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Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations

Schmidt, Daniel - 2003

a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity … variations and even higher rates of failure. It is in this category in particular that high average portfolio returns are …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 …

Persistent link: https://www.econbiz.de/10010298259

Money-back guarantees in individual pension accounts: Evidence from the German pension reform

Maurer, Raimond H.; Schlag, Christian - 2002

(static asset allocation), and some type of portfolio insurance. We use a simulation methodology to compare hedging …

Persistent link: https://www.econbiz.de/10010298230

Equity culture and the distribution of wealth

Bilias, Yannis; Georgarakos, Dimitris; Haliassos, Michael - 2005

influenced by length of household investment horizon and portfolio breadth but, controlling for those, use of professional advice …

Persistent link: https://www.econbiz.de/10010298308

Credit card debt puzzles

Haliassos, Michael; Reiter, Michael - 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/10010298310

Do consumers choose the right credit contracts?

Agarwal, Sumit; Chomsisengphet, Souphala; Liu, Chunlin; … - 2005

A number of studies have pointed to various mistakes that consumers might make in their consumption-saving and financial decisions. We utilize a unique market experiment conducted by a large U.S. bank to assess how systematic and costly such mistakes are in practice. The bank offered consumers a...

Persistent link: https://www.econbiz.de/10010298314

Multivariate normal mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2006

provides substantial intuition, and we highlight a number of findings with potential significance for portfolio selection and …

Persistent link: https://www.econbiz.de/10010298323

Portfolio inertia and stock market fluctuations

Bilias, Yannis; Georgarakos, Dimitris; Haliassos, Michael - 2006

uses data representative of the population to document the extent of household portfolio inertia and to link it to … household characteristics and to stock market movements. We document considerable portfolio inertia, as regards both changing …

Persistent link: https://www.econbiz.de/10010298328

Credit cards: Facts and theories

Bertaut, Carol C.; Haliassos, Michael - 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/10010298333

Portfolio optimization when risk factors are conditionally varying and heavy tailed

Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - 2006

fat tails, the normal distribution with constant variance continues to be the standard framework in portfolio management …. Here we propose a practical approach to portfolio selection. It takes both the conditionally varying volatility and the fat … application to a portfolio of nine German DAX stocks illustrates that the model is strongly favored by the data and that it is …

Persistent link: https://www.econbiz.de/10010298338

Optimal choice and beliefs with ex ante savoring and ex post disappointment

Gollier, Christian; Muermann, Alexander - 2006

the preferences under risk generated by this mental process and apply this criterion to a simple portfolio choice …, disappointment, optimism, decision under risk, portfolio allocation. …

Persistent link: https://www.econbiz.de/10010298342