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Kosten der privaten Altersvorsorge: Private Rentenversicherungen und Fondssparpläne im Vergleich

Westerheide, Peter - 2001

Ansparen in Investmentfonds mit gleicher durchschnittlicher Renditeerwartung vor Kosten, wie sie private Rentenversicherungen … bieten, und den hier unterstellten Kosten für aktienorientierte Investmentfonds aus Kostensicht nicht immer effizient ist …. Sofern aktienorientierte Investmentfonds jedoch im langfristigen Durchschnitt höhere Renditen vor Kosten erwirtschaften …

Persistent link: https://www.econbiz.de/10010297736

Investment certificates under German taxation: Benefit or burden for structured products' performance?

Scholz, Peter; Walther, Ursula - 2010

Despite their impressive market success, investment certificates' benefits are puzzling from both a theoretical and an empirical viewpoint. Previous research analyzed portfoliotheoretical issues, mispricing patterns, and counterparty risk. This work highlights the impact of taxation, which has...

Persistent link: https://www.econbiz.de/10010301716

Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen

Becker, Christoph; Wystup, Uwe - 2008

teilweise geringer Abweichung von risikofreier Rendite immer noch 50% der Rendite eines Vergleichsindex erwirtschaften, zum … Rendite erzielen. Für die langfristige Kapitalanlage wird damit eine Garantie sehr teuer erkauft. …

Persistent link: https://www.econbiz.de/10010301717

Stochastic modeling of private equity: an equilibrium based approach to fund valuation

Buchner, Axel; Kaserer, Christoph; Wagner, Niklas - 2006

In this paper, we present a new approach to measure the returns of private equity investments based on a stochastic model of the dynamics of a private equity fund. Our stochastic model of a private equity fund consists of two independent stages: the stochastic model of the capital drawdowns and...

Persistent link: https://www.econbiz.de/10010305730

Investment strategies, fund performance and portfolio characteristics

Engström, Stefan - 2004

This paper studies the relation between fund performance and the fund manager's investment strategy, which is based on the characteristics of the portfolio. The results show that neither momentum characteristics nor the valuation of stocks can explain differences in fund performance. However,...

Persistent link: https://www.econbiz.de/10010281200

Information costs and mutual fund flows

Engström, Stefan; Westerberg, Anna - 2004

This paper examines how investor and capital flows into mutual funds in the Swedish pension system are related to fund characteristics. Similarly to U.S. studies, we show that individuals chase past returns and have a strong preference for lower-fee funds. However, our results suggest that past...

Persistent link: https://www.econbiz.de/10010281358

Is socially responsible investing just screening? Evidence from mutual funds

Hirschberger, Markus; Steuer, Ralph E.; Utz, Sebastian; … - 2012

This paper presents the results of an empirical study concerning conventional and socially responsible mutual funds.We apply a sophisticated operations research algorithm embedded in inverse portfolio optimization on financial market data, ESG-scores and CRSP fund data. Due to our results we...

Persistent link: https://www.econbiz.de/10010281494

Consumer reaction on tumbling funds: Evidence from retail fund outflows during the financial crisis 2007/2008

Schmidt, Daniel; Schmielewski, Frank - 2012

Within this study we propose different measures to prove the influence of prior retail fund performance on fund flows. In contrast to previous literature, our work indicates that investors behave directly and in a selective manner by redeeming their shares of poor performing funds. By using a...

Persistent link: https://www.econbiz.de/10010286588

Performance maximization of actively managed funds

Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - 2010

Ratios that indicate the statistical significance of a fund's alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...

Persistent link: https://www.econbiz.de/10010287049

Asset class diversification and delegation of responsibilities between central banks and sovereign wealth funds

Aizenman, Joshua; Glick, Reuven - 2010

This paper presents a model comparing the optimal degree of asset class diversification abroad by a central bank and a sovereign wealth fund. We show that if the central bank manages its foreign asset holdings in order to meet balance of payments needs, particularly in reducing the probability...

Persistent link: https://www.econbiz.de/10010287783