In this paper we investigate the relation between statistical tracking error measures and assetallocation restrictions expressed as admissible weight ranges. Typically, tracking errors arecalculated as annual standard deviations of return differentials between tracking portfolio andbenchmark. In...

We investigate the impact of options listings on the variance of the underlyingstock returns in the Swiss equity market using a non-parametric approach.The emergence of multiple share categories in most Swiss firms,combined with the fact that (listed) options are typically not introduced onall...

Es ist für mich eine grosse Ehre, an einer philosophischen Fakultätund in Anwesenheit S.D. Prinz Nikolaus von und zu Liechtensteinüber ein Thema dieser Aktualität sprechen zu dürfen. Wir sind alleschockiert und sprachlos über die Terroranschläge in den USA.Viele Fragen werden aufgeworfen,...

A major problem in studying the performance of private equity is the lack of reliable market data, or the lack of liquidity, the most instruments available in this growing market segment. However, there are an increasing number of publicly traded private equity (PTPE) vehicles. We have found a...

Stock returns in emerging markets are to some extent predictable onthe basis of proper instrument variables. We show that local informationis more important than global information to capture emergingstock market returns. This is an indication for at least partial segmentationof emerging stock...