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The home bias in equities and distribution costs

Harms, Philipp; Hoffmann, Mathias; Ortseifer, Christina - 2010

We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the “home bias” in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even...

Persistent link: https://www.econbiz.de/10008779855

Assessing the market risk on the government debt of Kazakhstan and Bulgaria in conditions of turbulence

Em, Olga; Georgiev, Georgi; Radukanov, Sergey; Petrova, … - In: Risks : open access journal 10 (2022) 5, pp. 1-18

The purpose of this publication is to quantify and compare the market risk on the external government debt of Kazakhstan and Bulgaria in the conditions of COVID-19, the emerging energy crisis, and the coup attempt in the first country. In particular, the authors invest the market risk of...

Persistent link: https://www.econbiz.de/10013359115

Enhancing sustainable finance through green hydrogen equity investments : a multifaceted risk-return analysis

Kampe, Cristina - In: Risks : open access journal 11 (2023) 12, pp. 1-22

Amidst the global push for decarbonization, green hydrogen has gained recognition as a versatile and clean energy carrier, prompting the financial sector to introduce specialized investment instruments like Green Hydrogen Exchange-Traded Funds (ETFs). Despite the nascent nature of research on...

Persistent link: https://www.econbiz.de/10014446604

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … financial market is complete and contains three primitive assets: a bank account, a stock and a variance swap, where the … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can …

Persistent link: https://www.econbiz.de/10012293125

Pricing of pseudo-swaps based on pseudo-statistics

Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30

stochastic volatility, and instead relies on data/statistics. A data/statistics-based approach to swap pricing is very different … to compare a stochastic model to the data/statistics-based approach to swap pricing that is developed within this paper. …

Persistent link: https://www.econbiz.de/10014370400

Pricing of averaged variance, volatility, covariance and correlation swaps with semi-markov volatilities

Sviščuk, Anatolij; Franco, Sebastian - In: Risks : open access journal 11 (2023) 9, pp. 1-22

calculate averaged swap prices for financial markets with semi-Markov volatilities? This question has not been considered in the …

Persistent link: https://www.econbiz.de/10014375249

A risk-based approach for asset allocation with a defaultable share

Shen, Yang; Siu, Tak Kuen - In: Risks : open access journal 6 (2018) 1, pp. 1-27

This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy incorporating random market parameters. The...

Persistent link: https://www.econbiz.de/10011811551

Desirable portfolios in fixed income markets : application to credit risk premiums

Garrido, José; Okhrati, Ramin - In: Risks : open access journal 6 (2018) 1, pp. 1-21

An arbitrage portfolio provides a cash flow that can never be negative at zero cost. We define the weaker concept of a “desirable portfolio” delivering cash flows with negative risk at zero cost. Although these are not completely risk-free investments and subject to the risk measure used,...

Persistent link: https://www.econbiz.de/10011811620

Credit risk meets random matrices : coping with non-stationary asset correlations

Mühlbacher, Andreas; Guhr, Thomas - In: Risks : open access journal 6 (2018) 2, pp. 1-25

We review recent progress in modeling credit risk for correlated assets. We employ a new interpretation of the Wishart model for random correlation matrices to model non-stationary effects. We then use the Merton model in which default events and losses are derived from the asset values at...

Persistent link: https://www.econbiz.de/10011866403

A credit-risk valuation under the variance-gamma asset return

Ivanov, Roman V. - In: Risks : open access journal 6 (2018) 2, pp. 1-25

This paper considers risks of the investment portfolio, which consist of distributed mortgages and sold European call options. It is assumed that the stream of the credit payments could fall by a jump. The time of the jump is modeled by the exponential distribution. We suggest that the returns...

Persistent link: https://www.econbiz.de/10011867389