Showing 1 - 10 of 195
-dependent expected utility theory. We also test them against the two most frequently used methods for measuring correlation … diversification in portfolio theory: portfolio variance and the diversification ratio. Lastly, we provide an example of a functional …
Persistent link: https://www.econbiz.de/10014225949
We consider a defined-contribution (DC)-pension-fund-management problem under partial information. The fund manager is allowed to invest the wealth from the fund account into a financial market consisting of a risk-free account, a stock and a rolling bond. The aim of the fund manager is to...
Persistent link: https://www.econbiz.de/10014226044
Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...
Persistent link: https://www.econbiz.de/10013363078
When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a result, regulators have started to require that the...
Persistent link: https://www.econbiz.de/10013555458
Stock prices are well known to exhibit behaviors that are difficult to model mathematically. Individual stocks are observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we show that individual stocks can be modeled by simple...
Persistent link: https://www.econbiz.de/10013555665
In the present paper, we investigate the financial homogeneity of the euro area economies by contrasting eurozone countries' responses to monetary policy steps to the theoretical assumptions of the liquidity trap phenomenon. Our assumption is that the euro area economies are not completely...
Persistent link: https://www.econbiz.de/10013556643
within expected utility theory (EUT) for incomplete markets, producing closed-form representations for the optimal strategy …
Persistent link: https://www.econbiz.de/10014234313
The relevance of the development is determined by the possibility of testing a complex analytical methodology for forecasting the daily volatility of Bulgarian investment funds, which will support the investment community in making adequate investment decisions. The used risk attribution...
Persistent link: https://www.econbiz.de/10014436423
In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three maximum domains of attraction. We show that...
Persistent link: https://www.econbiz.de/10014370410
This paper addresses the optimal rebalancing problem of a long-short portfolio with high net asset value under trading impact losses. The fund manager may employ leveraging as a tool to increase portfolio returns. However, to mitigate potential leverage risks, frequent rebalancing may become...
Persistent link: https://www.econbiz.de/10013161565