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Managing Political Risk in International Portfolios

Pagliardi, Giovanni; Lotfi, Somayyeh; Paparoditis, … - 2021

We show that internationally diversified portfolios carry sizeable political risk premia. We use a tail-risk portfolio selection model to obtain political efficient frontiers from skewed return distributions and manage political risk, and design an inference test to draw conclusions. We find...

Persistent link: https://www.econbiz.de/10013218378

The changing role of emerging and frontier markets in global portfolio diversification

Pätäri, Eero; Ahmed, Sheraz; John, Elena; Karell, Ville - In: Cogent economics & finance 7 (2019) 1, pp. 1-23

Although the literature on the benefits of diversifying equity portfolios to emerging markets is abundant, the role of frontier markets in global equity portfolio diversification is clearly less examined. We contribute to the existing literature by examining three different, though closely...

Persistent link: https://www.econbiz.de/10014233132

The Maximum Drawdown as a Risk Measure: The Role of Real Estate in the Optimal Portfolio Revisited

Hamelink, Foort; Hoesli, Martin - 2003

This paper investigates the role of real estate in a mixed-asset portfolio when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk.

Persistent link: https://www.econbiz.de/10005843487

Portfolio optimization and risk management through Hierarchical Risk Parity and Logic Learning Machine : a case study applied to the Turkish stock market

Gaggero, Giacomo; Giribone, Pier Giuseppe; Muselli, Marco; … - In: Risk management magazine 19 (2024) 1, pp. 26-49

This study explores an innovative approach to portfolio optimization, bridging traditional Modern Portfolio Theory (MPT) with advanced Machine Learning techniques. We start by recognizing the significance of Markowitz's model in MPT and quickly proceed to focus on the Hierarchical Risk Parity...

Persistent link: https://www.econbiz.de/10014555705

Measuring and Hedging Geopolitical Risk

Engle, Robert F. - 2020

Geopolitical events can impact volatilities of all assets, asset classes, sectors and countries. It is shown that innovations to volatilities are correlated across assets and therefore can be used to measure and hedge geopolitical risk. We introduce a definition of geopolitical risk which is...

Persistent link: https://www.econbiz.de/10012824075

FX Reserve Management : Trends and Challenges

Settlements, Bank for International - 2013

The increasing size and concentration of official foreign exchange reserves after years of continued expansion, especially since the Asian crisis, have led to renewed interest in the way reserve management decisions are taken and in their possible impact on financial markets. Reserve management...

Persistent link: https://www.econbiz.de/10012753508

Diversifikation und Risikocluster im Schweizer Immobilien Direktanlagemarkt - zur Bedeutung von Markttransparenz und qunatitativer Methoden

Widmer, Cornel - Center for Urban & Real Estate Management <Zürich> - 2007

zu investieren in erste Linie quantitativ begründet ist und Diversifikation, Risiko Reduktion und tiefe Korrelation zu … von anderen Anlageklassen. Auf qualitativen Faktoren aufbauende Systeme und eine Arte naive Diversifikation bestimmen das … Strategien hinsichtlich Risiko Reduktion und Diversifikation verbreitet angewandt werden und welche Bedeutung homogene …

Persistent link: https://www.econbiz.de/10005871153

Eugster, Patrick (contributor); Zweifel, Peter (contributor) - 2006

This contribution starts out by noting a conflict of interest between consumers and insurers. Consumers face positive correlation in their assets (health, wealth, wisdom, i.e. skills), causing them to demand a great deal of insurance coverage. Insurers on the other hand eschew positively...

Persistent link: https://www.econbiz.de/10003354444

The home bias in equities and distribution costs

Harms, Philipp; Hoffmann, Mathias; Ortseifer, Christina - 2010

We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the “home bias” in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even...

Persistent link: https://www.econbiz.de/10008779855

Downside Risk Management in Emerging Markets

Strub, Issam S. - 2013

This article presents various techniques for downside risk control of an emerging markets equity index or long only fund. We evaluate different risk adjusted strategies applied to dynamic asset allocation between an emerging markets equity index and cash and at a later stage between an emerging...

Persistent link: https://www.econbiz.de/10013092654

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