This research addresses whether geographic diversification provides benefits over industry diversification. In the absence of constraints, no empirical evidence is found to support the argument that country diversification is superior. With short-selling constraints, however, the geographic...

We consider the problem of portfolio selection within the classical Markowitz meanvariance optimizing framework, which has served as the basis for modern portfolio theory for more than 50 years. Efforts to translate this theoretical foundation into a viable portfolio construction algorithm have...

Traditionally, insurers are seen as stabilisers of financial markets that act countercyclically by buying assets whose price falls. Recent studies challenge this view by providing empirical evidence of procyclicality. This paper sheds new light on the underlying reasons for these opposing views....

Based on a Financial Almost Ideal Demand System (FAIDS), this paper investigates the wealth structure of German households. The long-run wealth elasticities and interest rate elasticities were calculated using a unique new quarterly financial accounts macro data set which covers the period from...

We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...

We introduce professional financial advice in households' choice to hold risky financial assets. Consistent with the predictions from a formal model, we present evidence that households' trust in financial advice only matters when their perceived own financial capability is low. Instead, for...