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Dynamic portfolio and mortgage choice for homeowners
Hemert, Otto van; Jong, Franck de; Driessen, Joost - London School of Economics (LSE) - 2005
We investigate the impact of owner-occupied housing on financial portfolio and mortgage choice under stochastic inflation and real interest rates. To this end we develop a dynamic framework in which investors can invest in stocks and bonds with different maturities. We use a continuous-time...
Persistent link: https://www.econbiz.de/10010746533
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Pricing of commercial real estate securities during the 2007 - 2009 financial crisis
Driessen, Joost; Hemert, Otto van - In: Journal of financial economics 105 (2012) 1, pp. 37-61
Persistent link: https://www.econbiz.de/10009622450
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How the 52-week high and low affect option-applied volatilities and stock return moments
Driessen, Joost; Lin, Tse-chun; Hemert, Otto van - In: Review of finance : journal of the European Finance … 17 (2013) 1, pp. 369-401
Persistent link: https://www.econbiz.de/10009715217
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(UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners
Hemert, Otto van; Driessen, Joost; Jong, Frank de - Financial Markets Group - 2005
We investigate the impact of owner-occupied housing on financial portfolio and mortgage choice under stochastic inflation and real interest rates. To this end we develop a dynamic framework in which investors can invest in stocks and bonds with different maturities. We use a continuous-time...
Persistent link: https://www.econbiz.de/10005073812
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Dynamic portfolio and mortgage choice for homeowners
Hemert, Otto van; Jong, Frank de; Driessen, Joost - 2005
Persistent link: https://www.econbiz.de/10002918130
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Household interest rate risk management
Hemert, Otto van - In: Real estate economics : journal of the American Real … 38 (2010) 3, pp. 467-505
Persistent link: https://www.econbiz.de/10008649896
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The impact of volatility targeting
Harvey, Campbell R.; Hoyle, Edward; Korgaonkar, Russell; … - In: The journal of portfolio management : a publication of … 45 (2018) 1, pp. 14-33
Persistent link: https://www.econbiz.de/10011980656
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The best of strategies for the worst of times : can portfolios be crisis proofed?
Harvey, Campbell R.; Hoyle, Edward; Rattray, Sandy; … - In: The journal of portfolio management : a publication of … 45 (2019) 5, pp. 7-28
Persistent link: https://www.econbiz.de/10012116061
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Man vs. machine : comparing discretionary and systematic hedge fund performance
Harvey, Campbell R.; Rattray, Sandy; Sinclair, Andrew; … - In: The journal of portfolio management : a publication of … 43 (2017) 4, pp. 55-69
Persistent link: https://www.econbiz.de/10011804461
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Understanding the subprime mortgage crisis
Demyanyk, Yuliya; Hemert, Otto van - In: Securitization of subprime mortgages, (pp. 81-107). 2009
Persistent link: https://www.econbiz.de/10003942324