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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

The Capital Asset Pricing Model: A New Empirical Investigation

Zarifhonarvar, Ali - 2023

capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this … area, this study discusses the theoretical background of the CAPM model. After explaining the relationship between … systematic risk and the relation of these coefficients to the CAPM model predictions are tested. Thus, after data sampling to …

Persistent link: https://www.econbiz.de/10013499610

The Bayesian method in estimating Polish and German industry betas: A comparative nalysis of the risk between the main economic sectors from 2001-2020

Feder-Sempach, Ewa; Szczepocki, Piotr - In: Comparative Economic Research. Central and Eastern Europe 25 (2022) 2, pp. 45-60

estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and …

Persistent link: https://www.econbiz.de/10014516405

Risk and return in international corporate bond markets

Bekaert, Geert; De Santis, Roberto A. - 2020

pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

Persistent link: https://www.econbiz.de/10012422114

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

There are a number of reasons to assume that significant interdependences exist between the financial asset markets and the housing market. Identifying the linkages between stock, bond and housing markets may improve return forecasts in different asset markets. Interdependence and predictability...

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

A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets

Irle, Albrecht; Prelle, Claas - 2008

We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon....

Persistent link: https://www.econbiz.de/10010263520