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Passive investment strategies and financial bubbles
Fischer, Thomas - 2012
In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e.g., an Exchange Traded Fund replicating a broad index) or an actively managed fund is presented. The model proposes that the quick reswitching of these short-term oriented investors...
Persistent link: https://www.econbiz.de/10010323727
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The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
Li, Jing; Szimayer, Alexander - 2010
We study the valuation of unit-linked life insurance contracts with surrender guarantees. Instead of solving an optimal stopping problem, we propose a more realistic approach accounting for policyholders’ rationality in exercising their surrender option. The valuation is conducted at the...
Persistent link: https://www.econbiz.de/10010293371
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Institutional Herding in Bond Markets
Oehler, Andreas; Chao, George Goeth-Chi - 2000
Recent research has shown that institutional herding is a relevant phenomenon in stock markets. Do institutional investors also follow each other in bond markets? This paper focuses on the German bond market and uses data from 57 German mutual funds that invest mainly in DM-denominated bonds,...
Persistent link: https://www.econbiz.de/10010296584
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Kosten der privaten Altersvorsorge: Private Rentenversicherungen und Fondssparpläne im Vergleich
Westerheide, Peter - 2001
Ansparen in Investmentfonds mit gleicher durchschnittlicher Renditeerwartung vor Kosten, wie sie private Rentenversicherungen … bieten, und den hier unterstellten Kosten für aktienorientierte Investmentfonds aus Kostensicht nicht immer effizient ist …. Sofern aktienorientierte Investmentfonds jedoch im langfristigen Durchschnitt höhere Renditen vor Kosten erwirtschaften …
Persistent link: https://www.econbiz.de/10010297736
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The Benefits of Creating an Integrated EU Market for Investment Funds
Heinemann, Friedrich - 2002
The fast growing EU market for investment funds is still characterised by a continuing relevance of national borders. This papers assesses this market?s degree of integration, the potential benefits from more integration and the obstacles to cross-border sales of funds. The analysis shows that...
Persistent link: https://www.econbiz.de/10010298094
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Socially Responsible Investments in Germany, Switzerland and the United States: An Analysis of Investment Funds and Indices
Schröder, Michael - 2003
The aim of this study is the analysis of so called socially responsible investments (SRI). First, the performance of SRI equity investment funds and equity indices is investigated using Jensen´s alpha as performance measure. The analysis considers market timing strategies of the fund management...
Persistent link: https://www.econbiz.de/10010298128
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Institutional investors in Germany: Insurance companies and investment funds
Maurer, Raimond H. - 2003
This chapter focuses on institutional investors in the German financial markets. Institutional investors are specialized financial intermediaries who collect and manage funds on behalf of small investors toward specific objectives in terms of risk, return and maturity. The major types of...
Persistent link: https://www.econbiz.de/10010298239
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Contractual relations between European VC-funds and investors: The impact of reputation and bargaining power on contractual design
Schmidt, Daniel; Wahrenburg, Mark - 2003
The paper explores factors that influence the design of financing contracts between venture capital investors and European venture capital funds. 122 Private Placement Memoranda and 46 Partnership Agreements are investigated in respect to the use of covenant restrictions and compensation...
Persistent link: https://www.econbiz.de/10010298250
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Venture capital syndicate networks: the determinants of interconnectedness
Schilder, Dirk - 2007
Dieser Artikel untersucht die Venture Capital (VC) Syndizierungsnetzwerke in Deutschland und inwieweit bestimmte Charakteristika der beteiligten VC Gesellschaften die Vernetzung der Investoren beeinflussen. Der verwendete Datensatz besteht aus 300 VC Investitionen und deren Investoren aus den...
Persistent link: https://www.econbiz.de/10010298529
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Different risk-adjusted fund performance measures: a comparison
Grau-Carles, Pilar; Sainz, Jorge; Otamendi, Javier; … - 2009
Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk...
Persistent link: https://www.econbiz.de/10010299556