


Registros recuperados: 22  


Mandal, Maitreyi; Lagerkvist, Carl Johan. 
MeanVariance theory of portfolio construction is still regarded as the main building block of modern portfolio theory. However, many authors have suggested that the meanvariance criterion, conceived by Markowitz (1952), is not optimal for asset allocation, because the investor expected utility function is better proxied by a function that uses higher moments and because returns are distributed in a nonNormal way, being asymmetric and/or leptokurtic, so the meanvariance criterion cannot correctly proxy the expected utility with nonNormal returns. Copulas are a very useful tool to deal with non standard multivariate distribution. Value at Risk (VaR) and Conditional Value at Risk (CVaR) have emerged as a golden measure of risk in recent times. Though... 
Tipo: Presentation 
Palavraschave: Portfolio Choice; Downside Risk Protection; Value at risk; Copula; Agricultural Finance; Risk and Uncertainty; C52; G11; Q14. 
Ano: 2012 
URL: http://purl.umn.edu/124387 
 

 


Hoe, Lam Weng; Saiful Hafizah, Jaaman; Zaidi, Isa. 
Risk is one of the important parameters in portfolio optimization problem. Since the introduction of the meanvariance model, variance has become the most common risk measure used by practitioners and researchers in portfolio optimization. However, the meanvariance 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 semivariance. Results... 
Tipo: Journal Article 
Palavraschave: Portfolio; Optimization; Risk measures; Variance.; Financial Economics; CO2; C61; G11. 
Ano: 2010 
URL: http://purl.umn.edu/95934 
 


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 
Palavraschave: 529 College Savings Plan; State tax rate; Financial Economics; G10; G11; H24; I22. 
Ano: 2008 
URL: http://purl.umn.edu/51127 
 

 


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 viceversa. We propose that the undershooting is the product of lagged adjustment in the European bond portfolios... 
Tipo: Working or Discussion Paper 
Palavraschave: 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 
 

 

 


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 
Palavraschave: Financial Innovation; Financial Fragility; Securities; Risks; Financial Economics; G; G11; G15; G2. 
Ano: 2010 
URL: http://purl.umn.edu/96496 
 

 

 


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 
Palavraschave: Financial Economics; G11; D14. 
Ano: 2009 
URL: http://purl.umn.edu/48923 
 


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 lumpsum 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 lumpsum 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 
Palavraschave: 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 
 


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 multisite... 
Tipo: Presentation 
Palavraschave: Management; Weather risk; Regional diversification; Portfolio weights; Risk and Uncertainty; G11; Q14; G32. 
Ano: 2012 
URL: http://purl.umn.edu/122527 
 

 


Petrick, Martin; Ditges, C. Markus. 
On the basis of portfolio selection theory, this paper finds that wholefarm risk must be regarded as a major reason for the low level of credit flow to agriculture in Northwestern 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 shortterm 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 
Palavraschave: Agricultural credit; Kazakhstan; Portfolio selection theory; Risk programming; Agricultural Finance; Q14; G11; C61. 
Ano: 2000 
URL: http://purl.umn.edu/14939 
 

 

 

 

 
Registros recuperados: 22  


