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Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph - 2019

This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 countries. Our main insight is that, as in equity...

Persistent link: https://www.econbiz.de/10012159952

Return risk map in a fuzzy environment

Brotons, José M.; Terceño, Antonio - In: Fuzzy Economic Review XVI (2011) 2, pp. 33-57

certain yield in a future date departing from an initial portfolio. Although the objective of passive strategies is to design … a portfolio that will achieve the performance of a predetermined benchmark, active bond management strategies rely on … the risk of a portfolio, that why the decision maker will have to choose the combination of expected return (mid-point of …

Persistent link: https://www.econbiz.de/10010611277

Dependence modelling of the joint extremes in a portfolio using Archimedean copulas : application to MSCI indices.

Guegan, Dominique; Ladoucette, Sophie A. - Maison des Sciences Économiques, Université Paris 1 … - 2005

log-returns that come from different markets. These series are considered as components of a portfolio and they are …

Persistent link: https://www.econbiz.de/10005510644

Sovereign wealth funds in the globalization of financial markets

Cuzovic, Djordje - In: Perspectives of Innovation in Economics and Business (PIEB) 10 (2012) 1, pp. 5-13

This paper studies the investment funds with special emphasis on Sovereign Wealth Funds (SWFs), as new participants in the financial market. Considering that financial markets are one of the main carriers of globalization, our goal is to investigate development and the role of these investment...

Persistent link: https://www.econbiz.de/10010558913

The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation

Memmel, Christoph; Wehn, Carsten - 2005

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this … paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio … portfolio. We assume a reduced-form model and neglect the effects of a potential bankruptcy of one of the banks. We analyze …

Persistent link: https://www.econbiz.de/10010295895

Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations

Schmidt, Daniel - 2003

a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity … variations and even higher rates of failure. It is in this category in particular that high average portfolio returns are …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 …

Persistent link: https://www.econbiz.de/10010298259

Geschlossene Schifffonds - Portfolio- und Marktrisiken. Eine empirische Untersuchung anhand von Zweitmarktkursdaten

Küster Simic, André; Thönnessen, Rasmus - 2008

Kapitalmarktes. Der Nominalumsatz wird in 2009 erstmals die Grenze von über 1 Mrd. € überschreiten. Um ein Portfolio in optimaler …

Persistent link: https://www.econbiz.de/10010302751

Portfolio Management for Privately-Held Securities: Investment Selection and Performance Measurement

Dorsey, Terry - In: Journal of Small Business Finance 3 (1994) 2, pp. 171-176

This paper develops a portfolio model for performance measurement and selection of investment securities for which … research can be used to develop portfolio measurement tools for these securities. …

Persistent link: https://www.econbiz.de/10011310336

Uncertainty in the Black-Litterman model: A practical note

Fuhrer, Adrian; Hock, Thorsten - 2019

and incorporated consistently to arrive at and .These new parameters can then be used in the portfolio optimization … Kovarianz-Matrix weiterverarbeitet werden. Diese angepassten Parameter dienen dann als Ausgangspunkt fur die Portfolio …

Persistent link: https://www.econbiz.de/10012054797

A risk aversion paradox and wealth dependent utility

Löffler, Andreas - 1996

optimal portfolio being riskless. We discuss a solution of that paradox in detail. (JEL D80, G11, D10). …

Persistent link: https://www.econbiz.de/10005842122