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Emerging market capital flows: the role of fund manager portfolio allocation

Bush, Georgia; Cañón, Carlos Iván; Gray, Daniel - 2021

We exploit individual security holdings data for global mutual funds to distinguish between two reasons why a fund's holdings of emerging market economy (EME) bonds might change: (i) the amount invested in the fund changes and (ii) the fund manager changes portfolio allocations. We find that...

Persistent link: https://www.econbiz.de/10012625521

Optimal Investment for Institutional Investors Under Value-at-Risk Constraints in Chinese Stock Markets

Chen, ZhengXiong - 2011

Value at Risk (VaR) is defined as the worst expected loss under normal market conditions over a specific time interval …

Persistent link: https://www.econbiz.de/10013123438

Portfolio Allocation for Sovereign Wealth Funds in the Shadow of Commodity Based National Wealth

Balding, Christopher - 2011

Most sovereign wealth funds depend heavily on oil revenues to increase the capital base. Research on the investment performance of sovereign wealth funds however has focused on the returns to their financial asset portfolio. Given their reliance on the monetization of natural resource to...

Persistent link: https://www.econbiz.de/10013127438

Information Acquisition, International Under-Diversification and Portfolio Performance of Institutional Investors

Choi, Nicole Y. - 2012

Traditional portfolio theory predicts that investors' portfolios should be diversified across international markets. In contrast, empirical studies document that investors are more likely to invest in their home country and in foreign markets that are culturally similar to and geographically...

Persistent link: https://www.econbiz.de/10013109485

Information Acquisition, International Under-Diversification and Portfolio Performance of Institutional Investors

Choi, Nicole Y. - 2012

We test whether 1) institutional investors with concentrated international holdings outperform internationally diversified investors, and 2) foreign investors with information advantage, measured by cultural and geographic proximity to the target market, outperform other foreign investors. Using...

Persistent link: https://www.econbiz.de/10013114072

Sustainable and responsible investment dynamic cross-asset portfolio

Robiyanto, Robiyanto; Huruta, Andrian Dolfriandra; … - In: Cogent business & management 10 (2023) 1, pp. 1-14

Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold. The data used in the study were the daily return of each instrument from...

Persistent link: https://www.econbiz.de/10014466665

Loss aversion in the laboratory

Morrison, William G.; Oxoby, Robert J. - 2014

We report the results of a laboratory experiment testing for the existence of loss aversion in a standard risk aversion … incentivized risk preference elicitation task. We find loss aversion, distinct from risk aversion, has a significant effect on …

Persistent link: https://www.econbiz.de/10010379927

Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements

Lizyayev, Andrey - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10011381581

Optimal asset allocation under linear loss aversion

Fortin, Ines; Hlouskova, Jaroslava - 2010

Growing experimental evidence suggests that loss aversion plays an important role in asset allocation decisions. We … study the asset allocation of a linear loss-averse (LA) investor and compare the optimal LA portfolio to the more … outperform MV and CVaR portfolios. -- loss aversion ; portfolio optimization ; MV and CVaR portfolios ; copula ; investment …

Persistent link: https://www.econbiz.de/10009732564

Loss Aversion, Asymmetric Market Comovements, and the Home Bias

Carvalho, Carlos - 2011

Loss aversion has been used to explain why a high equity premium might be consistent with plausible levels of risk … aversion. The intuition is that the first-order-different utility impact of wealth gains and losses leads loss-averse investors …. This asymmetry dampens the gains from diversification relatively more for loss-averse investors. We analyze the portfolio …

Persistent link: https://www.econbiz.de/10013119456