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We analyse the equilibrium consequences of performance-based contracts for fund managers. Managerial remuneration is tied to a fund's absolute performance and its performance relative to rival funds. Investors choose whether or not to delegate their investment to better-informed fund managers;...
Persistent link: https://www.econbiz.de/10005561719
In dit artikel wordt ingegaan op het statistisch kwantificeren van valutarisico’s met behulp van meervoudige regressie-analyse. Centraal punt van deze methode is dat, teneinde een integrale kwantificering van valutarisico’s te bereiken, zowel het translatierisico als het economisch...
Persistent link: https://www.econbiz.de/10005561738
Markowitz’s (1952) portfolio theory has permeated financial institutions over the past 50 years. Assuming that returns are normally distributed, Markowitz suggests that portfolio optimization should be performed in a mean-variance framework. With the emergence of hedge funds and their...
Persistent link: https://www.econbiz.de/10005134811
We use mutual fund recommendations to test whether editorial content is independent from advertisers’ influence in the financial media. We find that major personal finance magazines (Money, Kiplinger’s Personal Finance, and SmartMoney) are more likely to recommend funds from families that...
Persistent link: https://www.econbiz.de/10005134846
We propose a novel portfolio selection approach that manages to ease some of the problems that characterise standard expected utility maximisation. The optimal portfolio is no longer defined as the extremum of a suitably chosen utility function: the latter, instead, is reinterpreted as the...
Persistent link: https://www.econbiz.de/10005413052
A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE's. Existence of a unique...
Persistent link: https://www.econbiz.de/10005125679
This paper is a part of the author's wider research on the current Polish pension fund system. It deals with the systemfs efficiency from the point of view of the individual fund member. After over three years of functioning, the savings accumulated with the pension funds only slightly exceed...
Persistent link: https://www.econbiz.de/10005412460
Estas son las partes cuatro, cinco, seis y siete de una serie que forman una investigación más amplia titulada “La Estrategia de Citicorp en Chile: Un Intento de Investigación”. Aquí se realiza un análisis estratégico del sector financiero en Chile y se muestra un intento de...
Persistent link: https://www.econbiz.de/10005413163
The paper is an updated first performance evaluation study of the Polish pension funds operating from 1999. The unconditional performance evaluation models are used. It is shown that pension fund managers did produce additional value due to active management. Therefore, unsatisfactory overall...
Persistent link: https://www.econbiz.de/10005413168
Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series properties of the realized volatility series and on...
Persistent link: https://www.econbiz.de/10005413171