Für abhängige Ertragserwartungen verschiedener Assets wird eine optimale Investmentstrategie abgeleitet. Neben der Minimierung der Varianz wird das allgemeine Marktrisiko vermindert und erleichtert damit auch Erfolge in Baissephasen

In Ergänzung zu einem Aufsatz in der rv05-11 werden verschiedene Anlagestrategien anhand der erarbeiteten Kennziffern untersucht. Ausführliche Signifikanztests zeigen dabei, wieweit diese Strategien für Anlagen zur Altersvorsorge geeignet sind.

We consider individual's portfolio selection problems. Introducing the concept of ambiguity, we show the existence of portfolio inertia under the assumptions that decision maker's beliefs are captured by an inner measure, and that her preferences are represented by the Choquet integral with...

This paper analyzes investors' portfolio selection problems in a two-period dynamic model of Knightian uncertainty. We account for the existence of portfolio inertia in this two-period framework. Furthermore, by incorporating investors' up-dating behavior, we analyze how new observation in the...

This paper examines the common factors that drive the returns of U.S. bank holding companies from 1997 to 2005. We compare a range of market models from a basic one-factor model to a nine-factor model that includes the standard Fama-French factors and additional factors thought to be...

This paper presents a model comparing the optimal degree of asset class diversification abroad by a central bank and a sovereign wealth fund. We show that if the central bank manages its foreign asset holdings in order to meet balance of payments needs, particularly in reducing the probability...

This paper describes the international flow of funds associated with calm and volatile global equity markets. During calm periods, portfolio investment by real money and leveraged investors in advanced countries flows into emerging markets. When central banks in the receiving countries resist...

This paper considers two alternative formulations of the linear factor model (LFM) with nontraded factors. The first formulation is the traditional LFM, where the estimation of risk premia and alphas is performed by means of a cross-sectional regression of average returns on betas. The second...

Reliable estimates of variances and covariances are crucial for portfolio management and risk controlling. This paper investigates alternative methods to estimate time varying variance-covariance matrices: ordinary estimates and exponentially weighted moving averages in comparison to Markov...

The hypothesis of the paper that the European money demand function is more stable than the money demand function of any single European country is based on the well known portfolio diversification principle. Econometric estimates of country specific and European money demand functions confirm...