This study investigates the short term inflation hedging characteristics of U.K. real estate compared to other U.K. investments.

In this paper, we discuss one of the reasons leading practitionners to the rejection of the Markowitz model and propose a new stastistical method to avoid this problem. To be more precise, we discuss the problem of statistical robustness of the Markowitz optimizer and show that the latter is not...

This paper develops a Cournot duopoly in which a domestic firm competes with a technologically more advanced foreign-owned firm on the home market.

Severe natural catastrophes in the early nineties have brought about a lack of financial capacity in the catastrophe line of the global reinsurance market. The finance industry reacted to this situation by issuing innovative products designed to spread the excess risk more widely among...

This paper presents a simulation of a global investment strategy that combines diversification and option strategies, in particular the covered call strategy, on the Swiss Exchange.

To obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction stemming, from the lower correlation existing between assets of different countries. The question that we raise in this...

Swiss intitutional investors hold approximately 19% of their wealth in property, and the bulk of the allocation to property is housing. The financial reasons which are often given to motivate this investment strategy are twofold. Firstly, property returns are hypothesised to be lowly correlated...