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Asset Allocation and Risk Taking Under Different Interest Rate Regimes

Hermans, Lieven; Kostka, Thomas; Vassallo, Danilo - 2023

We study the eﬀects of low short-term interest rates on the optimal portfolio allocation in Markowitz portfolios and Risk parity portfolios. We propose a measure of Portfolio Instabil-ity, gauging the amount of optimal portfolio shifts needed to respond to exogenous shocks to the expected risk...

Persistent link: https://www.econbiz.de/10014351486

Finance and Diversification

Manganelli, Simone - 2010

We study how financial market efficiency affects a measure of diversification of output across industrial sectors … and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of … patterns disappear when we employ "naive" measures of diversification based on the equal spreading of output across sectors …

Persistent link: https://www.econbiz.de/10013136834

The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios

Craig, Ben R. - 2020

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …

Persistent link: https://www.econbiz.de/10012838336

The low-carbon transition, climate commitments and firm credit risk

Carbone, Sante; Giuzio, Margherita; Kapadia, Sujit; … - 2021

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel dataset which augments data on firms' green-house gas emissions over time with information on climate disclosure practices and forward-looking emission reduction targets,...

Persistent link: https://www.econbiz.de/10012819045

Are ethical and green investment funds more resilient?

Capotæa, Laura-Dona; Giuzio, Margherita; Kapadia, Sujit; … - 2022

Funds with an environmental, social and corporate governance (ESG) mandate have been growing rapidly in recent years and received inflows also during periods of market turmoil, such as March 2020, in contrast to their non-ESG peers. This paper investigates whether investors in ESG funds react...

Persistent link: https://www.econbiz.de/10014374334

Asset allocation and risk taking under different interest rate regimes

Hermans, Lieven; Kostka, Thomas; Vassallo, Danilo - 2023

We study the effects of low short-term interest rates on the optimal portfolio allocation in Markowitz portfolios and Risk parity portfolios. We propose a measure of Portfolio Instability, gauging the amount of optimal portfolio shifts needed to respond to exogenous shocks to the expected risk...

Persistent link: https://www.econbiz.de/10014374591

Are Ethical and Green Investment Funds More Resilient?

Capotă, Laura-Dona; Giuzio, Margherita; Kapadia, Sujit; … - 2022

Funds with an environmental, social and corporate governance (ESG) mandate have been growing rapidly in recent years and received inﬂows also during periods of market turmoil, such as March 2020, in contrast to their non-ESG peers. This paper investigates whether investors in ESG funds react...

Persistent link: https://www.econbiz.de/10014236293

The Low-Carbon Transition, Climate Commitments and Firm Credit Risk

Carbone, Sante; Giuzio, Margherita; Kapadia, Sujit; … - 2021

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel dataset which augments data on firms’ green-house gas emissions over time with information on climate disclosure practices and forward-looking emission reduction targets,...

Persistent link: https://www.econbiz.de/10013310278

A new theory of forecasting

Manganelli, Simone - 2006

This paper argues that forecast estimators should minimise the loss function in a statistical, rather than deterministic, way. We introduce two new elements into the classical econometric analysis: a subjective guess on the variable to be forecasted and a probability reflecting the confidence...

Persistent link: https://www.econbiz.de/10011604630

Financial integration, international portfolio choice and the European Monetary Union

De Santis, Roberto A.; Gérard, Bruno - 2006

strongest determinants of the changes in portfolio weights are expected diversification benefits and the initial degree of …

Persistent link: https://www.econbiz.de/10011604672