Showing 1 - 10 of 660
Using NCRIEF farmland and timberland smoothed indices over the period from 1992Q1 to 2012Q3 and a new de-smoothing approach offered by Fisher et al. (1994), we explore the mean-variance diversification features of farmland and timberland assets. Our empirical results show that diversification...
Persistent link: https://www.econbiz.de/10013049092
The paper extends the Black-Litterman model from elliptical distributions to the extended skew-normal and extended skew-student-t distributions. In addition to fat-tails, a non-Gaussian distributional feature already captured by the elliptical family, the extended model analytically incorporates...
Persistent link: https://www.econbiz.de/10014348744
Over 70 academic papers attempt to explain why foreigners invest in US securities. All ignore the vital role of the US broker-dealer. Macroeconomic factors like a trade balance or corporate governance may guide foreign investors toward certain markets. But US broker-dealers provide information...
Persistent link: https://www.econbiz.de/10010512985
In this paper, we use a sample of almost 30,000 Swedish mono- and dizygotic twins to study the heritability of financial risk-taking. Following a major pension reform in the year 2000, virtually all Swedish adults had to simultaneously make a finnancial decision axoecting post-retirement wealth....
Persistent link: https://www.econbiz.de/10003756987
In this paper I investigate the investment behavior of SRI investors based on SRI mutual fund flows. Specifically, I analyze how SRI investors react to past performance and ethical standards. This empirical study shows that over the years along with the development of the SRI fund market, the...
Persistent link: https://www.econbiz.de/10003783623
We provide explicit solutions to life-cycle utility maximization problems simultaneously involving dynamic decisions on investments in stocks and bonds, consumption of perishable goods, and the rental and the ownership of residential real estate. House prices, stock prices, interest rates, and...
Persistent link: https://www.econbiz.de/10003838420
The utility-maximizing consumption and investment strategy of an individual investor receiving an unspanned labor income stream seems impossible to find in closed form and very difficult to find using numerical solution techniques. We suggest an easy procedure for finding a specific, simple, and...
Persistent link: https://www.econbiz.de/10003838456
We consider the problem of portfolio selection within the classical Markowitz meanvariance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights....
Persistent link: https://www.econbiz.de/10003790940
Dieser Beitrag entwickelt ein Verfahren, das die Komplexität der Endvermögensberechnung von Aktienanlagen unter Berücksichtigung der Besteuerung und regelmäßiger Portfolioumschichtung erheblich reduziert. Bisher ist eine vergleichbar präzise Berechnung wegen rekursiver Abhängigkeiten sehr...
Persistent link: https://www.econbiz.de/10003872906
Schiffsinvestitionen haben in Deutschland eine lange Tradition und stellen für private Anleger - meist über geschlossene Fonds - und zunehmend auch für institutionelle Anleger eine bedeutende Form der Kapitalanlage dar. Trotz ihrer schon lange anhaltenden Beliebtheit und des hohen...
Persistent link: https://www.econbiz.de/10008696219