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Stochastic Dominance Efficiency Tests under Diversification
Kuosmanen, Timo - EconWPA - 2001
. The advantage to the earlier efficiency tests is that the proposed approach explicitly accounts for diversification …. Allowing for diversification can both improve the power of the empirical SD tests, and enable SD based portfolio optimization …
Persistent link: https://www.econbiz.de/10005561692
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Stochastic Dominance Portfolio Analysis of Forestry Assets
Heikkinen, V.-P.; Kuosmanen, Timo - EconWPA - 2002
general Stochastic Dominance (SD) criteria, focusing on the recent theoretical advances in analyzing portfolio diversification …
Persistent link: https://www.econbiz.de/10005134874
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International Portfolio Investment: Theory, Evidence, and Institutional Framework
Bartram, Sohnke M.; Dufey, Gunter - EconWPA - 2001
other countries, hedge their consumption basket against ex-change rate risk, realize diversification effects and take …
Persistent link: https://www.econbiz.de/10005134901
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Portfolio Selection with Probabilistic Utility, Bayesian Statistics, and Markov Chain Monte Carlo
Rossi, Pietro; Tavoni, Massimo; Cocco, Flavio; … - EconWPA - 2002
We propose a novel portfolio selection approach that manages to ease some of the problems that characterise standard expected utility maximisation. The optimal portfolio is no longer defined as the extremum of a suitably chosen utility function: the latter, instead, is reinterpreted as the...
Persistent link: https://www.econbiz.de/10005413052
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Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model
Taflin, Erik - EconWPA - 1999
A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE's. Existence of a unique...
Persistent link: https://www.econbiz.de/10005125679
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Structural versus Temporary Drivers of Country and Industry Risk
Baele, Lieven; Inghelbrecht, Koen - EconWPA - 2005
This paper analyzes the dynamics and determinants of the relative benefits of geographical and industry diversification … environment. In a second step, we investigate the relative benefits of geographical and industry diversification by comparing … influence of globalization and regionial integration, the traditional dominance geographical over industry diversification has …
Persistent link: https://www.econbiz.de/10005408196
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Country Funds and Asymmetric Information
Frankel, Jeffrey A.; Schmukler, Sergio L. - EconWPA - 1998
Closed-end country funds trade in New York at their price. Their Net Asset Value (NAV) represent the value of the underlying assets, usually traded in each particular country. If the holders of the underlying assets have more information about local assets than the country fund holders, changes...
Persistent link: https://www.econbiz.de/10005408198
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Borrowing Constraints, Portfolio Choice, and Precautionary
Haliassos, Michael; Hassapis, Christis - EconWPA - 1998
This paper studies effects of two classes of borrowing constraints, collateral- and income-based, on wealth accumulation, portfolio behavior and on precautionary motives. We examine the sensitivity of solutions to tightness of constraints, education level, and preference parameters. The models...
Persistent link: https://www.econbiz.de/10005412592
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Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities
Galagedera, Don U.A.; Shami, Roland - EconWPA - 2004
In this paper, the volatility of the return generating process of the market portfolio and the slope coefficient of the market model is assumed to follow a Markov switching process of order one. The results indicate very strong evidence of volatility switching behaviour in a sample of returns in...
Persistent link: https://www.econbiz.de/10005413049
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The Markov Chain Approximation Approach for Numerical Solution of Stochastic Control Problems: Experiences from Merton's Problem
Munk, Claus - EconWPA - 1998
Many problems in modern financial economics involve the solution of continuous-time, continuous-state stochastic control problems. Since explicit solutions of such problems are extremely rare, efficient numerical methods are called for. The Markov chain approximation approach provides a class of...
Persistent link: https://www.econbiz.de/10005413056