It is well known that asset allocation policy is the major determinant of fundperformance. However, there is substantial disagreement about the exactmagnitude of the contribution of asset allocation. Following the approach inIbbotson and Kaplan (2000), we use German and Swiss balanced mutualfund...

In der Literatur wird häufig vermutet, dass eine zunehmende Anzahl Hedgefondseinen negativen Einfluss auf die Renditen dieser Fonds haben könnte. DieserVermutung wird in diesem Beitrag nachgegangen. Wir verfolgen dabei zweiZiele: Zum einen geben wir einen Überblick über die Entwicklung des...

This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter long-short positions can be useful to reduce marketbeta,...

Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these optimal portfolios to the actual cross-border assets of banks...

Established early stage investors decide to invest in new ventures after evaluating the propensity of success and the risk of failure. Consequently, it is of considerable importance that the new business owners have substantial 'skin in the game' and are thus highly committed to business...

To address banks' risk taking during the recent financial crisis, we develop a model of credit-portfolio optimization and study the impact of risk-based capital regulation (Basel Accords) on banks' asset allocations. The model shows that, when a bank's capital is constrained by regulation,...

Negative interest rate policy (NIRP) is associated with a particular friction. The remuneration of banks' retail deposits tends to be floored at zero, which limits the typical transmission of policy rate cuts to bank funding costs. We investigate whether this friction affects banks' reactions...

We use unique data on banks' private risk assessments of corporate borrowers to quantify how competition among banks affect the risk sensitivity of interest rates in the Norwegian credit market. We show that an increase in competition makes corporate lending rates less sensitive to banks' own...

What configuration of asset returns will make the banking system most susceptible to a self-fulfilling run? I study this question in a version of the model of Diamond and Dybvig (1983) with limited commitment and a non-trivial portfolio choice. I show that the relationship between the returns on...

The extraordinary steps taken by governments during the 2007-2009 financial crisis to prevent the failure of large financial institutions and support credit availability have invited heated debate. This paper comprehensively reviews empirical assessments of the benefits of those programs-such as...