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Intertemporale Diversifikation im VAR-Ansatz : Erklärung "paradoxer Phänomene" bei langen Prognosezeiträumen
Eberts, Elke - 2003
Vorliegendes Arbeitspapier analysiert die Einflüsse intertemporaler Renditezusammenhänge und fester Startwerte in Vektorautoregressions-(VAR-) Modellen für stetige Renditen anhand des Vergleichs mit einem statischen Random-Walk-Modell.
Persistent link: https://www.econbiz.de/10005842330
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Internationale Diversifikation von Aktien- und Anleihenportfolios aus der Perspektive deutscher Investoren
Maurer, Raimond; Mertz, Alexander - 1999
Vorliegendes Arbeitspapier beschäftigt sich mit der Vorteilhaftigkeit der internationalen Diversifikation von …
Persistent link: https://www.econbiz.de/10005842387
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EMU and Portfolio Diversification Opportunities
Adjaoute, Kpate; Danthine, Jean-Pierre - 2000
This paper studies the impact of EMU on portfolio diversification opportunities. …
Persistent link: https://www.econbiz.de/10005843250
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Portfolio Diversification: Alive and Well in Euroland!
Adjaouthe, Kpate; Danthine, Jean-Pierre - 2001
This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.
Persistent link: https://www.econbiz.de/10005843251
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Geographical Versus Industrial Diversification: A Mean Variance Spanning Approach
Ehling, Paul; Ramos, Sofia B. - 2003
This paper deals with the country allocation provides benefits over industry allocation in a sample of European country and industry indexes.
Persistent link: https://www.econbiz.de/10005843478
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Portfolio Diversification in Europe
Adjaoute, Kpate; Danthine, Jean-Pierre; Isakov, Dusan : … - 2003
on the degree of diversification of European investors? …
Persistent link: https://www.econbiz.de/10005843486
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Homogeneous Commercial Property Market Groupings and Portfolio Construction in the UK
Hamelink, Foort; Hoesli, Martin; Lizieri, Colin; … - Université <Genève> / Section des Hautes Etudes … - 2000
In this paper cluster analysis is used to construct homogeneous groups from 157 UK local markets using commercial property returns.
Persistent link: https://www.econbiz.de/10005843531
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Who Tames the Celtic Tiger? Portfolio Implications from aMultivariate Markov Switching Model
Guidolin, Massimo; Hyde, Stuart - Manchester Business School - 2006
We use multivariate regime switching vector autoregressive models to characterize the time-varyinglinkages among the Irish stock market, one of the top world performers of the 1990s, and the US andUK stock markets. We ¯nd that two regimes, characterized as bear and bull states, are required...
Persistent link: https://www.econbiz.de/10005869997
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Time and Risk Diversification in Real EstateInvestments: Assessing the Ex Post EconomicValue
Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - Manchester Business School - 2009
Welfare gains to long-horizon investors may derive from time diversification that exploits non-zerointertemporal return … correlated. While it could be important for long horizon investors,time diversification has been mostly investigated in asset … diversification when E-REITs belong to theinvestment opportunity set. We find that diversification into REITs increases both the …
Persistent link: https://www.econbiz.de/10005870699
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Geographische Diversifikation von Immobilienportfolios im Schweizer Mietwohnungsmarkt
Borner, Rolf - Center for Urban & Real Estate Management <Zürich> - 2008
Der Anreiz einer Investition besteht im Erzieln einer angemessenen Rendite und im zukünftigen Vermögenszuwachs oder zumindest im Erhalt des Vermögenswertes. Bestrebungen zur Maximierung der Rendite führen zum Anstieg des damit verbundenen Risikos. Analog zu den Anlagekategorien Aktien und...
Persistent link: https://www.econbiz.de/10005871025