This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use …, and strategic portfolio allocations. We then compare these rules to the data through formal statistical analysis. Our main … results reveal that i) purely tactical and myopic investment behaviors are unambiguously rejected, ii) strategic portfolio …

This paper gauges consumption and portfolio shares for aggregate assets (i.e. financial, tangible, and human assets …

This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use … portfolio allocations are strongly supported, and iii) the Fama-French factors best explain empirical portfolios shares. …

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 …

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 …

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

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. …