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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
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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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Optimal Dynamic Trading Strategies with Risk Limits
Couco, Domenico; He, Hua; Issaenko, Sergei - 2001
This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an …
Persistent link: https://www.econbiz.de/10005843396
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Dynamic Allocation of Treasury and Corporate Bond Portfolios
Walder, Roger - 2002
This paper solves the intertemporal investment problem of an investor holding a portfolio of default-free and defaultable bonds.
Persistent link: https://www.econbiz.de/10005843401
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Optimal Asset Allocation for Pension Funds Under Mortality Risk During the Accumulation and Decumulation Phases
Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier - 2003
This paper shows optimal asset allocation during these two phases must be different.
Persistent link: https://www.econbiz.de/10005843404
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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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Hedging the Exchange Rate Risk in International Portfolio Diversification:Currency Forwards versus Currency Options
Maurer, Raimond; Valiani, Shohreh - 2003
As past research suggest, currency exposure risk is a main source of overall risk of internationaldiversified … portfolios. Thus, controlling the currency risk is an important instrument forcontrolling and improving investment performance of … international investments. This studyexamines the effectiveness of controlling the currency risk for international diversified …
Persistent link: https://www.econbiz.de/10005844542