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Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities
Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Financial innovation : FIN 6 (2020) 53, pp. 1-29
-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …
Persistent link: https://www.econbiz.de/10012418412
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(Asymmetric) Trade Costs, Real Exchange Rate Hedging, and Equity Home Bias in a Multi-Country Model
Pyun, Ju Hyun - 2017
There has been controversy between (two-country) theory and the empirics about whether hedging against real exchange … rate fluctuations in the goods market influences foreign equity holdings. This study reconciles the theory with the … equities to hedge real exchange rate risk is negligible because multiple trade partners act as a hedging channel for real …
Persistent link: https://www.econbiz.de/10012947564
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The Global Multi-Asset Market Portfolio 1959-2012
Doeswijk, Ronald Q. - 2014
The global multi-asset market portfolio contains important information for strategic asset-allocation purposes. First, it shows the relative value of all asset classes according to the global financial investment community, which one could interpret as a natural benchmark for financial...
Persistent link: https://www.econbiz.de/10013062242
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Chapter 16 Are financial assets priced locally or globally?
Karolyi, G. Andrew; Stulz, René M. - 2003
We review the international finance literature to assess the extent to which international factors affect financial asset demands and prices. International asset-pricing models with mean-variance investors predict that an asset's risk premium depends on its covariance with the world market...
Persistent link: https://www.econbiz.de/10014023855
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Kunstwerke als Kapitalanlage in einem diversifizierten Portfolio
Burgtorf, Andrea - 1996
Persistent link: https://www.econbiz.de/10014267524
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Innovative Kapitalanlage-Konzepte : ART, Behavioral Finance, Hedge Funds, Neue Märkte, Private Equity, Venture Capital
Hehn, Elisabeth (ed.) - 2000
Persistent link: https://www.econbiz.de/10001459414
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The economics of financial markets
Bailey, Roy E. - 2005
asset pricing model (CAPM). Arbitrage plays a pivotal role in finance and is studied in a variety of contexts, including the … APT model of asset prices. Methods for the empirical evaluation of CAPM and APT are also discussed, together with the … volatility of asset prices, the intertemporal CAPM and the equity premium puzzle. An analysis of bond contracts leads into an …
Persistent link: https://www.econbiz.de/10011479686
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On the economic determinants of optimal stock-bond portfolios : international evidence
Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017
Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...
Persistent link: https://www.econbiz.de/10011745369
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Factor mimicking portfolios for climate risk
De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 2023 - This version: March 2023
We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor mimicking portfolios to build climate risk hedge portfolios. The new mimicking...
Persistent link: https://www.econbiz.de/10014232089
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Factor mimicking portfolios for climate risk
De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 2024 - This version: March 2024
We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor mimicking portfolios to build climate risk hedge portfolios. The new mimicking...
Persistent link: https://www.econbiz.de/10014531337