The focus of this article is the analysis of the inflation risk of European real estate securities. Following both a … causal and a final understanding of risk, the analysis is twofold. First, to examine the causal influence of inflation on … shortfall risk measures are used to study whether an investment in European real estate securities protects against a negative …

different risk preferences and measure efficiency with a structural model based on utility maximization. Using the almost ideal … demand system, we estimate input and profit demand functions to obtain proxies for expected return and risk. Efficiency is … then measured in this risk-return space. Mean risk-return efficiency is somewhat higher than cost and considerably higher …

Rendite erzielen. Für die langfristige Kapitalanlage wird damit eine Garantie sehr teuer erkauft. …Bei der Altersvorsorge von Privatanlegern ergibt sich in der derzeitigen Marktsituation die Frage nach der Einführung … teilweise geringer Abweichung von risikofreier Rendite immer noch 50% der Rendite eines Vergleichsindex erwirtschaften, zum …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

empirical viewpoint. Previous research analyzed portfoliotheoretical issues, mispricing patterns, and counterparty risk. This …, we use both a risk neutral and a loss averse value function. Individual preferences prove relevant especially for those …