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The geography of international portfolio flows, international CAPM and the role of monetary policy frameworks

De Santis, Roberto A. - 2006

Using bilateral data on international equity and bond flows, we find that the prediction of the International Capital Asset Pricing Model is partially met and that global equity markets might be more integrated than global bond markets. Moreover, over the turbulent 1998-2001 period characterised...

Persistent link: https://www.econbiz.de/10011604724

Home bias in global bond and equity markets: the role of real exchange rate volatility

Fidora, Michael; Fratzscher, Marcel; Thimann, Christian - 2006

This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across financial assets. We present a Markowitz-type portfolio selection model in which real exchange rate volatility induces a...

Persistent link: https://www.econbiz.de/10011604731

Asset allocation by penalized least squares

Manganelli, Simone - 2007

This paper shows how the problem of mean-downside risk portfolio allocation can be cast in terms of penalized least squares (PLS). The penalty is given by a power function of the returns below a certain threshold. We derive the asymptotic properties of the PLS estimator, allowing for possible...

Persistent link: https://www.econbiz.de/10011604769

Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.

Amisano, Gianni; Savona, Roberto - 2008

Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...

Persistent link: https://www.econbiz.de/10011604927

Sparse and stable Markowitz portfolios

Brodie, Joshua; Daubechies, Ingrid; De Mol, Christine; … - 2008

has served as the basis for modern portfolio theory for more than 50 years. Efforts to translate this theoretical …

Persistent link: https://www.econbiz.de/10011604982

Generational accounting, solidarity and pension losses

Teulings, Coen N.; de Vries, Casper G. - 2003

The creeping stock market collapse eroded the wealth of funded pension systems. This led to political tensions between … generations due to the fuzzy definition of property rights on the pension funds wealth. We argue that this problem can best be … resolved by the introduction of generational accounts. Using modern portfolio and consumption planning theory we show that the …

Persistent link: https://www.econbiz.de/10010261654

A Note on Hedging a Loan Portfolio

Welzel, Peter; Broll, Udo - 2003

In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from the single?risk case are shown to carry over to the...

Persistent link: https://www.econbiz.de/10010263007

Mean-Variance Hedging under Additional Market Information

Thierbach, Frank - 2002

In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional market information, which is represented by a given, finite set of observed prices of non-attainable contingent claims. Due to no-arbitrage arguments, our set of investment...

Persistent link: https://www.econbiz.de/10010263048

On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria

Evstigneev, Igor V.; Schürger, Klaus; Taksar, Michael I. - 2002

-arbitrage criterion based on the bang-bang principle in control theory are developed. …

Persistent link: https://www.econbiz.de/10010263069

The Risk Management of Minimum Return Guarantees

Mahayni, Antje; Schlögl, Erik - 2003

We analyse contracts which pay out a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified on the basis of a benchmark portfolio. These contracts are closely related to unit--linked life--insurance/savings plan products and can be considered as...

Persistent link: https://www.econbiz.de/10010263089