As past research suggest, currency exposure risk is a main source of overall risk of international diversified portfolios. Thus, controlling the currency risk is an important instrument for controlling and improving investment performance of international investments. This study examines the...

In this contribution we present an empirical study that focuses the relationship between risk and return for a universe of insurance stocks in Germany during the period 1975-1998. The study is motivated by the use of a multi factor model. The proportion of explained variance ranges from 9,29% to...

Using a Monte Carlo framework, we analyze the risks and rewards of moving from an unfunded defined benefit pension system to a funded plan for German civil servants, allowing for alternative strategic contribution and investment patterns. In the process we integrate a Conditional Value at Risk...

This paper derives optimal life cycle portfolio asset allocations as well as annuity purchases trajectories for a consumer who can select her hours of work and also her retirement age. Using a realistically-calibrated model with stochastic mortality and uncertain labor income, we extend the...

Due to the recent downturn of international equity markets the interest in real estate investments has soared. However, the well know problems of direct real estate investments complicate becoming well diversified with this investment class. Securitised forms of real estate investment can...

Social Security rules that determine retirement, spousal, and survivor benefits, along with benefit adjustments according to the age at which these are claimed, open up a complex set of financial options for household decisions. These rules influence optimal household asset allocation,...