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Efficient risk simulations for linear asset portfolios in the t-copula model

Sak, Halis; Hörmann, Wolfgang; Leydold, Josef - In: European journal of operational research : EJOR 202 (2010) 3, pp. 802-809

Persistent link: https://www.econbiz.de/10003981022

Financial innovation and financial fragility

Gennaioli, Nicola; Shleifer, Andrei; Vishny, Robert W. - 2010

Persistent link: https://www.econbiz.de/10003981877

The real estate risk premium : a developed/emerging country panel data analysis

D'Argensio, John-John; Laurin, Frédéric - In: The journal of portfolio management : a publication of … 36 (2009/10) 5, pp. 118-132

Persistent link: https://www.econbiz.de/10008654012

Optionality

Abbink, John - In: Journal of risk finance : the convergence of financial … 11 (2010) 4, pp. 424-434

Persistent link: https://www.econbiz.de/10008656298

Risk and expected returns of private equity investments : evidence based on market prices

Jegadeesh, Narasimhan; Kräussl, Roman; Pollet, Joshua M. - 2010

We estimate the risk and expected returns of private equity investments based on the market prices of exchange traded funds of funds that invest in unlisted private equity funds. Our results indicate that the market expects unlisted private equity funds to earn abnormal returns of about one to...

Persistent link: https://www.econbiz.de/10003947462