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Registros recuperados: 22 | |
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Hoe, Lam Weng; Saiful Hafizah, Jaaman; Zaidi, Isa. |
Risk is one of the important parameters in portfolio optimization problem. Since the introduction of the mean-variance model, variance has become the most common risk measure used by practitioners and researchers in portfolio optimization. However, the mean-variance model relies strictly on the assumptions that assets returns are multivariate normally distributed or investors have a quadratic utility function. Many studies have proposed different risk measures to overcome the drawbacks of variance. The purpose of this paper is to discuss and compare the portfolio compositions and performances of four different portfolio optimization models employing different risk measures, specifically the variance, absolute deviation, minimax and semi-variance. Results... |
Tipo: Journal Article |
Palavras-chave: Portfolio; Optimization; Risk measures; Variance.; Financial Economics; CO2; C61; G11. |
Ano: 2010 |
URL: http://purl.umn.edu/95934 |
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Ritter, Matthias; Musshoff, Oliver; Odening, Martin. |
Weather risk is one of the main causes for income fluctuation in agriculture. Since 1997, the economic consequences of weather risk can be insured with weather derivatives, which are offered for many different weather events, such as temperature, rainfall, snow or hurricanes. It is well known that the hedging effectiveness of weather derivatives is interfered by the existence of geographical basis risk, i.e., the deviation of weather conditions at different locations. In this paper, we explore how geographical basis risk of rainfall based derivatives can be reduced by regional diversification. Minimizing geographical basis risk requires knowledge of the joint distribution of rainfall at different locations. For that purpose, we estimate a daily multi-site... |
Tipo: Presentation |
Palavras-chave: Management; Weather risk; Regional diversification; Portfolio weights; Risk and Uncertainty; G11; Q14; G32. |
Ano: 2012 |
URL: http://purl.umn.edu/122527 |
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Bogan, Vicki. |
Despite the fact that 529 College Savings Plans have existed for over a decade, there has been limited scholarly attention on investment questions related to this savings vehicle. In some of the first academic literature on this topic, Alexander and Luna (Supplement 2005) identified a surprising relationship between 529 College Savings Plan participation and plan fees. They found a positive relationship between participation rates and fees. While they link this counterintuitive result to plan marketing efforts by brokers, I propose an alternative view. In my data which covers a five year time span, I find no significant relationship between participation rates and fees. However, when investigating the tax incidence with respect to 529 plans, I find a... |
Tipo: Working or Discussion Paper |
Palavras-chave: 529 College Savings Plan; State tax rate; Financial Economics; G10; G11; H24; I22. |
Ano: 2008 |
URL: http://purl.umn.edu/51127 |
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Petrick, Martin; Ditges, C. Markus. |
On the basis of portfolio selection theory, this paper finds that whole-farm risk must be regarded as a major reason for the low level of credit flow to agriculture in North-western Kazakhstan. A quadratic programming model was used in order (a) to demonstrate the comparatively high overall risk exposition of a typical farm, (b) to show that an inflow of working capital could contribute to risk reduction, and (c) to illustrate short-term risk management strategies. Although there may be a role for the government in reducing risk exposition of agriculture in its current form, natural and economic constraints suggest to pave the way for structural reforms that reduce the importance of agriculture in the rural economy. . |
Tipo: Working or Discussion Paper |
Palavras-chave: Agricultural credit; Kazakhstan; Portfolio selection theory; Risk programming; Agricultural Finance; Q14; G11; C61. |
Ano: 2000 |
URL: http://purl.umn.edu/14939 |
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Gennaioli, Nicola; Shleifer, Andrei; Vishny, Robert. |
We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash flows. Financial intermediaries cater to these preferences and beliefs by engineering securities perceived to be safe but exposed to neglected risks. Because the risks are neglected, security issuance is excessive. As investors eventually recognize these risks, they fly back to safety of traditional securities and markets become fragile, even without leverage, precisely because the volume of new claims is excessive. Financial innovation can make both investors and... |
Tipo: Working or Discussion Paper |
Palavras-chave: Financial Innovation; Financial Fragility; Securities; Risks; Financial Economics; G; G11; G15; G2. |
Ano: 2010 |
URL: http://purl.umn.edu/96496 |
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Bogan, Vicki. |
Economic research has documented many economic affects of offspring gender on parental behavior. However, an open question exists as to whether offspring gender has any influence on parental investment decision making. Specifically, I investigate whether female offspring have an impact on investment decisions with respect to stock and bondholding. Using a panel data set, I find that for male respondents, having only female offspring increases the probability of stockholding by over 17%. In contrast, a relationship between stockholding and offspring gender was not at all present for female respondents. |
Tipo: Working or Discussion Paper |
Palavras-chave: Financial Economics; G11; D14. |
Ano: 2009 |
URL: http://purl.umn.edu/48923 |
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Pushkarskaya, Helen N.; Marshall, Maria I.. |
Our study uses the data collected during the implementation of the tobacco buyout program in Kentucky to evaluate how rural households, diverse in income, age, family structure, location, education level, and other characteristics, made a choice between annuities and a lump-sum payment. Subjects in our field experiment did not have to retire or change their employment, as did subjects in many field studies of the choice between annuities and lump-sum payments, which allowed us to evaluate the relationship between the option choice and a decision whether to exit the tobacco market. Our results suggest that while discounted utility theory gives acceptable predictions of the farmers’ behavior, other factors have to be taken into consideration. First, there... |
Tipo: Journal Article |
Palavras-chave: Annuity; Family business system; Intertemporal choice; Lump sum; Tobacco buyout; Agribusiness; Consumer/Household Economics; Institutional and Behavioral Economics; Marketing; G11; H31; J10. |
Ano: 2009 |
URL: http://purl.umn.edu/56647 |
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Bernstein, Shai; Lerner, Josh; Schoar, Antoinette. |
This paper examines the direct private equity investment strategies across sovereign wealth funds and their relationship to the funds’ organizational structures. SWFs seem to engage in a form of trend chasing, since they are more likely to invest at home when domestic equity prices are higher, and invest abroad when foreign prices are higher. Funds see the industry P/E ratios of their home investments drop in the year after the investment, while they have a positive change in the year after their investments abroad. SWFs where politicians are involved have a much greater likelihood of investing at home than those where external managers are involved. At the same time, SWFs with external managers tend to invest in lower P/E industries, which see an increase... |
Tipo: Working or Discussion Paper |
Palavras-chave: General Finance; Countries & Regions; Financial Services; Financial Economics; G11; G15. |
Ano: 2009 |
URL: http://purl.umn.edu/50460 |
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Antzoulatos, Angelos A.. |
With the elimination of foreign exchange risk among the E.M.U.-member countries, the yield of, say, French benchmark government bonds (henceforth, the yield) should be equal to that of German bonds, plus some credit and liquidity premia. Since both premia are not likely to change substantially from one day to the other, the yield should move in tandem with the German one and the corresponding spread should remain relatively stable. Yet, the yield exhibits a small but economically and statistically significant undershooting in response to changes in the German one, as a result of which the spread tends to decline when the latter increases, and vice-versa. We propose that the undershooting is the product of lagged adjustment in the European bond portfolios... |
Tipo: Working or Discussion Paper |
Palavras-chave: Benchmark Government Bonds; E.M.U.; Credit and Liquidity Premia; Bid/Ask Spread; Financial Economics; E43; F36; G11; G15. |
Ano: 2002 |
URL: http://purl.umn.edu/26207 |
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Registros recuperados: 22 | |
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