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A Multiple Factor Model for European Stocks
Maurer, Raimond; Stephan, Thomas G.; Dürr, Martin - Universität Frankfurt, Main / Fachbereich … - 2000
Vorgestellt wird eine empirische Studie, welche die Schätzung eines fundamentalen Multi-Faktor-Modells für ein Universum europäischer Aktien beinhaltet. Als Methode wurde in Anlehnung an die Vorgehensweise im BARRA-Modell der Querschnittsanalyse der Vorzug gegeben. Der Anteil der erklärten...
Persistent link: https://www.econbiz.de/10005840293
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Inflation Risk Analysis of European Real Estate Securities
Maurer, Raimond; Sebastian, Steffen - 2002
of this paper is the analysis of inflation risk of European real estate securities. An overview of the institutional … United Kingdom are examined for the period 1980:1-1998:12. Besides the classical Fama/Schwert-approach, shortfall risk …
Persistent link: https://www.econbiz.de/10005840342
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Anreizwirkungen und Bewertung von Erfolgsbeteiligungen im Portefeuillemanagement
Gillenkirch, Robert M. - Universität <Frankfurt, Main> / Fachbereich … - 1997
Performance fees for portfolio managers are designed to align the managers' goals withthose of the investors and to motivate managers to aquire "superior" information and tomake better investment decisions. A part of the literature analyzes performance fees on thebasis of market valuation. In...
Persistent link: https://www.econbiz.de/10005840405
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Optimal Shortfall Hedging of Credit Risk
Lotz, Christopher - 1999
In this paper we examine the problem of partially hedging a given credit risk exposure. We derive hedges which satisfy … certain optimality criteria: For a given investment into the hedge they minimize the remaining risk, or vice versa. This is … money by hedging only part of the claim, while taking a certain (minimal) risk that the hedge does not cover the claim …
Persistent link: https://www.econbiz.de/10005841289
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Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
Kramkov, Dmitrij O.; Schachermayer, Walter - Institut für Informationsverarbeitung und -wirtschaft … - 2001
Following [10] we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true....
Persistent link: https://www.econbiz.de/10005841616
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A risk aversion paradox and wealth dependent utility
Löffler, Andreas - 1996
We report a surprising property of u-o-preferences: the assumption of nonincreasing relative risk aversion implies the …
Persistent link: https://www.econbiz.de/10005842122
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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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Recovery Risk in Stock Returns
Akgun, Aydin; Gibson, Rajna - 1999
This paper argues that book-to-market and size attributes represent sensitivities of firm returns to several risk …
Persistent link: https://www.econbiz.de/10005843147
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A Heuristic Approach to Portfolio Optimization
Kellezi, Evis; Gilli, Manfred - 2000
The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems.
Persistent link: https://www.econbiz.de/10005843226
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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