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The cost of equity capital in stock portfolios listed on the warsaw stock exchange using the classic CAPM

Urba´nski, Stanislaw - In: E-Finanse : finansowy kwartalnik internetowy 15 (2019) 2, pp. 48-62

. Model tests are based on 252 monthly returns. In order to assess the errors of cost of capital estimation, the bootstrap …

Persistent link: https://www.econbiz.de/10012104396

Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange

Urba´nski, Stanislaw; Leśkow, Jacek - In: Statistics in transition : an international journal of … 21 (2020) 1, pp. 73-94

apply the bootstrap method to evaluate the variability of their estimation method. The cost of capital they refer to is …

Persistent link: https://www.econbiz.de/10012183556

A managed volatility investment strategy for pooled annuity products

Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …

Persistent link: https://www.econbiz.de/10013363078

Time Variation in Life Expectancy, Optimal Portfolio Choice and the Cross-Section of Asset Returns

Maurer, Thomas Andreas - 2015

I solve a portfolio optimization problem with stochastic death rates. An agent demands more of an asset that pays off high (low) in states of the world when he expects to live longer (shorter) than an asset with the opposite payoff. Consequently, in equilibrium, an asset with a positive...

Persistent link: https://www.econbiz.de/10013039157