Narrow search
Showing 1 - 10 of 28
Cover Image
Stabilität der Korrelationen bedeutender Anlageklassen
Auckenthaler, Christoph; Skaanes, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2003
Seit Begründung der modernen Portfoliotheorie ist bekannt, daß die Portfoliovolatilität im Fall niedriger Korrelationen zwischen den Anlageklassen bei sonst gleich bleibenden Parametern ohne Renditeeinbuße reduziert wird...
Persistent link: https://www.econbiz.de/10005856981
Cover Image
International Capital Flows
Tille, Cedric; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2008
The surge in international asset trade since the early 1990s has lead to renewed interest in models with international portfolio choice, an aspect that was largely cast aside when the ad-hoc portfolio balance models of the 1970s were replaced bymodels of optimizing agents. We develop the...
Persistent link: https://www.econbiz.de/10005857750
Cover Image
Portfolio Management without Probabilities or Statistics
Flam, Sjur Didrik - Institut für Schweizerisches Bankwesen <Zürich> - 2007
Considered here is on-line portfolio management aimed at maximizing the long-run growth of financial wealth. The portfolio is repeatedly rebalanced in response to observed returns on diverse assets. Suppose statistical information and related methods are not available - or deemed too diffcult....
Persistent link: https://www.econbiz.de/10005857758
Cover Image
Financial Market Equilibria With Cumulative Prospect Therory
De Giorgi, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007
The paper shows that financial market equilibria need not exist if agents possess cumulative prospect theory preferences with piecewise-power value functions. The reason is an infiniteshort-selling problem. But even when a short-sell constraint is added, non-existence can occur due to...
Persistent link: https://www.econbiz.de/10005857777
Cover Image
Robust Mean-Variance Portfolio Selection
Perret-Gentil, Cédric; Victoria-Freser, Maria-Pia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and … sample mean and covariance is highly beneficial for the stability properties of the mean-variance optimal portfolios. Moreover …
Persistent link: https://www.econbiz.de/10005858020
Cover Image
The Disposition Effect in the Lab
Vlcek, Martin; Wang, Mei - Institut für Schweizerisches Bankwesen <Zürich> - 2007
determine the portfolio choices. Subjects choose a fixed-mix investment strategy in the loss zone and a contrarian strategy in …
Persistent link: https://www.econbiz.de/10005858051
Cover Image
Asset Prices with Locally-Constrained Entropy Recursive Multiple Priors Utility
Sbuelz, Alessandro; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
Control problems with Recursive Multiple-Priors Utility (RMPU) are highly non-linear so that RMPU asset prices have been studied in very simple exchange economies only. We identify a continuous-time exchange equilibrium with Locally-Constrained-Entropy RMPU (LCE-RMPU) that is tractable even in...
Persistent link: https://www.econbiz.de/10005858066
Cover Image
Evolutionary Portfolio Selection with Liquidity Shocks
De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
The wealth dynamics of insurance companies strongly depends on the success of their investment strategies, but also on … investment strategy that does not take liquidity shocks into account, exposes insurance companies to the risk of bankruptcy. This …-bankruptcy condition for the investment strategies and we characterize trading strategies that are evolutionary stable, i.e. able to drive …
Persistent link: https://www.econbiz.de/10005858142
Cover Image
Benchmarks in Aggregate Household Portfolios
St-Amour, Pascal - Institut für Schweizerisches Bankwesen <Zürich> - 2006
Reference–dependent preference models assume that agents derive utility fromdeviations of consumption from benchmark levels, rather than from consumptionlevels. These references can be either backward-looking (as explicit in the Habit literature) or forward-looking (as implicitly suggested by...
Persistent link: https://www.econbiz.de/10005858217
Cover Image
Ratchet vs Blase Investors and Asset Markets
St-Amour, Pascal - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem, in which the subsistance (bliss) con-sumption level is a function of wealth. Ratchet effects obtain when higher wealth in-creases the subsistance consumption level; blas´...
Persistent link: https://www.econbiz.de/10005858307