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Value at Risk & Transaction Exposure : An Inter-Temporal Lexicographic Permutation of a Six-Currency Portfolio
Khazeh, Kashi - 2011
Combinations of a six-Currency portfolio are studied for a two-year period to access the reliability of “value at risk” approach to measuring the transaction exposure. The values at risk for each currency and for every additional currency portfolio are estimated for each year. The outcomes...
Persistent link: https://www.econbiz.de/10013120150
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International Investment Positions and Risk Sharing : An Empirical Analysis on the Coordinated Portfolio Investment Survey
Pericoli, Filippo Maria - 2012
By using data from nine waves of the IMF Coordinated Portfolio Investment Survey, we explore the determinants of bilateral portfolio investments and their dynamics. The main goal of our analysis is that of understanding whether a diversifi cation motive can be found, among the various...
Persistent link: https://www.econbiz.de/10013114181
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FDI and FPI : strategic complements?
Pfeffer, Barbara - 2008
We show in a dynamic investment setting whether firms choose FDI or international portfolio investment (FPI) in the … presence of stochastic productivity taking into account differences in flexibility of both investments. Isolated FPI and FDI … investments are compared to combined FPI and FDI investments. FDI requires higher investment specific costs than FPI. Thus, it is …
Persistent link: https://www.econbiz.de/10003865729
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Why do banks go abroad? : Evidence from German data
Buch, Claudia M. - 1999
Persistent link: https://www.econbiz.de/10013261058
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Why do banks go abroad? : evidence from German data
Buch, Claudia M. - 1999
the abolition of capital controls seem to have exerted a greater influence on foreign assets than on FDI of German banks …
Persistent link: https://www.econbiz.de/10011475868
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Ambiguity and the home currency bias
Ulrych, Urban; Vasiljević, Nikola - 2020 - This Version: August 2020
currency bias. The investor's dislike for model uncertainty induces a disproportionately high currency hedging demand. The …
Persistent link: https://www.econbiz.de/10012271218
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Information Disclosure, Intertemporal Risk Sharing, and Asset Prices
Dang, Tri Vi - 2010
Disclosure of information triggers immediate price movements, but it mitigates price movements at a later date, when the information would otherwise have become public. Consequently, disclosure shifts risk from later cohorts of investors to earlier cohorts. Hence, disclosure policy can be...
Persistent link: https://www.econbiz.de/10013138541
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Production and Hedging with Optimism and Pessimism under Ambiguity
Lien, Donald D. - 2017
This paper analyzes the optimal production and hedging decisions of a competitive firm holding optimism and pessimism under price ambiguity. We show that the separation theorem remains intact as the firm's optimal output level depends neither on the output price distribution nor on the firm's...
Persistent link: https://www.econbiz.de/10012972918
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Time-Consistent Mean-Variance Portfolio Selection with Only Risky Assets
Pun, Chi Seng - 2018
Time-consistency and optimal diversification (minimum-variance) criteria are popular in the dynamic portfolio construction in practice. This paper is devoted to the exact analytic solution of the time-consistent mean-variance portfolio selection with assets that can be all risky in a...
Persistent link: https://www.econbiz.de/10012934065
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The Investment Manifesto
Lin, Xiaoji - 2012
A deep-ingrained doctrine in asset pricing says that if an empirical characteristic-return relation is consistent with investor “rationality,” the relation must be “explained” by a risk (factor) model. The investment approach questions the doctrine. Factors formed on characteristics are...
Persistent link: https://www.econbiz.de/10013096092