This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...

Wir untersuchen den Querschnitt von über 1200 Kryptowährungen, gesammelt von 350 Handelsplätzen, in der Zeitspanne von Januar 2014 bis Juni 2020. Im speziellen untersuchen wir, ob weit verbreitete Charakteristika, wie Beta (Fama/MacBeth (1973)), Size (Banz (1981)) oder Momentum...

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in...

Unconditional asset pricing models have generally found it challenging to identify evidence ofrisk aversion. This paper addresses this challenge by examining whether currency portfolios display an intertemporal risk-return relationship. We consider time-varying relations because investors'...

We conduct a novel survey of 2,548 nationally representative U.S. respondents to estimate subjective risk-return trade-offs in savings, government bonds, stocks, real estate, gold, and cryptocurrencies. We document a robust negative relationship between respondents’ perceptions of the risk and...

This volume was prepared by Sebastian Benz while he was working at the Ifo Institute. It was completed in December 2013 and accepted as a doctoral thesis by the Department of Economics at the University of Munich. It includes five self-contained chapters. All chapters discuss different...

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...

This volume was prepared by Sebastian Benz while he was working at the Ifo Institute. It was completed in December 2013 and accepted as a doctoral thesis by the Department of Economics at the University of Munich. It includes five self-contained chapters. All chapters discuss different...

The paper is an empirical research work wherein the principle of Modern Portfolio Theory along with aspects of geographical diversification have been subjected to test. The validation of the said theory has been made via hypothesis testing in light of the financial market data. The paper has...