Narrow search
Showing 1 - 10 of 93
Cover Image
A decision-theoretic foundation for reward-to-risk performance measures
Schuhmacher, Frank; Eling, Martin - In: Journal of Banking & Finance 36 (2012) 7, pp. 2077-2082
In this paper we prove that partial-moments-based performance measures (e.g., Omega, Kappa, upside-potential ratio, Sortino–Satchell ratio, Farinelli–Tibiletti ratio), value-at-risk-based performance measures (e.g., VaR ratio, CVaR ratio, Rachev ratio, generalized Rachev ratio), and other...
Persistent link: https://www.econbiz.de/10010577987
Cover Image
Contract Nonperformance and Ambiguity in Insurance Markets
Landmann, Andreas; Biener, Christian; Eling, Martin; … - 2015
Insurance contract nonperformance relates to situations when valid claims are not paid by the insurer. We extend … probabilistic insurance models to allow for such nonperformance risk as well as ambiguity regarding nonperformance and loss … contract nonperformance. In line with our predictions, insurance demand decreases by 17 percentage points in the presence of …
Persistent link: https://www.econbiz.de/10011301646
Cover Image
Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds?
Eling, Martin; Schuhmacher, Frank - Institut für Versicherungswirtschaft <Sankt Gallen> - 2006
The Sharpe ratio is adequate for evaluating investment funds when the returns ofthose funds are normally distributed and the investor intends to place all his risky assetsinto just one investment fund. Hedge fund returns differ significantly from anormal distribution. For this reason, other...
Persistent link: https://www.econbiz.de/10005861515
Cover Image
Can Group Incentives Alleviate Moral Hazard? The Role of Pro-Social Preferences
Biener, Christian - 2017
Incentivizing unobservable effort in risky environments, such as in insurance, credit, and labor markets, is vital as …-compatibility. Two independent large-scale behavioral experiments framed in an insurance context support the hypotheses derived from our … asymmetric information …
Persistent link: https://www.econbiz.de/10012969220
Cover Image
Willingness to take financial risks and insurance holdings : A European survey
Eling, Martin; Ghavibazoo, Omid; Hanewald, Katja - 2021
insurance and long-term care insurance. For a representative sample of individuals aged 50+ from 14 countries and controlling … for demographic and socioeconomic determinants of insurance demand, we find a positive link between willingness to take … financial risks and ownership of both long-term care insurance and life insurance. The link is stronger for whole life insurance …
Persistent link: https://www.econbiz.de/10014089300
Cover Image
When Does the Choice of Performance Measure Not Matter?
Schuhmacher, Frank - 2013
We analyze the Sharpe ratio and 14 alternative reward-to-risk ratios. Every alternative ratio leads to the same ranking of investment funds as the Sharpe ratio if the funds' return distributions satisfy the location and scale condition (see Meyer, 1987). It then makes no difference whether funds...
Persistent link: https://www.econbiz.de/10013095327
Cover Image
Sufficient Conditions for Expected Utility to Imply Drawdown-Based Performance Rankings
Schuhmacher, Frank - 2013
The least restrictive sufficient condition for expected utility to imply Sharpe ratio rankings is the location and scale (LS) condition (see Meyer, 1987). The LS condition includes the normal and many other (asymmetric and leptokurtic) distributions commonly used in finance. In this paper we...
Persistent link: https://www.econbiz.de/10013095351
Cover Image
How Skewness Influences Optimal Allocation in a Risky Asset
Eling, Martin - 2012
This paper 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...
Persistent link: https://www.econbiz.de/10013098987
Cover Image
Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds?
Eling, Martin - 2013
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...
Persistent link: https://www.econbiz.de/10012754094
Cover Image
Costs and benefits of financial regulation : an empirical assessment for insurance companies
Eling, Martin; Pankoke, David Antonius - In: The Geneva papers on risk and insurance - issues and … 41 (2016) 4, pp. 529-554
Persistent link: https://www.econbiz.de/10011659286