Portfolio theories are meant to provide a method for managing assets and constructing portfolios. Meanwhile, the mean-variance technique has been heavily criticized by some academics, and its application to real estate portfolio is questionable (Cheng and Liang, 2000). Indeed, the mean-variance...

Markowitz (1952, 1959) underlies modern corporate finance literature, from modern portfolio theory, option theory, to risk management (especially value at risk type methodologies). From it, Diversify has entered all languages, such is its power. Terms such as “the only free lunch” have...

This paper analyzes whether the decline in economic growth that follows a banking crisis occurs because of a reduction in the amount of credit available (finance effect) or a worsening in the allocation of investable resources (asset allocation effect). We use a sample of more than 2500...

This paper analyses the portfolio problem of an investor who wants to maximize the expected utility of his terminal wealth both in a complete and an incomplete financial market. The investor must cope with two sets of exogenous risks following jump-diffusion processes. Thanks to an approximated...

Many studies show that international correlations have changed over time. This phenomenon has modified the practices of many portfolio managers, which are now preferably linked with sector behaviour. In order to prove the benefits of this management style, some new evidence is provided for...

We study the life cycle of portfolio allocation following for 15 years a large random sample of Norwegian households using error-free data on all components of households’ investments drawn from the Tax Registry. Both, participation in the stock market and the portfolio share in stocks, have...

Life cycle saving decisions belong to the most complex financial decisions that we are faced with in our life. Psychologists have found that when making complex decisions people use short-cuts in the form of minimum requirements for particular attribute categories of choice options. This paper...

The standard formula of the Solvency II framework employs an approximate value-at-risk approach to define risk-based capital requirements. The parameterization of the standard formula determines how much additional capital insurers need in order to back investments in risky assets. This paper...