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Explaining Hedge Fund Investment Styles by Loss Aversion
Siegmann, Arjen; Lucas, André - 2002
Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...
Persistent link: https://www.econbiz.de/10010324945
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The Benefits of Creating an Integrated EU Market for Investment Funds
Heinemann, Friedrich - 2002
The fast growing EU market for investment funds is still characterised by a continuing relevance of national borders. This papers assesses this market?s degree of integration, the potential benefits from more integration and the obstacles to cross-border sales of funds. The analysis shows that...
Persistent link: https://www.econbiz.de/10010298094
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Critical raw materials partner Canada: An (almost) perfect match. The European-Canadian raw materials partnership in times of friendshoring
Carry, Inga - 2024
The European Union (EU) is aiming to strengthen its cooperation with like-minded countries to secure its supply of so-called critical raw materials. European Commission President Ursula von der Leyen considers Canada a "perfect match" - a resource-rich and reliable partner that shares the EU's...
Persistent link: https://www.econbiz.de/10014632631
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Comparing household inflation experiences measured by the CPI and RPI
Levell, Peter; Skingle, Thomas - 2012
Prices Index (RPI) should be changed to bring them closer in line to those used in the Consumer Prices Index (CPI). Previous … to calculate RPI-based measures of household-specific inflation. This paper analyses whether CPI-based measures give … the RPI would have changed our previous results on the difference in inflation rates across household groups had they been …
Persistent link: https://www.econbiz.de/10010331022
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Conditional Performance Evaluation for German Mutual Equity Funds
Bessler, Wolfgang; Drobetz, Wolfgang; Zimmermann, Heinz - 2007
We investigate the performance of a sample of German mutual equity funds over the period from 1994 to 2003. Our general finding is that mutual funds, on average, hardly produce excess returns relative to their benchmark that are large enough to cover their expenses. This conclusion is drawn from...
Persistent link: https://www.econbiz.de/10011390627
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Ethical vs. non-ethical - is there a difference? Analyzing performance of ethical and non-ethical investment fund
Lundberg, Linnéa; Novák, Jiří; Vikman, Maria - 2009
Ethical investments have become increasingly popular over the past years. Ethical funds restrict their investment based on environmental, social and/or ethical criteria. Prior research on the performance of ethical versus non-ethical funds yields mixed results. This paper investigates the...
Persistent link: https://www.econbiz.de/10010322203
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Lessons from a small country in a financial crisis or Dr. Minsky and Mr. Ponzi in Iceland
Magnusson, Gylfi - 2010
Persistent link: https://www.econbiz.de/10014306488
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The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
Li, Jing; Szimayer, Alexander - 2010
We study the valuation of unit-linked life insurance contracts with surrender guarantees. Instead of solving an optimal stopping problem, we propose a more realistic approach accounting for policyholders’ rationality in exercising their surrender option. The valuation is conducted at the...
Persistent link: https://www.econbiz.de/10010293371
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Different risk-adjusted fund performance measures: a comparison
Grau-Carles, Pilar; Sainz, Jorge; Otamendi, Javier; … - 2009
-Fisher expansion and on the extreme value theory. Moreover, we construct a performance index similar to the Sharpe ratio using these …
Persistent link: https://www.econbiz.de/10010299556
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Network hierarchy in Kirman's ant model: fund investment can create systemic risk
Alfarano, Simone; Milaković, Mishael; Raddant, Matthias - 2009
Kirman's ant model has been used to characterize the expectation formation of financial investors who are prone to herding. The model's original version suffers from the problem of N-dependence: its ability to replicate the statistical features of financial returns vanishes once the system size...
Persistent link: https://www.econbiz.de/10010299741