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Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance

Ferson, Wayne E. - 2003

Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...

Persistent link: https://www.econbiz.de/10014023859

ETF risk models

Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10013407268

Price and market risk reduction for bond portfolio selection in BRICS markets

Ortobelli Lozza, Sergio; Petronio, Filomena; Vitali, … - In: Investment management and financial innovations 15 (2018) 1, pp. 120-131

Persistent link: https://www.econbiz.de/10012001413

Bond Portfolio Optimization

Puhle, Michael (contributor) - 2008

The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond …The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond …-period and continuous-time bond portfolio optimization problems are considered. …

Persistent link: https://www.econbiz.de/10013520895

Fixed Income Investment Risk

Winston, Kenneth - In: The Oxford handbook of quantitative asset management. 2012

Persistent link: https://www.econbiz.de/10012882305

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

Multivariate GARCH with dynamic beta

Raddant, Matthias; Wagner, Friedrich - In: The European journal of finance 28 (2022) 13/15, pp. 1324-1343

Persistent link: https://www.econbiz.de/10013532205

Verzinsliche Wertpapiere : Bewertung und Strategien

Gallati, Reto R. - 2011 - 3. Aufl.

Neu in dieser dritten Auflage sind die Themen immobiliengesicherte Wertpapiere und Hedge Fonds. Vor dem Hintergrund der Erfahrungen aus der Finanzmarktkrise ist gerade in diesen Bereichen ein vertieftes Verständnis der Funktionsweisen sowie der Chancen und Risiken besonders wichtig. Reto...

Persistent link: https://www.econbiz.de/10013515995

Optimal investment for defined-contribution pension plans under money illusion

Wei, Pengyu; Yang, Charles - In: Review of quantitative finance and accounting 61 (2023) 2, pp. 729-753

Persistent link: https://www.econbiz.de/10014342057

Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model

Shimai, Yoshiyuki; Makimoto, Naoki - In: Asia Pacific financial markets 30 (2023) 4, pp. 817-844

Persistent link: https://www.econbiz.de/10014391968