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Will investors adapt their investment behavior whenfaced with a change in information feedback and investmentflexibility?
Zeisberger, Stefan; Langer, Thomas; Weber, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2011
investment flexibilitychange. However, there is no (within-subject) experimental evidence for this conjectureso far. To close … analysis reveals that the influenceof changes in feedback frequency and investment flexibility are not asstraightforward as …
Persistent link: https://www.econbiz.de/10009354101
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Model Combination and Stock Return Predictability
Hagmann, Matthias; Loebb, Joachim - Institut für Schweizerisches Bankwesen <Zürich> - 2006
from an investment perspective. …
Persistent link: https://www.econbiz.de/10005858532
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Irreversible Investment in General Equilibrium
Hugonnier, Julien; Morellec, Erwan; Sundaresan, Suresh - Institut für Schweizerisches Bankwesen <Zürich> - 2005
Theories of investment suggest that the option value of waiting to invest is significant in many branches of economics …, where investment is irreversible. The existing literature has generally failed to account for the general equilibrium … moderate levels of risk aversion. Our analysis demonstrates that the implications of partial equilibrium models of investment …
Persistent link: https://www.econbiz.de/10005858793
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Mortality risk and real optimal asset allocation for pension funds
Menoncin, Francesco; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
subscriber. We consider a very general settingwhere there exists a stochastic investment opportunity set together withstochastic … regarding the optimal investment strategy. …
Persistent link: https://www.econbiz.de/10005858365
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Optimal asset management for pension funds
Menoncin, Francesco; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2006
Purpose of this paper: we study the asset allocation problem for a pension fund which maximizes the expected present value of its wealth augmented by the prospective mathematical reserve at the death time of a representative member. Design/methodology/approach: we apply the stochastic...
Persistent link: https://www.econbiz.de/10005858533
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False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas
Barras, Laurent; Scaillet, Olivier; Wermers, R. - Institut für Schweizerisches Bankwesen <Zürich> - 2008
This paper uses a new approach to determine the fraction of truly skilled managers among the universe of U.S. domestic-equity mutual funds over the 1975 to 2006 period. We develop a simple technique that properly accounts for “false discoveries,” or mutual funds which exhibit significant...
Persistent link: https://www.econbiz.de/10005858726
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Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
allocation during these two phases must be different. In particular, during the first phase the investment in the risky assets … should decrease through time to meet future contractual pension payments while, during the second phase, the risky investment …
Persistent link: https://www.econbiz.de/10005859125
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Finance and Efficiency: Do Bank Branching Regulations Matter?
Acharya, Viral V.; Imbs, Jean; Sturgess, Jason - Institut für Schweizerisches Bankwesen <Zürich> - 2007
, in a manner that depends crucially on the variance-covariance properties of investment returns, rather than on their …
Persistent link: https://www.econbiz.de/10005858336
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Equilibrium Impact of Value-At-Risk
Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We study in a general perspective the partial equilibrium incentives and the general equilibrium asset pricing implications of Value-at-Risk (VaR) regulation in continuous time economies with intermediate consumption, stochastic opportunity set, and heterogenous attitudes to risk. Our findings...
Persistent link: https://www.econbiz.de/10005858903
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A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
Vanini, Paolo; Leippold, Markus; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We present a geometric approach to discrete time multiperiod mean variance portfolio opti-mization that largely simplifies the mathematical analysis and the economic interpretation of such model settings. We show that multiperiod mean variance optimal policies can be decom-posed in an orthogonal...
Persistent link: https://www.econbiz.de/10005858942