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Portfolio liquidation under factor uncertainty
Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao - 2021
robust model for small amounts of uncertainty and analyze the effect of robustness on optimal trading strategies and … liquidation costs. In particular, in our model ambiguity aversion is observationally equivalent to increased risk aversion. This …
Persistent link: https://www.econbiz.de/10012500352
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Calculating trading book capital : is risk separation appropriate?
Raupach, Peter - 2015
portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …
Persistent link: https://www.econbiz.de/10011299075
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Investment risk appraisal
Serguieva, A.; Hunter, J. - 2000
Persistent link: https://www.econbiz.de/10001572628
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Portfolio allocation and international risk sharing
Benigno, Gianluca; Küçük-Tuger, Hande - 2011
Recent contributions have shown that it is possible to account for the so-called consumptionreal exchange anomaly in models with goods market frictions where international asset trade is limited to a riskless bond. In this paper, we consider a more realistic international asset market structure...
Persistent link: https://www.econbiz.de/10008988794
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Relative factor endowments and international portfolio choice
Cuñat, Alejandro (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003731174
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Long run risk model and equity premium puzzle in Thailand
Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - 2021
Persistent link: https://www.econbiz.de/10012582703
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Beta dispersion and market timing
Kuntz, Laura-Chloé - 2020
The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...
Persistent link: https://www.econbiz.de/10012264452
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Portfolio choice and risk
Encarnación, José - 1983
Persistent link: https://www.econbiz.de/10003529028
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The standard portfolio choice problem in Germany
Huck, Steffen; Schmidt, Tobias; Weizsäcker, Georg - 2014
We study an investment experiment conducted with a representative sample of German households. Respondents invest in a safe asset and a risky asset whose return is tied to the German stock market. Experimental investments correlate with beliefs about stock market returns and exhibit desirable...
Persistent link: https://www.econbiz.de/10010413601
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On the exposure of insurance companies to sovereign risk : portfolio investments and market forces
Düll, Robert; König, Felix; Ohls, Jana - 2015
risk. This paper focuses on the transmission of sovereign risk to insurance companies as some of the largest institutional … effects from sovereign risk to domestic insurers. The impact on insurers is larger than for non-financial firms and slightly … on European data, we show that risks in sovereign bond portfolios are an important driver of insurer risk, which is not …
Persistent link: https://www.econbiz.de/10011373080