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Simple and enlarged separation portfolios. On their Use when Arbitraging and Synthesizing Securities.
Apreda, Rodolfo - Universidad del CEMA - 2003
This paper seeks to provide a framework for separation portfolios when they are used not only as synthetics of a …, synthetics are defined by means of a vectorial framework that maps portfolios onto their risk-return profiles. Separation … synthetics. Next, a distinction is brought about between plain separation portfolios (which are located on the Capital Market …
Persistent link: https://www.econbiz.de/10005668667
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Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001
portfolios and of default rates, as well as the required economic capital will vary significantly over the business cycle. …
Persistent link: https://www.econbiz.de/10010301737
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Multiplicative models of financial returns and what we fail to get when they are disregarded
Apreda, Rodolfo - 2011
This paper puts forward an alternative approach to multiplicative models and their assessment of returns out of financial assets. Firstly, it lays down an operative definition but also sets forth a commutative framework of mappings to provide foundations to such a definition. Next, the total...
Persistent link: https://www.econbiz.de/10010323109
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Factoring governance risk into investor's expected rates of return by means of a weighted average governance index
Apreda, Rodolfo - 2007
Although global investors have been paying more heed than ever to Corporate Governance for the last decade, the evolving premium risk stemming from variegated governance issues has not been factored yet into the expected return of any investor's portfolio. From a theoretical standpoint, this...
Persistent link: https://www.econbiz.de/10010323295
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Heterogeneity of Investors and Asset Pricing in a Risk-Value World
Franke, Günter; Weber, Martin - 2001
Persistent link: https://www.econbiz.de/10010324093
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Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies
Zou, Liang - 2000
This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...
Persistent link: https://www.econbiz.de/10010324569
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Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?
Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10010325965
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International stock return comovements
Bekaert, Geert; Hodrick, Robert J.; Zhang, Xiaoyan - 2008
We examine international stock return comovements using country-industry and country-style portfolios as the base … portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better …
Persistent link: https://www.econbiz.de/10011604977
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Mean-Variance Hedging under Additional Market Information
Thierbach, Frank - 2002
In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional market information, which is represented by a given, finite set of observed prices of non-attainable contingent claims. Due to no-arbitrage arguments, our set of investment...
Persistent link: https://www.econbiz.de/10010263048
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Recursive portfolio selection with decision trees
Andriyashin, Anton; Härdle, Wolfgang Karl; Timofeev, Roman - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10010274142