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Downside risk optimization in securitized real estate markets
Kroencke, Tim Alexander; Schindler, Felix - 2010
-normally distributed and negatively skewed. Second, optimal portfolio weights differ substantially between the MV and DR approach. Third …, portfolio weights are shifted from the U.S. and Australian market to the Dutch and the French market when applying the DR … and portfolio managers. …
Persistent link: https://www.econbiz.de/10010300508
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International diversification with securitized real estate and the veiling glare from currency risk
Kroencke, Tim Alexander; Schindler, Felix - 2011
diversification is superior to a US mixed-asset portfolio, second, adding international real estate to an already internationally … diversified stock and bond portfolio results in a further significant improvement of the risk-return trade-off and, third …
Persistent link: https://www.econbiz.de/10010304326
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International diversification benefits with foreign exchange investment styles
Kroencke, Tim Alexander; Schindler, Felix; Schrimpf, Andreas - 2011
This paper provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles …, and international stocks. Overall, our results suggest that there are significant improvements in international portfolio … portfolio augmented by FX investment styles compared to the benchmark. …
Persistent link: https://www.econbiz.de/10010304454
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International diversification benefits with foreign exchange investment styles
Kroencke, Tim Alexander; Schindler, Felix; Schrimpf, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2011
This paper provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles …, and international stocks. Overall, our results suggest that there are significant improvements in international portfolio … portfolio augmented by FX investment styles compared to the benchmark. …
Persistent link: https://www.econbiz.de/10009003568
Cover Image
Downside risk optimization in securitized real estate markets
Kroencke, Tim Alexander; Schindler, Felix - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010
-normally distributed and negatively skewed. Second, optimal portfolio weights differ substantially between the MV and DR approach. Third …, portfolio weights are shifted from the U.S. and Australian market to the Dutch and the French market when applying the DR … and portfolio managers. …
Persistent link: https://www.econbiz.de/10008568598
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International diversification with securitized real estate and the veiling glare from currency risk
Kroencke, Tim Alexander; Schindler, Felix - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2011
diversification is superior to a US mixed-asset portfolio, second, adding international real estate to an already internationally … diversified stock and bond portfolio results in a further significant improvement of the risk-return trade-off and, third …
Persistent link: https://www.econbiz.de/10008869221
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German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs
Jamin, Gösta; Entorf, Horst - 2004
This article analyses value changes of German stock market companies in response to movements of the US dollar. The approach followed in this work extends the standard means of measuring exchange rate exposure in several ways (e.g. by using multi-factor modelling instead of augmented CAPM,...
Persistent link: https://www.econbiz.de/10010297319
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Modeling Asset Returns: A Comparison of Theoretical and Empirical Models
Lüders, Erik; Schröder, Michael - 2004
This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad-hoc specifications others are derived from a representative...
Persistent link: https://www.econbiz.de/10010297345
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The Power Law and Dividend Yields
Lüders, Erik; Lüders-Amann, Inge; Schröder, Michael - 2004
Recent research suggests that the power law is one of the most universal laws in nature and it also seems to work quite fine in economics and finance. In this paper we show that the power law explains extremely well the relationship between the value of broad-based market indices and their...
Persistent link: https://www.econbiz.de/10010297376
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The Role of Banks in the Transmission of Monetary Policy in the Baltics
Köhler, Matthias; Hommel, Judith; Grote, Matthias - 2006
The paper empirically investigates the monetary transmission mechanism in the Baltic States. The analysis of the transmission channels through which monetary policy shocks are transmitted is particularly important for the European Central Bank that makes monetary policy in an enlarged European...
Persistent link: https://www.econbiz.de/10010297513