Nach den Ergebnissen des ifo Investitionstests bei den deutschen Leasinggesellschaften wuchs das Neugeschäft in der Branche 1998 um 11,5%, und für 1999 ist ein Plus von 7,3% zu erwarten. Im Jahr 1998 expandierten sowohl das Mobilien-Leasing (+ 10,4%) als auch das Immobilien-Leasing (+ 17,2%)...

We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under-The-Water. Calculations are carried out considering three different frameworks regarding Hedge Fund returns: i) Normality and time-independence, ii) Non-normality and time-...

A factor-decomposition based framework is presented that facilitates non-parametric risk analysis for complex hedge fund portfolios in the absence of portfolio level transparency. This approach has been designed specifically for use within the hedge fund-of-funds environment, but is equally...

Early attempts to develop a modern model for the assessment of performance of portfolios of instruments belong to American teacher Harry Markowitz. He has abandoned the classical approach of the analysis of financial investment (based solely on technical and fundamental analysis), pointing...

We extend the classic Merton (1969, 1971) problem that investigates the joint consumption-savings and portfolio-selection problem under capital risk by assuming sophisticated but time-inconsistent agents. We introduce stochastic hyperbolic preferences as in Harris and Laibson (2013) and find...

El artículo muestra una situación especial en donde el portafolio surgido del teorema de la separación de Tobin no se encuentra en la frontera eficiente de Markowitz. El desarrollo del mismo inicia con una revisión del modelo de selección de carteras de Harry Markowitz seguido del teorema...

Bitcoin is a major virtual currency. Using weekly data over the 2010-2013 period, we analyze a Bitcoin investment from the standpoint of a U.S. investor with a diversified portfolio including both traditional assets (worldwide stocks, bonds, hard currencies) and alternative investments...

This discussion paper resulted in a publication in 'Emerging Markets Review', 2005, 6, 238-262.<P> See also the publication in the 'Journal of Empirical Finance', 2003, 10, 1-5=132.<P> Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging...</p></p>

In a world characterized by the occurrence of uncontrollable and extreme events investors are often required to make decisions on the basis of the available information. The challenge they face is how to manipulate these information sets in order to get what can lead them to the optimal...