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Portfolio choice and the effects of liquidity

González, Ana; Rubio, Gonzalo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 1, pp. 53-74

This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for...

Persistent link: https://www.econbiz.de/10010317124

Die Performance deutscher Aktienfonds: Lassen sich Selektions- und Timingfähigkeiten nachweisen und hat die Wahl des Performancemaßes einen Einfluss auf die Beurteilung?

Rottmann, Horst; Franz, Thomas - 2008

Neben den klassischen Performancemaßen, wie der Sharpe-Ratio, der Treynor-Ratio und dem Jensen-Alpha wurden in den letzten Jahrzehnten weiterführende Ansätze für die Analyse und Bewertung von Kapitalanlagen entwickelt. Die moderneren Performancemaße verlangen keine Konstanz der Risikomaße...

Persistent link: https://www.econbiz.de/10010308388

Different risk-adjusted fund performance measures: a comparison

Grau-Carles, Pilar; Sainz, Jorge; Otamendi, Javier; … - 2009

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk...

Persistent link: https://www.econbiz.de/10010299556

The impact of human capital efficiency on Latin American mutual funds during Covid-19 outbreak

Mirza, Nawazish; Hasnaoui, Jamila Abaidi; Naqvi, Bushra; … - In: Swiss Journal of Economics and Statistics 156 (2020) 1, pp. 1-7

The mutual funds' returns, inter alia, are dependent on fund managers' performance. This makes human capital efficiency very central for consistent risk-adjusted performance. The persistence in performance becomes more critical during periods of high turbulence, like the one we are experiencing...

Persistent link: https://www.econbiz.de/10013205800

Investment Behaviour of German Equity Fund Managers - An Exploratory Analysis of Survey Data

Arnswald, Torsten - 2001

In order to shed light on the "black box" of institutional equity investing in a systematic manner, I conducted a broadly based questionnaire which received a large response from German mutual fund companies. The survey asked fund managers for their basic views and practices and for insights...

Persistent link: https://www.econbiz.de/10010295706

Sicherheits-orientiertes Portfoliomanagement

Müller, Sebastian; Müller, Gerhard - 2005

Ende der 90er Jahre schien eine intensive Auswahl der Investments kaum notwendig, da fast jede Aktienanlage deutliche Kursgewinne versprach. Nach dem jähen Absturz an den Börsen haben die Anleger einen beträchtlichen Teil ihres Aktienvermögens verloren. Damit rücken wieder verstärkt...

Persistent link: https://www.econbiz.de/10010297049

Price linkages between stock, bond and housing markets: Evidence from Finnish data

Oikarinen, Elias - 2006

the housing market. Identifying the linkages between stock, bond and housing markets may improve return forecasts in … interdependences between stock, bond and housing markets using time series econometrics and utilizing a quarterly dataset from Finland …-run relation. Comovement of bond price changes with stock and housing appreciation is found to be weak, although bond prices belong …

Persistent link: https://www.econbiz.de/10010285002

Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies

Zou, Liang - 2000

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...

Persistent link: https://www.econbiz.de/10010324569

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - 1999

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the degree of non-linearity of the instruments comprised in the portfolio and thewillingness to make restrictive assumptions on the underlying statistical distributions, a...

Persistent link: https://www.econbiz.de/10010324653

Return distributions of equity-linked retirement plans

Detering, Nils; Weber, Andreas; Wystup, Uwe - 2010

We have compared the performance of savings plans within the class of difference capital guarantee mechanisms: from the stop loss to classic investments in actuarial reserve funds. CPPI strategies with different leverage factors can be viewed as a compromises between these two extremes. In...

Persistent link: https://www.econbiz.de/10010303923