University Press: 05 March 2012
The objective of this study is to examine the impact of Foreign Portfolio Investment on India's economy and industry. As FPI essentially interacts with the real economy via the stock market, the effect of stock market on the country's economic development will also be examined. The findings of this chapter show that the perceived benefits of foreign portfolio investment have not been realized in India. From the results of this study it can be said that the mainstream argument that the entry of foreign portfolio investors will boost a country's stock market and consequently the economy, does not seem be working in India. The influx of FIIs has indeed influenced the secondary market segment of the Indian stock market. But the supposed linkage effects with the real economy have not worked in the way the mainstream model predicts. Instead there has been an increased uncertainty and skepticism about the stock market in this country.
On the other hand, the surge in foreign portfolio investment in the Indian economy has introduced some serious problems of macroeconomic management for the policymakers. Uncertainty and volatility associated with FPI have not only reduced the degrees of maneuverability available to the policymakers but have also forced them to take some measures which impose significant fiscal cost on the economy.
Though this study focuses on India and draws policy implications based on the Indian experience, the results and policy implications of this study can be used to draw lessons for other developing which are at the same or similar level of development.
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- Foreign Portfolio Investment, Stock Market and Economic Development: A Case Study in India
- By Parthapratim Pal , Jawaharlal Nehru University
- Edited by Ashwini Deshpande
- Book: Capital Without Borders
- Online publication: 05 March 2012
- Chapter DOI: https://doi.org/10.7135/UPO9780857289575.007
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Integrated basin-scale modelling for sustainable water management using mike hydro basin model: a case study of parvati basin, india.
1. Introduction
2. study area, parvati basin, 3. methodology, 3.1. data products used in the study, 3.2. rainfall–runoff modelling, 3.3. water demand and supply analysis, 3.4. scenarios development, 3.5. performance indicators, 4. results and discussion, 4.1. mike11 nam model setup, 4.2. water management model for demand and deficit assessment, 4.3. calibration of mike hydro basin model, 4.4. water demand and deficit simulation, 4.5. development of management scenarios, 4.6. water demand and deficit analysis under management scenarios, 4.7. performance evaluation of parvati reservoir system, 5. conclusions, author contributions, data availability statement, acknowledgments, conflicts of interest.
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Click here to enlarge figure
Statistical Indices | Formula | Range | Performance Rating |
---|---|---|---|
Nash–Sutcliff Efficiency (NSE) | 0.75 < NSE ≤ 1.00 | Very good | |
0.65 < NSE ≤ 0.75 | Good | ||
0.50 < NSE ≤ 0.65 | Satisfactory | ||
NSE ≤ 0.50 | Unsatisfactory | ||
Coefficient of Determination (R ) | R ≥ 0.8 | Very good | |
0.6 ≤ R ≤ 0.8 | Good | ||
0.4 ≤ R ≤ 0.6 | Satisfactory | ||
R ≤0.4 | Unsatisfactory | ||
Root Mean Square Error (RMSE) | Less than half of the standard deviation of the observed dataset | Good | |
Percentage of Bias (PBIAS) | PBIAS < ±10 | Very good | |
±10 ≤ PBIAS ≤ ±15 | Good | ||
±15 ≤ PBIAS ≤ ±25 | Satisfactory | ||
PBIAS ≥ ±25 | Unsatisfactory | ||
RMSE-observations standard deviation ratio | 0 ≤ RSR ≤ 0.50 | Very good | |
0.50 ≤ RSR ≤ 0.60 | Good | ||
0.60 ≤ RSR ≤ 0.70 | Satisfactory | ||
RSR > 0.70 | Unsatisfactory | ||
Kling–Gupta Efficiency (KGE) | 0.8 ≤ KGE ≤ 1 | Very good | |
0.6 ≤ KGE ≤ 0.8 | Good | ||
0.4 ≤ KGE ≤ 0.6 | Satisfactory | ||
0.4 < KGE | Unsatisfactory |
Parameter | Unit | Common Range | Best Fit Value |
---|---|---|---|
U | mm | 5–20 | 5.16 |
L | mm | 100–300 | 250 |
CQOF | - | 0.1–1 | 0.20 |
CKIF | mm | 100–1000 | 664.2 |
TOF | - | 0–0.99 | 0.70 |
TIF | - | 0–0.99 | 0.3 |
TG | - | 0–0.99 | 0.479 |
CK12 | hrs | 3–72 | 56.5 |
CKBF | hrs | 1000–4000 | 3259 |
Conveyance Efficiency (η ) | Irrigation Method | GW Use | Scenario No. | Demand (MCM) | Deficit (MCM) | Rel | Vul | Res | SI |
---|---|---|---|---|---|---|---|---|---|
45% | Flood | 0% | BP-0 | 42.795 | 3.451 | 0.533 | 0.467 | 0.457 | 0.506 |
45% | Flood | 5% | BP-1 | 42.795 | 1.819 | 0.835 | 0.165 | 0.603 | 0.749 |
65% | Flood | 0% | BP-2 | 42.795 | 0.753 | 0.812 | 0.188 | 0.471 | 0.677 |
65% | Flood | 5% | BP-3 | 42.795 | 0.644 | 0.877 | 0.123 | 0.714 | 0.819 |
75% | Flood | 0% | BP-4 | 42.795 | 0.214 | 0.895 | 0.105 | 0.658 | 0.807 |
75% | Flood | 5% | BP-5 | 42.795 | 0.052 | 0.957 | 0.043 | 0.857 | 0.922 |
95% | Sprinkler | 0% | BP-6 | 42.795 | 0.00 | 1.000 | 0.000 | 1.000 | 1.000 |
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Agrawal, A.; Kothari, M.; Jaiswal, R.K.; Gautam, V.K.; Pande, C.B.; Ahmed, K.O.; Refadah, S.S.; Khan, M.Y.A.; Abdulqadim, T.J.; Đurin, B. Integrated Basin-Scale Modelling for Sustainable Water Management Using MIKE HYDRO Basin Model: A Case Study of Parvati Basin, India. Water 2024 , 16 , 2739. https://doi.org/10.3390/w16192739
Agrawal A, Kothari M, Jaiswal RK, Gautam VK, Pande CB, Ahmed KO, Refadah SS, Khan MYA, Abdulqadim TJ, Đurin B. Integrated Basin-Scale Modelling for Sustainable Water Management Using MIKE HYDRO Basin Model: A Case Study of Parvati Basin, India. Water . 2024; 16(19):2739. https://doi.org/10.3390/w16192739
Agrawal, Abhishek, Mahesh Kothari, R. K. Jaiswal, Vinay Kumar Gautam, Chaitanya Baliram Pande, Kaywan Othman Ahmed, Samyah Salem Refadah, Mohd Yawar Ali Khan, Tuhami Jamil Abdulqadim, and Bojan Đurin. 2024. "Integrated Basin-Scale Modelling for Sustainable Water Management Using MIKE HYDRO Basin Model: A Case Study of Parvati Basin, India" Water 16, no. 19: 2739. https://doi.org/10.3390/w16192739
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