The paper develops measures of home bias for 48 countries over the period 2001 to 2011 by employing various models: International Capital Asset Pricing Model (ICAPM), Mean-Variance, Minimum-Variance, Bayes-Stein, Bayesian and Multi-Prior. ICAPM country portfolio weights are computed relative to...

The paper develops foreign equity bias measures for Australian domiciled mutual funds, which invest in 41 countries worldwide, over the period 2002 to 2012, by employing various models i.e. International Capital Asset Pricing, Mean-Variance, Minimum-Variance, Bayes-Stein, Bayesian and...

Value at Risk (VaR) is defined as the worst expected loss under normal market conditions over a specific time interval at a given confidence level. Given the widespread usage of VaR, it becomes increasingly important to study the effects of the portfolio optimization subject to the VaR...

Although better information about the dynamics of the yields on financial assets is decisive for both borrowers and lenders alike, it is not uncommon, in the literature, for researchers to employ standard unit-root tests to determine the extent of the persistence, and based on such results,...

Après prise en compte des opérations d’intermédiation, le patrimoine financier des ménages apparaît plus fortement investi en titres de dette publique et davantage diversifié au plan géographique que dans sa structure initiale.

Entre 1997 et 2003, le patrimoine des ménages a crû beaucoup plus rapidement que leur revenu du fait de la revalorisation des actifs immobiliers et leur épargne financière s’est davantage orientée vers des placements à risque.

El presente trabajo analiza si los Sistemas de Capitalización Individual en América Latina se han diversificado en conjunto, bajo la evidencia de pruebas de Raíces Unitarias de Panel de Datos, no obstante con las diferencias que existen entre los mismo países de estudio tales como...