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for VaR-ES measures have led to several advanced estimation methodologies. However, the lack of identification of optimal … value theory (EVT) followed closely by the filtered historical simulation (FHS) are highly accurate methodologies. In …
Persistent link: https://www.econbiz.de/10013183970
This paper considers a paradigm financial markets trades booking and valuation, data subscription and portfolio revaluation system. Traded instruments covered include: spot and forward exchange rates (FX); credit default swaps (CDS); total return swaps (TRS); commodity and bond futures; traded...
Persistent link: https://www.econbiz.de/10013098037
Adaptive Asset Allocation builds on Harry Markowitz’s 1952 Modern Portfolio Theory by providing greater risk management …
Persistent link: https://www.econbiz.de/10013250291
Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper...
Persistent link: https://www.econbiz.de/10012826182
This study evaluated the relationship between inflation and infrastructure sector stock returns in emerging markets in … inability of infrastructure sector returns in emerging markets to hedge inflation. Similar results were obtained when the … inflation-hedging capacity of real estate and general listed equity was assessed. This suggests the existence of significant …
Persistent link: https://www.econbiz.de/10012219374
This study revisits and tests empirically the Portfolio Theory of Inflation (PTI), which analyzes how the effectiveness … (Bossone, The portfolio theory of inflation and policy (in)effectiveness, 2019). The PTI shows that when an economy is heavily … and policies aimed to stimulate output growth dissipate into domestic currency depreciation and higher inflation, with …
Persistent link: https://www.econbiz.de/10012140238
We investigate the linkage between business cycle convergence and financial portfolio choice for a panel of 18 EU … financial world” has an impact on business cycles and contributes to business cycle convergence via the consumption …, similar portfolios contribute to a convergence of business cycles - via a convergence of consumption cycles. This turns out to …
Persistent link: https://www.econbiz.de/10010255115
This article remarks that the activities of the international capital flows and the foreign direct investment increase, influence the growth process of countries. The economies attach more importance to these two factors in each passing day. On the other hand, the exposure degrees of host...
Persistent link: https://www.econbiz.de/10010380125
Persistent link: https://www.econbiz.de/10011301973
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