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Homogeneous Commercial Property Market Groupings and Portfolio Construction in the UK

Hamelink, Foort; Hoesli, Martin; Lizieri, Colin; … - Université <Genève> / Section des Hautes Etudes … - 2000

In this paper cluster analysis is used to construct homogeneous groups from 157 UK local markets using commercial property returns.

Persistent link: https://www.econbiz.de/10005843531

Stabilität der Korrelationen bedeutender Anlageklassen

Auckenthaler, Christoph; Skaanes, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2003

Seit Begründung der modernen Portfoliotheorie ist bekannt, daß die Portfoliovolatilität im Fall niedriger Korrelationen zwischen den Anlageklassen bei sonst gleich bleibenden Parametern ohne Renditeeinbuße reduziert wird...

Persistent link: https://www.econbiz.de/10005856981

Who Tames the Celtic Tiger? Portfolio Implications from aMultivariate Markov Switching Model

Guidolin, Massimo; Hyde, Stuart - Manchester Business School - 2006

We use multivariate regime switching vector autoregressive models to characterize the time-varyinglinkages among the Irish stock market, one of the top world performers of the 1990s, and the US andUK stock markets. We ¯nd that two regimes, characterized as bear and bull states, are required...

Persistent link: https://www.econbiz.de/10005869997

International Diversification: A Copula Approach

Chollete, Loran; De la Peña, Víctor H.; Lu, Ching-Chih - Universitetet <Stavanger> / School of Business … - 2009

The viability of international diversification involves balancing benefits and costs.This balance hinges on the degree … of asset dependence. In light of theoretical researchlinking diversification and dependence, we examine international … diversification usingtwo measures of dependence: correlations and copulas. We document several findings.First, both measures agree …

Persistent link: https://www.econbiz.de/10009305203

International Diversification: An Extreme Value Approach

Chollete, Loran; De la Peña, Víctor H.; Luk, Ching-Chih - Universitetet <Stavanger> / School of Business … - 2009

International diversification has costs and benefits, depending on the degree of assetdependence. In light of … theoretical research linking diversification and dependence, weexamine international diversification with two dependence measures …

Persistent link: https://www.econbiz.de/10009305204

When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia

Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010

equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …

Persistent link: https://www.econbiz.de/10009305103

Intertemporale Diversifikation im VAR-Ansatz : Erklärung "paradoxer Phänomene" bei langen Prognosezeiträumen

Eberts, Elke - 2003

Vorliegendes Arbeitspapier analysiert die Einflüsse intertemporaler Renditezusammenhänge und fester Startwerte in Vektorautoregressions-(VAR-) Modellen für stetige Renditen anhand des Vergleichs mit einem statischen Random-Walk-Modell.

Persistent link: https://www.econbiz.de/10005842330