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;...

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...

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...

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...

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...

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...

In dit artikel wordt ingegaan op een aantal recente ontwikkelingen in de hedgefundsector.

This paper will try to explain the “annuities puzzle” in greater depth by introducing the bequest motive, both strategic and altruistic. It will try to determine whether this motive really is a relevant feature influencing the demand for lifetime annuities by married couples. With this aim...

Esta es la tercera parte de una serie que forman una investigación más amplia titulada “La Estrategia de Citicorp en Chile: Un Intento de Investigación”. Aquí se describe la naturaleza, reglamentación, estado actual y perspectivas de más de los 25 segmentos del mercado financiero...

The main objective of this paper is to go deeper into the “annuity puzzle” by introducing the altruistic and strategic bequest motive and determining whether this really is a relevant factor affecting the theoretical decision to purchase life annuities. With this end in view we develop an...