return (TWR) with the money-weighted rate of return (MWR). To emphasize the importance of risk in conjunction with return …, different tracking errors are analyzed and ex-post versus ex-ante risk figures are compared. The author then proceeds to modern … portfolio theory (MPT) and illustrates how the constraints interfere substantially in the construction of optimized portfolios …

Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is … priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross … pricing story: higher asset returns must be associated with lower prices and higher risk exposure. In particular, he …

return (TWR) with the money-weighted rate of return (MWR). To emphasize the importance of risk in conjunction with return …, different tracking errors are analyzed and ex-post versus ex-ante risk figures are compared. The author then proceeds to modern … portfolio theory (MPT) and illustrates how the constraints interfere substantially in the construction of optimized portfolios …

Swider ist wissenschaftlicher Mitarbeiter am Institut für Energiewirtschaft und Rationelle Energieanwendung der Universität …

of credibility theory, uncertainty theory and chance theory, respectively. As such, it offers readers a comprehensive and … -- 10 Random Fuzzy Mean-Risk Model -- Bibliography -- List of Frequently Used Symbols …

This book is a guide to asset and risk management from a practical point of view. It is centered around two questions … triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory … they should not? - How do investors deal with such crises in terms of their risk measurement and management and, as a …

Theory of Risk, Return, and Performance Measurement -- Ch 2 Origins of Portfolio Theory: Selection and Evaluation -- Ch 3 … of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the … primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models …

Portfoliotheorie -- Arbitragefreie Ein-Perioden-Modelle und CAPM -- Value at Risk -- Kohärente Risikomaße und der … Rendite versprechen. Risiko wird hier definiert als die Standardabweichung der Portfoliorendite. Für arbitragefreie Ein … Value at Risk vorgestellt, das den größten Verlust eines Portfolios quantifiziert, der mit einer vorgegebenen …

Einführung -- Downside-Risiko-Kriterien -- Downside-minimale Portfolios -- Downside-Restriktionen -- Downside … Manches voraus: Sie sollten mit Begriffen wie Portfolioselektion und CAPM, Duration und Zinsstruktur, Black-Scholes-Formel und … Frage. Der Inhalt • Downside-Risiko-Kriterien • Downside-minimale Portfolios • Downside-Restriktionen • Downside …