Showing 1 - 9 of 9
This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …
Persistent link: https://www.econbiz.de/10011556251
Persistent link: https://www.econbiz.de/10001037500
lower risk level and the reverse is true at a higher risk level. Our SD analysis shows that there is no arbitrage … opportunity between international and domestic stock markets; domestically diversified portfolios with smaller risk dominate … internationally diversified portfolios with larger risk and vice versa; and at the same risk level, there is no difference between the …
Persistent link: https://www.econbiz.de/10011553184
Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the Standard and Poor's 500 stock index (S&P 500 stock index) may...
Persistent link: https://www.econbiz.de/10012304869
required to minimize the risk for Asian stock investors during the US financial crisis. In contrast, fewer Chinese stocks were … needed to minimize the risk for Asian stock investors during the Chinese stock market crash. This study provides useful … information to institutional investors, portfolio managers, and policymakers regarding optimal asset allocation and risk …
Persistent link: https://www.econbiz.de/10012388066
Mathematics plays a vital role in many areas of finance and provides the theories and tools that have been widely used in all areas of finance. In this editorial, we tell authors the ideas on what types of papers we will accept for publication in the area of mathematical finance. We will discuss...
Persistent link: https://www.econbiz.de/10012173994
The purpose of this study is to investigate the impact of funding liquidity risk on the banks' risk-taking behavior. To … funding liquidity increases the banks' risk-taking of US commercial banks. Furthermore, banks with higher deposits are less … likely to face a funding shortage, and bank managers' aggressive risk-taking activity is less likely to be monitored. Our …
Persistent link: https://www.econbiz.de/10012605946
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return...
Persistent link: https://www.econbiz.de/10012309325
Persistent link: https://www.econbiz.de/10003901202