The paper examines the key drivers of gold investment. Since 2000 the gold price has risendrastically, making gold an interesting add-on to a portfolio. As gold futures have negativeroll returns, gold pool accounts are characterized by high credit risk and physical possessionof gold means high...

Hedge Funds are often considered as a possibility for optimizing traditional portfolios due to their alternative risk factors and sources of return. But as the return distribution of hedge funds shows negative skewness and excess kurtosis, using portfolio optimization techniques, based on the...

The aim of portfolio insurance strategies is to put a floor on the value of a stock portfolio byprogressively selling stocks and buy safe, short-term debt securities as stock prices fall. Thispaper analyzes the current static and dynamic methods in use and explains their pros andcons.

This paper shows that Economic Value Added (EVA) can be used to optimize theperformance of european share investements. Investing in the top third relative EVAperformers, leads to a significant outperformance. This is true for market and sektorinvestments. The best results were found for growth...

Die nobelpreisgewürdigten Arbeiten von Markowitz, Tobin, Sharpe, Black/Scholes und Mertonstellen Meilensteine der Theorie der Finanzwirtschaft dar. In dieser Arbeit wird untersucht,wie risikoaverse Investoren unter Annahme des Capital Asset Pricing Models (CAPM)von Sharpe (1964) und des Option...

Recent data show substantial increases in the size of gross external asset and liabilitypositions. The implications of these developments for optimal conduct of monetarypolicy are analyzed in a standard open economy model which is augmented to allowfor endogenous portfolio choice. The model...

Cross-country capital flows have increased greatly, since the liberalization of internationalcapital markets two decades ago. Equity home bias, while less severe than earlier, remains sizeableand is observed in all industrialized countries. There are broadly two classes of explanations for...

Stress testing has become a crucial point on the Basel II agenda, mainly as Pillar I estimatesdo not explicitly take portfolio concentration into account. We start from the credit portfolioof the German pension insurer being a cross-sectional representation of the German economyand subsequently...

Rating downgrades are known to make subsequent downgrades more likely. We analyze theimpact of this ‘downward momentum’ on credit portfolio risk. Using S&P ratings from 1996to 2005, we estimate a transition matrix that is insensitive to and a second matrix that is sensitiveto previous...