Narrow search
Showing 1 - 10 of 294
Cover Image
Recursive Portfolio Selection with Decision Trees
Andriyashin, Anton; Härdle, Wolfgang; Timofeev, Roman - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
A great proportion of stock dynamics can be explained using publicly availableinformation. The relationship between dynamics and public information may be ofnonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10005860747
Cover Image
INTERGENERATIONAL RISK SHARING BY MEANS OF PAY-AS-YOU-GO PROGRAMS - AN INVESTIGATION OF ALTERNATIVE MECHANISMS
Thøgersen, Øystein - CESifo GmbH <München> - 2006
magnitude of the optimal paygoprogram and the nature of the underlying risk sharing effects are very sensitive to the … chosencombination of risk concepts and stochastic specification of long run aggregate wage incomegrowth. In an additive way we … distinguish between the pooling of wage and capital riskswithin periods and two different intertemporal risk sharing mechanisms... …
Persistent link: https://www.econbiz.de/10005861192
Cover Image
Enhanced Annuities and the Impact of Individual Underwriting on an Insurer’s Profit Situation
Hoermann, Gudrun; Russ, Jochen - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008
We analyze the effect of enhanced annuities on an insurer engaging in individualunderwriting. We use a frailty model for the heterogeneity of the insured populationand model the individual underwriting by a random variable that positivelycorrelates with the corresponding frailty factor. For a...
Persistent link: https://www.econbiz.de/10005861406
Cover Image
Performance Measurement in the Investment Industry
Eling, Martin - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008
It is frequently noted that investment funds with a nonnormal return distributioncannot be adequately evaluated using the classic Sharpe ratio. However, recent research compared the Sharpe ratio with other performance measures and found virtually identical rank ordering using hedge fund data. We...
Persistent link: https://www.econbiz.de/10005861465
Cover Image
Auswirkungen von Enhanced Annuities auf den Bestand eines Versicherers
Hoermann, Gudrun; Russ, Jochen - Institut für Versicherungswirtschaft <Sankt Gallen> - 2007
Das Preis-Leistungs-Verhältnis herkömmlicher Rentenversicherungen steigt mitder Lebenserwartung des Versicherten. Derartige Produkte sind damit nur für Personen mit relativ hoher Lebenserwartung attraktiv. Der Nachteil für Versichertemit reduzierter Lebenserwartung wird durch steuerliche...
Persistent link: https://www.econbiz.de/10005861471
Cover Image
Investment Guarantees in Unit-linked Life Insurance Products : Comparing Cost and Performance
Gatzert, Nadine; Schmeiser, Hato - Institut für Versicherungswirtschaft <Sankt Gallen> - 2007
In this article we identify risk and return profiles of two types of investment guaranteesin unit-linked life insurance …
Persistent link: https://www.econbiz.de/10005861477
Cover Image
Wo sind die Grenzen des Marktwachstums von Hedgefonds?
Eling, Martin - Institut für Versicherungswirtschaft <Sankt Gallen> - 2006
derzeit aufempirischer Basis kein eindeutiger Zusammenhang aufgedeckt werden kann,sprechen aus Sicht der Theorie einige Gründe …
Persistent link: https://www.econbiz.de/10005861512
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
Performance Measurement of Hedge Funds Using Data Envelopment Analysis
Eling, Martin - Institut für Versicherungswirtschaft <Sankt Gallen> - 2006
suggested rules to fully capture hedge fund risk and return characteristics. …
Persistent link: https://www.econbiz.de/10005861540
Cover Image
Der Markt für Hedgefonds in Deutschland - Erfahrungen zwei Jahre nach Einführung des Investmentmodernisierungsgesetzes
Eling, Martin - Institut für Versicherungswirtschaft <Sankt Gallen> - 2006
Trotz einer sehr positiven Entwicklung des weltweiten Hedgefonds-Marktes undsehr positiver Erwartungen der deutschen Fondsindustrie hinsichtlich der Marktentwicklungist bislang in Deutschland eher ein zurückhaltendes Interesse anHedgefonds zu beobachten. Was sind die Gründe für die...
Persistent link: https://www.econbiz.de/10005861542