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Differential treatment in the bond market : sovereign risk and mutual fund portfolios
Converse, Nathan; Mallucci, Enrico - 2019
How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not...
Persistent link: https://www.econbiz.de/10012126135
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Managing investment risks of institutional private equity investors : the challenge of illiquidity
Kaserer, Christoph; Wagner, Niklas F.; Achleitner, … - 2003 - Version: December 2003
private equity investors arises from a careful measurement of investment returns in the first place. Prices of private equity … highlights useful approaches to the problem of return measurement under conditions of illiquidity. Then, specific risk management … issues, including asset allocation issues, are discussed. -- private equity ; risk/return measurement ; net asset values …
Persistent link: https://www.econbiz.de/10009231549
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The Incentive Fee Hypothesis : Do Large Incentive Fees Provide a Disincentive for Asset Hoarding Amongst Fund Managers?
Ghijben, David - 2011
Fund managers are paid a fixed management fee in proportion to their assets under management. This means to maximize revenue, managers hoard assets. Whilst this results in increased revenue for the manager often, due to diseconomies of scale, it results in lower returns for the investor. Here we...
Persistent link: https://www.econbiz.de/10013134326
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Alternative Inflation Hedging Portfolio Strategies : Going Forward Under Immoderate Macroeconomics
Fulli-Lemaire, Nicolas - 2013
Gone are the days when inflation fears had receded under years of 'Great Moderation' in macroeconomics. The US subprime financial crisis, the ensuing 'Great Recession' and the sovereign debt scares that spread throughout much of the industrialized world brought about a new order characterized by...
Persistent link: https://www.econbiz.de/10013089752
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Computerization of the Equity, Foreign Exchange, Derivatives, and Fixed Income Markets
Cardella, Laura - 2015
We survey empirical studies on the development and effects of increased computerization across equity, foreign exchange, derivatives, and fixed-income markets. While the changes in the trading process due to computerization in less liquid markets such as the corporate bond market have been...
Persistent link: https://www.econbiz.de/10013038669
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A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies
Lipton, Alex - 2020
When prices reflect all available information, they oscillate around an equilibrium level. This oscillation is the result of the temporary market impact caused by waves of buyers and sellers. This price behavior can be approximated through an Ornstein-Uhlenbeck (OU) process.Market makers provide...
Persistent link: https://www.econbiz.de/10012842068
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Asset Pricing, Asset Allocation and Risk-Adjusted Performance with Multiple Goals and Agency : The Goals and Risk-based Asset Pricing Model
Muralidhar, Arun - 2020
markedly different from the foundational papers of Modern Portfolio Theory (MPT). This is important as Goals-based Investing …
Persistent link: https://www.econbiz.de/10012843610
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Portfolio Management with Cryptocurrencies : The Role of Estimation Risk
Platanakis, Emmanouil - 2019
This paper contributes to the literature on cryptocurrencies, portfolio management and estimation risk by comparing the performance of naïve diversification, Markowitz diversification and the advanced Black-Litterman model with VBCs that controls for estimation errors in a portfolio of...
Persistent link: https://www.econbiz.de/10012897358
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Efficiently Inefficient Markets for Assets and Asset Management
Garleanu, Nicolae - 2017
We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...
Persistent link: https://www.econbiz.de/10012971275
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Multi-Period Integer Portfolio Optimization Using a Quantum Annealer
Lopez de Prado, Marcos - 2016
For large portfolio managers, a sequence of single-period optimal positions is rarely multi-period optimal. In particular, transaction costs can prevent large portfolio managers from monetizing most of their forecasting power. The solution is to compute the trading trajectory that comes...
Persistent link: https://www.econbiz.de/10013003321