The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this … paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio … portfolio. We assume a reduced-form model and neglect the effects of a potential bankruptcy of one of the banks. We analyze …

a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity … variations and even higher rates of failure. It is in this category in particular that high average portfolio returns are …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 …

Kapitalmarktes. Der Nominalumsatz wird in 2009 erstmals die Grenze von über 1 Mrd. € überschreiten. Um ein Portfolio in optimaler …

This paper develops a portfolio model for performance measurement and selection of investment securities for which … research can be used to develop portfolio measurement tools for these securities. …

and incorporated consistently to arrive at and .These new parameters can then be used in the portfolio optimization … Kovarianz-Matrix weiterverarbeitet werden. Diese angepassten Parameter dienen dann als Ausgangspunkt fur die Portfolio …

portfolios, we propose simple adjustments to portfolio selection strategies that utilize centralization measures from financial … network-based asset allocation strategies improve key portfolio return characteristics in an out-of-sample framework, most … notably, risk and left-tail risk-adjusted returns. Resolving portfolio model selection uncertainties further improves risk …

. Out-of-sample forecast and portfolio exercise further shows the superior forecasting performance of the EHEAVY model, in …

altering the portfolio in response to changes in macroeconomic indicators. Therefore, this study examines the existence of …

computation of the real total portfolio return of households in Germany. Besides bank deposits, this return is also determined by …