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Mean-variance & mean-VaR portfolio selection: A simulation based comparison in the Czech crisis environment
Parrák, Radovan; Seidler, Jakub - 2010
This paper focuses on two methods for optimum portfolio selection. We compare Mean-Variance method with Mean-VaR method by the means of investment simulation, based on Czech financial market data from turbulent market periods of the year 2007 and the year 2008. We compare both strategies, basing...
Persistent link: https://www.econbiz.de/10010322278
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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
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Hedge ratios for short and leveraged ETFs
Schubert, Leo - In: Atlantic Review of Economics 1 (2011), pp. 1-33
Exchange-traded funds (ETFs) exist for stock, bond and commodity markets. In most cases the underlying feature of an ETF is an index. Fund management today uses the active and the passive way to construct a portfolio. ETFs can be used for passive portfolio management, for which ETFs with...
Persistent link: https://www.econbiz.de/10010290046
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Fund managers - why the best might be the worst: On the evolutionary vigor of risk-seeking behavior
Witte, Björn-Christopher - 2011
. As a practical example, the professional competition between fund managers is considered. To explore how different …
Persistent link: https://www.econbiz.de/10010306759
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Incentive Contracts and Hedge Fund Management: A Numerical Evaluation Procedure
Jackwerth, Jens Carsten; Hodder, James E. - 2003
The behavior of a hedge-fund manager naturally depends on her compensation scheme, her preferences, and constraints on her risk-taking. We propose a numerical method which can be used to analyze the impact of these influences. The model leads to several interesting and novel results concerning...
Persistent link: https://www.econbiz.de/10010323933
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Incentive contracts and hedge fund management
Hodder, James E.; Jackwerth, Jens Carsten - 2005
This paper investigates dynamically optimal risk-taking by an expected-utility maximizing manager of a hedge fund. We examine the effects of variations on a compensation structure that includes a percentage management fee, a performance incentive for exceeding a specified highwater mark, and...
Persistent link: https://www.econbiz.de/10010266924
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The Appeal of Risky Assets
Stolper, Anno - 2010
, the fund manager is often replaced. We argue that this may lead to excessive risk-taking if fund managers differ in … ability and have the opportunity to take excessive risk. To match the benchmark, fund managers may increase the risk of their …
Persistent link: https://www.econbiz.de/10010427567
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Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior
Witte, Björn-Christopher - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-24, pp. 1-29
. As a practical example, the professional competition between fund managers is considered. To explore how different … evolutionary model is developed. Using a simple genetic algorithm, two attributes of virtual fund managers evolve: the share of … does not necessarily select managers with efficient portfolios. These results underline the institutional need for the …
Persistent link: https://www.econbiz.de/10010309602
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Passive investment strategies and financial bubbles
Fischer, Thomas - 2012
fundamentals) tend to occur if active portfolio managers exhibit high risk aversion, but are less frequent than positive bubbles. …
Persistent link: https://www.econbiz.de/10010323727
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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/10010333067