Narrow search
Showing 1 - 10 of 73
Cover Image
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
In this article, we investigate risk return characteristics and diversification benefits when private equity is used as …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 … investments. When the portfolio size is increased from 15 to 200 there are few marginal risk diversification effects on the one …
Persistent link: https://www.econbiz.de/10010958618
Cover Image
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
In this article, we investigate risk return characteristics and diversification benefits when private equity is used as …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 … investments. When the portfolio size is increased from 15 to 200 there are few marginal risk diversification effects on the one …
Persistent link: https://www.econbiz.de/10005022456
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Equity culture and the distribution of wealth
Bilias, Yannis; Georgarakos, Dimitris; Haliassos, Michael - Center for Financial Studies - 2005
Wider participation in stockholding is often presumed to reduce wealth inequality. We measure and decompose changes in US wealth inequality between 1989 and 2001, a period of considerable spread of equity culture. Inequality in equity wealth is found to be important for net wealth inequality,...
Persistent link: https://www.econbiz.de/10010986408
Cover Image
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