Showing 1 - 10 of 334
withdrawal of employers and external insurers as risk bearers of systematic financial and longevity risks. Partly because of … pension: the Personal Pension with Risk sharing (PPR). By unbundling and valuing the investment, (dis)saving, insurance and … risk-sharing functions of pensions, PPRs allow risk management and (dis)saving to be customized to the specific features of …
Persistent link: https://www.econbiz.de/10011252616
Conventional wisdom views stocks as less volatile over long horizons than over short horizons due to mean reversion induced by return predictability. In contrast, we find stocks are substantially more volatile over long horizons from an investor's perspective. This perspective recognizes that...
Persistent link: https://www.econbiz.de/10005662327
generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia …
Persistent link: https://www.econbiz.de/10011083673
contained in the volatility risk premium and option-implied skewness increases substantially Sharpe ratios and certainty …
Persistent link: https://www.econbiz.de/10008530360
Paper, they are derived from risk-value models that generalize the Markowitz-model. We use a behaviourally based risk … measure with an endogenous or exogenous benchmark. If the risk measure is modelled by a negative HARA-function, then sharing … variance and kurtosis of the risk-neutral probability distribution of the aggregate pay-off. …
Persistent link: https://www.econbiz.de/10005136483
Ratios that indicate the statistical significance of a fund’s alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...
Persistent link: https://www.econbiz.de/10008468707
We examine the activity and performance of a large panel of individual investors (approximately 70,000 investors and their daily returns over the 2000 to 2010 period) in Sweden's Premium Pension System. We document strong inertia in individuals' choices and changes of mutual funds. We find that...
Persistent link: https://www.econbiz.de/10011083319
more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha …
Persistent link: https://www.econbiz.de/10011083650
market flows. In line with a powerful risk-shifting channel, we find that fund investors in countries with decreased real …
Persistent link: https://www.econbiz.de/10011083941
This paper provides empirical evidence of the impact of hedge funds on asset markets. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios, and show that it has strong in- and out-of-sample forecasting power for 72 portfolios of international equities, corporate...
Persistent link: https://www.econbiz.de/10011084210