The specification of prior parameters is a common practical problem when implementing Bayesian approaches to portfolio optimization. The precision parameter of the prior on the expected asset returns reflects the confidence of the investor in the prior knowledge. Within the framework of the...

This paper develops an open economy portfolio balance model with endogenous asset supply. Domestic producers finance capital goods through credit and bonds in accordance with debt capital costs as well as through equity assets. Private households hold a portfolio of domestic and foreign assets,...

This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that...

This study applies financial portfolio theory to determine efficient electricity-generating technology portfolios for the United States and Switzerland, adopting an investor point of view. Expected returns are defined by the rate of decrease of power generation cost (with external costs...

This study uses Markowitz mean-variance portfolio theory with forecasted data for the years 2005 to 2035 to determine efficient electricity generating technology mixes for Switzerland. The SURE procedure has been applied to filter out the systematic components of the covariance matrix. Results...

This study applies financial portfolio theory to determine efficient electricity-generating technology mixes for Switzerland and the United States. Expected returns are given by the (negative of the) rate of increase of power generation cost. Volatility of returns relates to the standard...

This contribution starts out by noting a conflict of interest between consumers and insurers. Consumers face positive correlation in their assets (health, wealth, wisdom, i.e. skills), causing them to demand a great deal of insurance coverage. Insurers on the other hand eschew positively...

Structural positions are very common in investment practice. A structural position is defined as a permanent overweighting of a riskier asset class relative to a prespecified benchmark portfolio. The most prominent example for a structural position is the equity bias in a balanced fund that...

Versicherungsunternehmen haben bei der Auswahl ihrer Vermögensanlagen die gesetzlichen Restriktionen des Versicherungsaufsichtsgesetzes einzuhalten. Neben einer strukturierten Darstellung der zahlreichen Regulierungstatbestände werden aus Sicht der Finanzierungstheorie sowie den empirischen...

In this paper we have developed a financial model of the non-life insurer to provide assistance for the management of the insurance company in making decisions on product, investment and reinsurance mix. The model is based on portfolio theory and recognizes the stochastic nature of and the...