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Stocks hedge against inflation in the long run: evidence from a cointegration analysis for Denmark

Olesen, Jan Overgaard - 2000

We suggest an alternative approach to testing whether stocks provide a hedge against inflation in the long run. Based on a simple structural model, we test the hedge hypothesis in terms of the long-run linkage between stock prices and the general price level, as estimated by cointegration...

Persistent link: https://www.econbiz.de/10012142229

Rules that matter: limits to competition policy harmonisation in EU enlargement

Olesen, Jan Overgaard; Risager, Ole - 2000

premium. Moreover, the model is good at predicting turning points in the premium. We also analyze the portfolio implications … of the model and find that the model is useful in predicting the optimal return maximizing portfolio choice. Finally, the …

Persistent link: https://www.econbiz.de/10012142246

Portfolio Management without Probabilities or Statistics

Flam, Sjur Didrik - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Considered here is on-line portfolio management aimed at maximizing the long-run growth of ﬁnancial wealth. The … portfolio is repeatedly rebalanced in response to observed returns on diverse assets. Suppose statistical information and …

Persistent link: https://www.econbiz.de/10005857758

Arbitrage in Stationary Markets

Evstigneev, Igor; Kapoor, Dhruv - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that...

Persistent link: https://www.econbiz.de/10005857775

Financial Market Equilibria With Cumulative Prospect Therory

De Giorgi, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007

The paper shows that ﬁnancial market equilibria need not exist if agents possess cumulative prospect theory preferences with piecewise-power value functions. The reason is an inﬁniteshort-selling problem. But even when a short-sell constraint is added, non-existence can occur due to...

Persistent link: https://www.econbiz.de/10005857777

Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle

Jaccard, Ivan - Institut für Schweizerisches Bankwesen <Zürich> - 2007

puzzle, (ii) the observed time-variation in aggregate portfolio holdings and (iii) the occurrence of twin peaks in equity and … addition to consumption and dividends, both prices and portfolio decisions are allowed to be endogenously determined within a …

Persistent link: https://www.econbiz.de/10005858061

Asset Prices with Locally-Constrained Entropy Recursive Multiple Priors Utility

Sbuelz, Alessandro; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Control problems with Recursive Multiple-Priors Utility (RMPU) are highly non-linear so that RMPU asset prices have been studied in very simple exchange economies only. We identify a continuous-time exchange equilibrium with Locally-Constrained-Entropy RMPU (LCE-RMPU) that is tractable even in...

Persistent link: https://www.econbiz.de/10005858066

Eugster, Patrick (contributor); Zweifel, Peter (contributor) - 2006

underwriting risks both domestically and internationally. -- Insurance ; Portfolio Theory ; International Diversification …

Persistent link: https://www.econbiz.de/10003354444

South-South FDI vs North-South FDI : a comparative analysis in the contextx of India

Bera, Subhasis; Gupta, Shikha - 2009

Over the years FDI activities from developing countries have grown very rapidly and most of these investments end up in other developing countries. Such FDI flows are formally known as South-South FDI. This paper attempts to compare the characteristics of South-South FDI versus North-South FDI...

Persistent link: https://www.econbiz.de/10003863456

Efficient electricity portfolios for the United States and Switzerland : an investor view

Krey, Boris B.; Zweifel, Peter - 2008

This study applies financial portfolio theory to determine efficient electricity-generating technology portfolios for … portfolio contains Coal, Nuclear, Gas, Oil, and Wind in the case of the United States, and Nuclear, Storage hydro, Run of river … (MER) electricity portfolio for the United States contains more Coal, Nuclear, and Wind than actual but markedly less Gas …

Persistent link: https://www.econbiz.de/10003892462