This article extends the classic Samuelson (1970) and Merton (1973) model of optimal portfolio allocation with one risky asset and a riskless one to include the effect of the skewness. Using an extended version of Stein's Lemma, we provide the explicit solution for optimal demand that holds for...</italic>

In this paper, we investigate the German stock market with regard to quot;negative stub valuesquot; or quot;parent company puzzles.quot; These are situations where a firm's market value is less than the value of its ownership stake in a publicly traded subsidiary. According to...

The purpose of this paper is to provide an overview and new empirical evidence on frontier efficiency measurement in the insurance industry, a topic of great interest in the academic literature during the last several years. In the first step, we review 87 studies and put them into a joint...

The aim of this paper is to study the influence of nonlinear dependencies on a nonlife insurer's risk and return profile. To achieve this, we integrate several copula models in a dynamic financial analysis (DFA) framework and conduct numerical tests within a simulation study. We also test...

The contribution of this paper is to provide an overview and new empirical evidence on hedge fund performance persistence, which has been a controversial issue in the academic literature during the last several years. In the first step, we review recent studies and put them into a joint...

Dynamic financial analysis (DFA) has become an important tool in analyzing the financial situation of insurance companies. Constant development and documentation of DFA tools has occurred during the last years. However, several questions concerning the implementation of DFA systems have not been...

A frequent comment is that investment funds with a nonnormal return distribution cannot be adequately evaluated by using the classic Sharpe ratio. Research on hedge fund data that compared the Sharpe ratio with other performance measures, however, found virtually identical rank ordering by the...

Data envelopment analysis (DEA) is a nonparametric method from the area of operations research that measures the relationship of produced outputs to assigned inputs and determines an efficiency score. This efficiency score can be interpreted as a performance measure in investment analysis....

The Sharpe ratio is adequate for evaluating investment funds when the returns of those funds are normally distributed and the investor intends to place all his risky assets into just one investment fund. Hedge fund returns differ significantly from a normal distribution. For this reason, other...