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Zur Notwendigkeit des Corporate Portfolio Management: Eine Würdigung der wissenschaftlichen Forschung der letzten vier Jahrzehnte

Nippa, Michael - 2011

Diversifikations- und M&A-Forschung wird dem Corporate Portfolio Management (CPM) und CPM Instrumenten seit den 1980er Jahren kaum … portfolio management (CPM) and CPM tools receive considerably less regard since the 1980s, as our review of the literature in …

Persistent link: https://www.econbiz.de/10010307742

The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation

Memmel, Christoph; Wehn, Carsten - 2005

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 …

Persistent link: https://www.econbiz.de/10010295895

Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations

Schmidt, Daniel - 2003

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 …

Persistent link: https://www.econbiz.de/10010298259

Geschlossene Schifffonds - Portfolio- und Marktrisiken. Eine empirische Untersuchung anhand von Zweitmarktkursdaten

Küster Simic, André; Thönnessen, Rasmus - 2008

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

Persistent link: https://www.econbiz.de/10010302751

Portfolio Management for Privately-Held Securities: Investment Selection and Performance Measurement

Dorsey, Terry - In: Journal of Small Business Finance 3 (1994) 2, pp. 171-176

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. …

Persistent link: https://www.econbiz.de/10011310336

Ethical vs. non-ethical - is there a difference? Analyzing performance of ethical and non-ethical investment fund

Lundberg, Linnéa; Novák, Jiří; Vikman, Maria - 2009

. The analysis of the portfolio composition shows that there are small differences in the structure of portfolios concerning …

Persistent link: https://www.econbiz.de/10010322203

Teaching empirical finance courses: A project on portfolio management

Morley, Bruce - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-8

determine an optimal portfolio of assets given their view on the risks in the economy. The emphasis is on risk management … through portfolio diversification and the use of a simple hedge strategy. The overall aim was to introduce the students to the … basics of portfolio management, as many work in this industry for their industrial placements and when they graduate. The …

Persistent link: https://www.econbiz.de/10011559211

Sovereign Bonds since Waterloo

Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph - 2019

This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 countries. Our main insight is that, as in equity...

Persistent link: https://www.econbiz.de/10012018197

Uncertainty in the Black-Litterman model: A practical note

Fuhrer, Adrian; Hock, Thorsten - 2019

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 …

Persistent link: https://www.econbiz.de/10012054797

Investing in Well-being: An Analytical Framework

Jacobsen, Veronica; Mays, Nicholas; Crawford, Ron; … - 2002

The NZ Treasury is currently engaged in a project to identify cost-effective interventions to improve outcomes for children and young adults in order to maximise the value of government expenditures across the social sector. The central aim of this paper is to provide an empirically-robust...

Persistent link: https://www.econbiz.de/10012115510