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Should pension funds hedge currency risk? The case of Poland
Kurach, Radoslaw; Papla, Daniel - In: Baltic Journal of Economics 16 (2016) 2, pp. 81-94
fully exploit the available diversification gains. Finally, the obtained simulation results are matched with real data. The …
Persistent link: https://www.econbiz.de/10011868505
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Diversification benefits of commodities: A stochastic dominance efficiency approach
Daskalaki, Charoula; Skiadopoulos, George; Topaloglou, … - 2016
it does not impose distributional assumptions on asset returns. We find that commodities provide diversification benefits …
Persistent link: https://www.econbiz.de/10011796521
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The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …
Persistent link: https://www.econbiz.de/10012422046
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The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2019
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyze the risk and diversification in the sovereign bond portfolios of the largest European banks and …
Persistent link: https://www.econbiz.de/10012145154
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Economic Costs and Benefits of Imposing Short-Horizon Value-at-Risk Type Regulation
Shi, Zhen; Werker, Bas J.M. - 2011
Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some investors, notably pension funds, the VaR constraint is enforced over a horizon which is significantly shorter than the investment horizon of the investor. Our paper aims to...
Persistent link: https://www.econbiz.de/10010325677
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Os fundos brasileiros de previdência complementar: Segmentações analíticas e estudos preliminares sobre a alocação de seus recursos
De Conti, Bruno - 2016
Brazilian pension funds hold together a portfolio that exceeds R$ 1 trillion. This volume of resources justifies researches that try to understand the management of these portfolios. This paper aims therefore to analyze the allocation of the wealth managed by these funds. As an associated goal,...
Persistent link: https://www.econbiz.de/10011444810
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Previ, Petros e Funcef: Uma análise da alocação das carteiras das três maiores entidades brasileiras de previdência complementar (2003-2013)
de Conti, Bruno - 2016
At the end of 2014, the pension funds in Brazil held a portfolio of R$ 672 billion. About 45% of these resources are owned by the three largest entities of the country, namely, Previ, Petros and FUNCEF. This article aims to analyze in detail the evolution of the portfolios of these three...
Persistent link: https://www.econbiz.de/10011537876
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Home biased? A spatial analysis of the domestic merging behavior of US firms
Grote, Michael H.; Umber, Marc P. - 2006
Using data of US domestic mergers and acquisitions transactions, this paper shows that acquirers have a preference for geographically proximate target companies. We measure the 'home bias' against benchmark portfolios of hypothetical deals where the potential targets consist of firms of similar...
Persistent link: https://www.econbiz.de/10010263320
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Back to the roots: Ancestral origin and mutual fund manager portfolio choice
Ammann, Manuel; Cochardt, Alexander Elmar; Straumann, Simon - 2022
We exploit variation in the ancestries of U.S. equity mutual fund managers to show that ancestry affects portfolio decisions. Controlling for fund firm location, we find that funds overweight stocks from their managers' ancestral home countries in their non-U.S. portfolio by 132 bps or 20.34%...
Persistent link: https://www.econbiz.de/10012882666
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The puzzling evolution of the home bias, information processing and financial openness
Mondria, Jordi; Wu, Thomas - 2007
This paper presents a rational expectations model of asset prices with rationally inattentive investors that, unlike previous papers, explains both the substantial amount of equity wealth invested domestically and the puzzling time series behavior of the home bias - an initial plateau before...
Persistent link: https://www.econbiz.de/10010285303