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Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution
LOS, CORNELIS A. - EconWPA - 2004
fundamental investment choices between stock market premiums and currency swap returns. The original n2 multi- currency strategic … investment allocations are uniquely retrieved from the resulting 2n optimal fundamental choice allocations. This new optimal … investment allocations in the Asian portfolio for further diversification. Throughout this five and a half year period, Asian …
Persistent link: https://www.econbiz.de/10005125061
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DATA MINING SOBRE EL BETA EN ESPAÑA
Rubio, Fernando - EconWPA - 2004
Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM en España. Específicamente, se han realizado variadas simulaciones históricas y regresiones de corte transversal de los retornos de las acciones componentes de la muestra...
Persistent link: https://www.econbiz.de/10005413097
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International Portfolio Investment: Theory, Evidence, and Institutional Framework
Bartram, Sohnke M.; Dufey, Gunter - EconWPA - 2001
of international portfolio investment. By investing in foreign securities, inves-tors can participate in the growth of … constraints for international portfolio investment must not be overlooked. In an international context, finan-cial investments are …
Persistent link: https://www.econbiz.de/10005134901
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Hedge Fund Performance and Persistence in Bull and Bear Markets
Daniel, Capocci; Albert, Corhay; Georges, Hübner - EconWPA - 2004
thanks to an extreme adaptability and a very active investment behavior. …
Persistent link: https://www.econbiz.de/10005134919
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Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading.
Cortazar, Gonzalo; Bernales, Alejandro; Beuermann, Diether - EconWPA - 2005
This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR measures difficult to calculate. We propose and...
Persistent link: https://www.econbiz.de/10005413068
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Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries
LOS, CORNELIS A. - EconWPA - 2004
ignores accumulated historical information. Its implied investment strategy selection is based on simple return maximization … and ignores that investment strategies are correlated via intra-and inter-market risks. Using simple tensor algebra we … non-degenerate lower dimensional problem of fundamental investment choice between stock markets and currency overlays …
Persistent link: https://www.econbiz.de/10005413087
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Spillovers across High Yield Markets
Moschitz, Julius - EconWPA - 2004
This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets...
Persistent link: https://www.econbiz.de/10005413232
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Het integraal kwantificeren van valutarisico’s
Haas, Ralph de - EconWPA - 2002
In dit artikel wordt ingegaan op het statistisch kwantificeren van valutarisico’s met behulp van meervoudige regressie-analyse. Centraal punt van deze methode is dat, teneinde een integrale kwantificering van valutarisico’s te bereiken, zowel het translatierisico als het economisch...
Persistent link: https://www.econbiz.de/10005561738
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The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework
Altay, Erdinc - EconWPA - 2003
This paper uses factor analytic techniques for deriving factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of economic factors on asset returns in an APT framework. The factor structure of the German economy yields...
Persistent link: https://www.econbiz.de/10005076970
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Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
Mergner, Sascha - EconWPA - 2005
This paper investigates the time-varying behavior of systematic risk for eighteen pan-European industry portfolios. Using weekly data over the period 1987-2005, three different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t- GARCH(1,1)...
Persistent link: https://www.econbiz.de/10005076972