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Optimal long-term allocation with pension fund liabilities

Jondeau, Eric; Rockinger, Michael - 2014

We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...

Persistent link: https://www.econbiz.de/10010442892

Asymmetric beta comovement and systematic downside risk

Jondeau, Eric; Zhang, Qunzi - 2014

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

Persistent link: https://www.econbiz.de/10010442899

Risk-adjusted time series momentum

Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

Persistent link: https://www.econbiz.de/10011293745

Learning to take risks? : the effect of education on risk-taking in financial markets

Black, Sandra E.; Devereux, Paul J.; Lundborg, Petter; … - In: Review of finance : journal of the European Finance … 22 (2018) 3, pp. 951-975

Persistent link: https://www.econbiz.de/10012005260

Chapter 14. Investment Performance: A Review and Synthesis

Ferson, Wayne E. - 2013

This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve...

Persistent link: https://www.econbiz.de/10014025364

Role of optimism bias and risk attitude on investment behaviour

Gakhar, Divya Verma - In: Theoretical economics letters 9 (2019) 4, pp. 852-871

Persistent link: https://www.econbiz.de/10012022996

GHAUS asset allocation

Estrada, Javier - In: The journal of asset management 17 (2016) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011485122

Risk-taking and performance of government bond mutual funds

Kim, Donghyun; Li, Chengcheng; Wang, Xiaoqiong - In: International review of financial analysis 76 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012804695

Do the rich gamble in the stock market? : low risk anomalies and wealthy households

Bali, Turan G.; Günaydin, A. Doruk; Jansson, Thomas; … - In: Journal of financial economics 150 (2023) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10014462604

The favorite-longshot bias and the impact of experience

Feess, Eberhard; Müller, Helge; Schumacher, Christoph - In: Business research 7 (2014) 2, pp. 217-234

With a unique data set from New Zealand which allows us to assign each bet to individual bettors, we analyze the impact of experience on behavior and success in non-parimutuel (fixed odds) sports betting markets. We find that experienced bettors bet more on favorites than inexperienced bettors...

Persistent link: https://www.econbiz.de/10010414257