Showing 61 - 70 of 107
We present empirical evidence for 47 liquid stocks from the SPI universe that the diversification potential remained intact during the Financial Crisis. This contradicts the widespread believe that diversification has failed and has major implication for the risk management approach used in...
Persistent link: https://www.econbiz.de/10013108030
Portfolio theory got it all wrong: asset weights are not decision variables, because security prices a portfolio manager does not have full control over asset prices. In this note, we are trying to create awareness that real-valued allocations which have been calculated from numerical portfolio...
Persistent link: https://www.econbiz.de/10013082390
Ex post volatility is defined as dispersion of ex post portfolio returns over the measurement period. Ex post volatility takes into account the variability in asset returns and changes of asset weights over time due to trading and drift. Ex ante volatility, on the other hand, is defined as...
Persistent link: https://www.econbiz.de/10013085437
We explain the variability of the mean-variance efficient frontier over time with a statistical three factor model. For an asset universe consisting of 22 stocks listed in Switzerland, the model explains more than 99% of the time variations in the efficient frontier.The three factors can be...
Persistent link: https://www.econbiz.de/10013085742
Persistent link: https://www.econbiz.de/10013089838
It is well understood that the choice of a discrete and continuous compounding model affects investment returns, but leaves end-of-period wealth unaffected.In a previous research note , we have shown that the compounding model also does not affect Sharpe Ratios when calculated properly, i.e....
Persistent link: https://www.econbiz.de/10013090812
Central banks' international reserve holdings have increased significantly in the recent past. While traditional models fail to explain this accumulation of reserves, the more recent literature argues that reserves are used as a lifejacket against currency crises. However, research so far has...
Persistent link: https://www.econbiz.de/10013157442
In the winter 2011/12 a wave of internal capital flight prompted the ECB to abandon its exit strategy and to announce an unprecedented monetary expansion. We analyze this episode in several dimensions: (i) by providing an event-study analysis covering key variables from national central banks'...
Persistent link: https://www.econbiz.de/10012929540
We discuss the problems associated with changing individual correlation values in a valid correlation matrix and outline a solution for calculating upper and lower bounds within which correlations can be modified, such that the resulting correlation matrix is still valid. We illustrate two...
Persistent link: https://www.econbiz.de/10013220353
We highlight important and specific characteristics of default risk and methodological implications. In a simulation contrasting independent, Gaussian and Clayton copulas, we also show that joint default probabilities might be a hidden source of risk in conventional portfolio models of default
Persistent link: https://www.econbiz.de/10013221213