Similar Search Results

Evolutionary Portfolio Selection with Liquidity Shocks

De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

The wealth dynamics of insurance companies strongly depends on the success of their investment strategies, but also on … investment strategy that does not take liquidity shocks into account, exposes insurance companies to the risk of bankruptcy. This … paper analyzes the behavior of insurance companies in an evolutionary framework. We show that an insurance company that …

Persistent link: https://www.econbiz.de/10005858142

Pension Plan Valuation

Mettler, Ueli; Tobler-Oswald, Jürg - Institut für Schweizerisches Bankwesen <Zürich> - 2006

This paper provides a new formal framework to value final-salary defined-benefit pension plans. The valuation framework proposed builds on the familiar idea of discounting future cash flows. Hence, the first step of the valuation process is to find a closed-form solution of the pension fund's...

Persistent link: https://www.econbiz.de/10005858530

Projecting Pension Fund Cash Flows

Mettler, Ueli - Institut für Schweizerisches Bankwesen <Zürich> - 2005

employing a Markov process. As for the latter, future salary and savings levels serve as reference variables for the calculation … savings earn interest at a guaranteed rate and get periodically augmented by employees contributions. Finally, contribution …

Persistent link: https://www.econbiz.de/10005858777

Stabilität der Korrelationen bedeutender Anlageklassen

Auckenthaler, Christoph; Skaanes, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2003

Seit Begründung der modernen Portfoliotheorie ist bekannt, daß die Portfoliovolatilität im Fall niedriger Korrelationen zwischen den Anlageklassen bei sonst gleich bleibenden Parametern ohne Renditeeinbuße reduziert wird...

Persistent link: https://www.econbiz.de/10005856981

International Capital Flows

Tille, Cedric; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2008

The surge in international asset trade since the early 1990s has lead to renewed interest in models with international portfolio choice, an aspect that was largely cast aside when the ad-hoc portfolio balance models of the 1970s were replaced bymodels of optimizing agents. We develop the...

Persistent link: https://www.econbiz.de/10005857750

Portfolio Management without Probabilities or Statistics

Flam, Sjur Didrik - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Considered here is on-line portfolio management aimed at maximizing the long-run growth of ﬁnancial wealth. The portfolio is repeatedly rebalanced in response to observed returns on diverse assets. Suppose statistical information and related methods are not available - or deemed too diffcult....

Persistent link: https://www.econbiz.de/10005857758

Financial Market Equilibria With Cumulative Prospect Therory

De Giorgi, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007

The paper shows that ﬁnancial market equilibria need not exist if agents possess cumulative prospect theory preferences with piecewise-power value functions. The reason is an inﬁniteshort-selling problem. But even when a short-sell constraint is added, non-existence can occur due to...

Persistent link: https://www.econbiz.de/10005857777

Robust Mean-Variance Portfolio Selection

Perret-Gentil, Cédric; Victoria-Freser, Maria-Pia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspeciﬁcation, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneﬁcial...

Persistent link: https://www.econbiz.de/10005858020

The Disposition Effect in the Lab

Vlcek, Martin; Wang, Mei - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We conduct controlled experiments in order to analyze individual trading behavior. Our results suggest that investors measure their gains relative to their initial wealth, and that this reference point together with past stock price changes determine the portfolio choices. Subjects choose a...

Persistent link: https://www.econbiz.de/10005858051

Asset Prices with Locally-Constrained Entropy Recursive Multiple Priors Utility

Sbuelz, Alessandro; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Control problems with Recursive Multiple-Priors Utility (RMPU) are highly non-linear so that RMPU asset prices have been studied in very simple exchange economies only. We identify a continuous-time exchange equilibrium with Locally-Constrained-Entropy RMPU (LCE-RMPU) that is tractable even in...

Persistent link: https://www.econbiz.de/10005858066