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Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations

Schmidt, Daniel - Center for Financial Studies - 2003

market risk. From the viewpoint of unconstrained investors with complete investment freedom, risk can be optimally reduced by …In this article, we investigate risk return characteristics and diversification benefits when private equity is used as … and simultaneous investment simulation in stocks, as well as the construction of stock portfolios for benchmarking …

Persistent link: https://www.econbiz.de/10010958618

Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations

Schmidt, Daniel - Center for Financial Studies - 2004

Persistent link: https://www.econbiz.de/10005022456

Money-back guarantees in individual pension accounts: Evidence from the German pension reform

Maurer, Raimond H.; Schlag, Christian - Center for Financial Studies - 2002

The German Retirement Saving Act instituted a new funded system of supplementary pensions coupled with a general reduction in the level of state pay-as-you-go old-age pensions. In order to qualify for tax relief, the providers of supplementary savings products must offer a guarantee of the...

Persistent link: https://www.econbiz.de/10010986377

Modelling and forecasting liquidity supply using semiparametric factor dynamics

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Center for Financial Studies - 2009

We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...

Persistent link: https://www.econbiz.de/10010986387

Risk aversion under preference uncertainty

Kräussl, Roman; Lucas, André; Siegmann, Arjen - Center for Financial Studies - 2010

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

Persistent link: https://www.econbiz.de/10010986389

Credit card debt puzzles

Haliassos, Michael; Reiter, Michael - Center for Financial Studies - 2005

Most US credit card holders revolve high-interest debt, often combined with substantial (i) asset accumulation by retirement, and (ii) low-rate liquid assets. Hyperbolic discounting can resolve only the former puzzle (Laibson et al., 2003). Bertaut and Haliassos (2002) proposed an...

Persistent link: https://www.econbiz.de/10010986391

Credit cards: Facts and theories

Bertaut, Carol C.; Haliassos, Michael - Center for Financial Studies - 2005

We use data from several waves of the Survey of Consumer Finances to document credit and debit card ownership and use across US demographic groups. We then present recent theoretical and empirical contributions to the study of credit and debit card behavior. Utilization rates of credit lines and...

Persistent link: https://www.econbiz.de/10010986392

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus; Mittnik, Stefan - Center for Financial Studies - 2008

and computation of Value-at-Risk. …

Persistent link: https://www.econbiz.de/10010986398

Equity culture and the distribution of wealth

Bilias, Yannis; Georgarakos, Dimitris; Haliassos, Michael - Center for Financial Studies - 2005

influenced by length of household investment horizon and portfolio breadth but, controlling for those, use of professional advice …

Persistent link: https://www.econbiz.de/10010986408

Net worth and housing equity in retirement

Sinai, Todd; Souleles, Nicholas S. - Center for Financial Studies - 2007

This paper documents the trends in the life-cycle profiles of net worth and housing equity between 1983 and 2004. The net worth of older households significantly increased during the housing boom of recent years. However, net worth grew by more than housing equity, in part because other assets...

Persistent link: https://www.econbiz.de/10010986413