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Risk spillover among hedge funds: The role of redemptions and fund failures
Klaus, Benjamin; Rzepkowski, Bronka - 2009
This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...
Persistent link: https://www.econbiz.de/10011605158
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Investment strategies, fund performance and portfolio characteristics
Engström, Stefan - 2004
degree of diversification within the fund portfolio. However, diversification by including non-listed stocks does not enhance …
Persistent link: https://www.econbiz.de/10010281200
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Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios
Kamp, Andreas; Pfingsten, Andreas; Porath, Daniel - 2005
this end we measure diversification for all German banks in the period from 1993 to 2002. As measures we use a broad set of … naive diversification across all industries or, alternatively, the economy's industry structure. With this framework our … in this context innovative group of distance measures. We find that different statistical measures of diversification may …
Persistent link: https://www.econbiz.de/10010295896
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Strategische Asset-Allokation aus Sicht des privaten Kapitalanlegers
Walther, Ursula - 2002
Die strategische Asset Allokation ist die für den langfristigen Anlageerfolg wichtigste Entscheidung eines Kapitalanlegers. Eine fundierte Entscheidung erfordert einen mehrstufigen, strukturierten Prozess. Der Anleger muss sich mit den realistischen Chancen des Kapitalmarktes und mit seinen...
Persistent link: https://www.econbiz.de/10010305678
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The use of the sustainable investment against the broad market one. A first test in the Mexican stock market
De la Torre, Oscar; Galeana, Evaristo; Aguilasocho, Dora - In: European Research on Management and Business Economics … 22 (2016) 3, pp. 117-123
of a loss of mean–variance efficiency in the sustainable subset due to a lower diversification. …
Persistent link: https://www.econbiz.de/10012115899
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Diversification Among Cryptoassets: Bitcoin Maximalism, Active Portfolio Management, and Survival Bias
Sun, Weizhi; Kristoufek, Ladislav - 2021
literature, and the general perception of diversification benefits within cryptomarkets mostly builds on popular beliefs. The …
Persistent link: https://www.econbiz.de/10012695549
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Investment Behaviour of German Equity Fund Managers - An Exploratory Analysis of Survey Data
Arnswald, Torsten - 2001
In order to shed light on the "black box" of institutional equity investing in a systematic manner, I conducted a broadly based questionnaire which received a large response from German mutual fund companies. The survey asked fund managers for their basic views and practices and for insights...
Persistent link: https://www.econbiz.de/10010295706
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Money in motion: Dynamic portfolio choice in retirement
Horneff, Wolfram J.; Maurer, Raimond H.; Mitchell, Olivia S. - 2007
Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial...
Persistent link: https://www.econbiz.de/10010298370
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Analytic Decision Rules for Financial Stochastic Programs
Siegmann, Arjen H.; Lucas, André - 2000
Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...
Persistent link: https://www.econbiz.de/10010324403
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Economic Costs and Benefits of Imposing Short-Horizon Value-at-Risk Type Regulation
Shi, Zhen; Werker, Bas J.M. - 2011
Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some investors, notably pension funds, the VaR constraint is enforced over a horizon which is significantly shorter than the investment horizon of the investor. Our paper aims to...
Persistent link: https://www.econbiz.de/10010325677