Copulas erfreuen sich in der Finanzwirtschaft wachsender Beliebtheit. Ursache hierfür ist insbesondere die Möglichkeit, mit ihrer Hilfe nicht-lineare Abhängigkeitsstrukturen darzustellen. Ein weiterer Vorteil besteht darin, dass multivariate Verteilungen mit Hilfe von Copulas separat in ihre...

In this paper we examine the market correlation and market returns from Romanian perspective. Market returns are higher in emerging markets than developed market returns, but form portfolio perspective it`s also important to evaluate how much correlations are changing in emerging markets. Our...

About the EditorsThis book contains the recent contributions of Edwin J Elton and Martin J Gruber to the field of investments. All of the articles in this book have been published in the leading finance and economic journals. Sixteen of the nineteen articles have been published in the last ten...

We verify the long-term performance of low-volatility stocks in the stock markets around the world. A reliable observation becomes possible on the respective stock markets in the United States from the 1920s, in Japan from the 50s and in other developed countries from the 70s, as we use indices...

The shortage function has recently been introduced in portfolio selection theory for measuring efficiency. In this paper we focuss on the case of shortselling. We show that, in such a case, the shortage function can be computed in closed form. Some issues concerning duality are also analyzed. We...

More and more investors apply socially responsible screens when building their stock portfolios. This raises the question whether these investors can increase their performance by incorporating such screens into their investment process. To answer this question we implement a simple trading...

The purpose of this paper is to exhibit the impacts of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio Methodology / approach We use a Monte Carlo simulation framework to simulate a real estate assets cash-flows in which lease structures...

In this paper, we propose a flexible tool to estimate the risk sensitivity of a high-dimensional portfolio composed of different classes of assets, especially in extreme risk circumstances. We build a so-called Cvine Risk Factors Model (CRFM), which is a non-linear version of a risk factor model...