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Trend Derivatives : Pricing, Hedging, and Application to Executive Stock Options

Leippold, Markus; Syz, Jürg - Institut für Schweizerisches Bankwesen <Zürich> - 2005

Institutional but also private investors have often limited flexibility in timing their investment decision. Therefore, they look for investments that would ideally be independent of the timing decision. We introduce a new class of derivative products whose payoff is linked to the trend of the...

Persistent link: https://www.econbiz.de/10005858740

Portfolio Diversification in Europe

Adjaoute, Kpate; Danthine, Jean-Pierre; Isakov, Dusan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

Have the euro and accompanying measures of financial integration had a discernable impact on the degree of diversification of European investors? This is an empirical question that this paper tries to answer by exploring four alternative avenues. First we focus on the final outcome: If European...

Persistent link: https://www.econbiz.de/10005858760

The Evolutionary Virtue of Diversification

Schenk-Hoppé, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich> - 2004

This note shows that an investor who does not hold positive amounts of all available assets is eventually overtaken by a completely diversified rival investor.

Persistent link: https://www.econbiz.de/10005858925

Syndicated Loan Pricing and the 1988 Basel Capital Accord

Gennheimer, Heinrich - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper systematically analyses the market for syndicated loans over the period from 1982 till 2000. A sub-sample of high-information loans is studied over the period from 1982 until 2000. Aspects such as market credit quality, average spreads, average tenors and other market characteristics...

Persistent link: https://www.econbiz.de/10005858996

Are practitioners right?On the relative importance of industrial factors in international stock returns

Isakov, Dusan; Sonney, Frederic - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper investigates the relative influences of industrial and country factors in international stock returns. Until very recently, academic research has consistently found that country factors dominate industrial factors. This result is in contradiction with practitioners beliefs. This paper...

Persistent link: https://www.econbiz.de/10005859102

How to diversify internationally?A comparison of conditional and unconditional asset allocation methods

Barras, Laurent; Isakov, Dusan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

o obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction. The question that we raise in this paper is how to select the optimal portfolio of countries? This article synthesizes...

Persistent link: https://www.econbiz.de/10005859126

Time and Risk Diversification in Real EstateInvestments: Assessing the Ex Post EconomicValue

Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - Manchester Business School - 2009

Welfare gains to long-horizon investors may derive from time diversification that exploits non-zerointertemporal return correlations associated with predictable returns. Real estate may thus become moredesirable if its returns are negatively serially correlated. While it could be important for...

Persistent link: https://www.econbiz.de/10005870699

Geographische Diversifikation von Immobilienportfolios im Schweizer Mietwohnungsmarkt

Borner, Rolf - Center for Urban & Real Estate Management <Zürich> - 2008

Der Anreiz einer Investition besteht im Erzieln einer angemessenen Rendite und im zukünftigen Vermögenszuwachs oder zumindest im Erhalt des Vermögenswertes. Bestrebungen zur Maximierung der Rendite führen zum Anstieg des damit verbundenen Risikos. Analog zu den Anlagekategorien Aktien und...

Persistent link: https://www.econbiz.de/10005871025

Mögliche Potentiale der Portfoliodiversifizierung anhand des 4-Quadranten-Ansatzes für Schweizer Institutionelle Investoren

Wägner, Ingo - Center for Urban & Real Estate Management <Zürich> - 2007

Während Immobilieninvestments derzeit in Europa überwiegend als Public oder Private Equity Real Estate Investments gesehen werden. versteht man in der Schweiz Immobilienanlagen primär als Direktanlage. Allerdings tendieren eidgenössische Institutionelle Investoren wie Pensionskassen und...

Persistent link: https://www.econbiz.de/10005871151

Diversifikation und Risikocluster im Schweizer Immobilien Direktanlagemarkt - zur Bedeutung von Markttransparenz und qunatitativer Methoden

Widmer, Cornel - Center for Urban & Real Estate Management <Zürich> - 2007

zu investieren in erste Linie quantitativ begründet ist und Diversifikation, Risiko Reduktion und tiefe Korrelation zu … von anderen Anlageklassen. Auf qualitativen Faktoren aufbauende Systeme und eine Arte naive Diversifikation bestimmen das … Strategien hinsichtlich Risiko Reduktion und Diversifikation verbreitet angewandt werden und welche Bedeutung homogene …

Persistent link: https://www.econbiz.de/10005871153