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Lower Partial Moments as a measure of vulnerability to poverty in Cameroon
Witt, Rudolf; Waibel, Hermann - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2009
In this paper the class of Lower Partial Moments (LPMs) is used for measuring vulnerability as downside risk of household income in rural Cameroon. This class of established and coherent risk measures has been shown to meet a number of desirable properties. Among others, the LPMs fulfill the...
Persistent link: https://www.econbiz.de/10008491400
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CLIMATE RISK AND FARMING SYSTEMS IN RURAL CAMEROON
Witt, Rudolf; Waibel, Hermann - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2009
activity portfolios. The results suggest that the diversification effect in the study area is limited due to high correlation …
Persistent link: https://www.econbiz.de/10005008100
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Portfolio Diversification in Energy Markets
Galvani, Valentina; Plourde, Andre - Department of Economics, University of Alberta - 2009
diversification gains with respect to energy stocks once investors adopt simple dynamic trading strategies that rely on readily …
Persistent link: https://www.econbiz.de/10004995277
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Paving the way for better telecom performance: Evidence from the telecommunication sector in MENA countries
Bruneau, Catherine; Flageollet, Alexis; Peng, Zhun - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2015
of a low inflation context. These analyses allow us to detect changes in the diversification opportunities over time …
Persistent link: https://www.econbiz.de/10011274578
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Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space
Reveiz, Alejandro; León, Carlos Eduardo - BANCO DE LA REPÚBLICA - 2008
First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix...
Persistent link: https://www.econbiz.de/10005768099
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Initial returns and long-run performance of private equity-backed initial public offerings on the Amsterdam Stock Exchange
van Frederikslust, Ruud; van der Geest, Roy - In: Journal of Financial Transformation 10 (2004), pp. 121-127
This paper investigates the initial returns and long run performance of initial public offerings (IPOs) using a sample of 38 private equity-backed IPOs and 68 non-private equity-backed IPOs in the period 1985-1998 on the Amsterdam Stock Exchange. We find that private equity-backed firms...
Persistent link: https://www.econbiz.de/10008517613
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Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space
Reveiz, Alejandro; León, Carlos - Banco de la Republica de Colombia
First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix...
Persistent link: https://www.econbiz.de/10005274517
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The strategy approval decision: A Sharpe ratio indifference curve approach
Bailey, David H.; López de Prado, Marcos; del Pozo, Eva - In: Algorithmic Finance 2 (2013) 1, pp. 99-109
The problem of capital allocation to a set of strategies could be partially avoided or at least greatly simplified with an appropriate strategy approval decision process. This paper proposes such a procedure. We begin by splitting the capital allocation problem into two sequential stages:...
Persistent link: https://www.econbiz.de/10010991427
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Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios
Kamp, Andreas; Pfingsten, Andreas; Porath, Daniel - Deutsche Bundesbank - 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/10005082787
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Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks
Behr, Andreas; Kamp, Andreas; Memmel, Christoph; … - Deutsche Bundesbank - 2007
specialization. We use data from the Bundesbank's quarterly borrowers statistic to determine the degree of diversification in the …
Persistent link: https://www.econbiz.de/10005058999