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Aligning asset allocation and real estate investment : some lessons from the last cycle

Kennefy, P. J.; Baum, A. E. - 2012

Persistent link: https://www.econbiz.de/10009725333

Höse, Steffi; Huschens, Stefan; Wania, Robert - In: Applied quantitative finance : theory and computational …, (pp. 87-110). 2002

Persistent link: https://www.econbiz.de/10001749976

Bond-Valuation and Default-Risk Re-examined : A Post Reduced-Form Model Based on Integer Migration and Portfolio Migration

Barnard, Brian - 2019

The study re-examines bond valuation and default risk, by considering and relaxing assumptions regarding integer rating migration, and portfolio rating migration, and consequently the implied degree of diversification. A reduced form model, based on (a) rating migration (matrix), serve as basis...

Persistent link: https://www.econbiz.de/10012865898

Chandra, Siddharth - In: Journal of regional science 45 (2005) 3, pp. 591-616

Persistent link: https://www.econbiz.de/10003086289

Disparity, shortfall, and twice-endogenous hara utility

Haley, M. Ryan; McGee, M. Kevin; Walker, Todd B. - In: Econometric reviews 32 (2013) 1/4, pp. 524-541

Persistent link: https://www.econbiz.de/10009717774

Spatial risk measures and rate of spatial diversification

Koch, Erwan - In: Risks : open access journal 7 (2019) 2/52, pp. 1-26

theory for both actuarial science and practice. Second, in the case of a general cost field, we give sufficient conditions … the risk of extreme events since they appear as a natural extension of multivariate extreme-value theory to the level of …

Persistent link: https://www.econbiz.de/10012019126

Geographic distribution of firms and expected stock returns

Dissanayake, Ruchith - In: Journal of economic dynamics & control 133 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10014535820

Disparity, Shortfall, and Twice-Endogenous HARA Utility

Walker, Todd B. - 2011

expected utility theory. We show that the family of HARA utility functions has a minimum-divergence, shortfall …

Persistent link: https://www.econbiz.de/10013121095

Chandra, Siddharth - 2005

The concept of economic homogeneity in regional science is based on two very different notions: composition and similarity. In the case of the states of the US, measures of homogeneity based on these different notions are negatively correlated with each other, suggesting that the results of...

Persistent link: https://www.econbiz.de/10014063384

Portfolio diversification and city agglomeration

Goetzmann, William N.; Massa, Massimo; Simonov, Andrei - 2004

Persistent link: https://www.econbiz.de/10001991021