Ch 24 Perf measurement 2/e
... Specifically, this result demonstrates that a lower correlation with the market index reduces the Sharpe ratio. Hence, if alpha is not sufficiently large, the portfolio is inferior to the index. Another way to think about this conclusion is to note that, even for a portfolio with a positive alpha, i ...
... Specifically, this result demonstrates that a lower correlation with the market index reduces the Sharpe ratio. Hence, if alpha is not sufficiently large, the portfolio is inferior to the index. Another way to think about this conclusion is to note that, even for a portfolio with a positive alpha, i ...
exp06-Nagel 3988118 en
... realizations experienced in the past. In the latter case, the learning from personal experience with overlapping generations would lead to beliefs that never converge even in the long-run, and it would lead to a source of belief heterogeneity. Our paper connects to a few other papers. Most closely r ...
... realizations experienced in the past. In the latter case, the learning from personal experience with overlapping generations would lead to beliefs that never converge even in the long-run, and it would lead to a source of belief heterogeneity. Our paper connects to a few other papers. Most closely r ...
A Partial Internal Model for Credit and Market Risk Under Solvency II
... of an underestimation of the value of liabilities, premiums cannot cover claims, therefore it can easily happen that the undertaking has to strive for higher returns by accepting higher risks. This excessive risk-taking creates room for an endogenous amplification of exogenous shocks. (Lorent, 2008) ...
... of an underestimation of the value of liabilities, premiums cannot cover claims, therefore it can easily happen that the undertaking has to strive for higher returns by accepting higher risks. This excessive risk-taking creates room for an endogenous amplification of exogenous shocks. (Lorent, 2008) ...
Vanguard`s framework for constructing globally diversified portfolios
... Notes on risk All investments are subject to risk, including the possible loss of the money you invest. Investments in bond funds are subject to interest rate, credit, and inflation risk. Prices of mid and small-cap stocks often fluctuate more than those of large-company stocks. Funds that concentra ...
... Notes on risk All investments are subject to risk, including the possible loss of the money you invest. Investments in bond funds are subject to interest rate, credit, and inflation risk. Prices of mid and small-cap stocks often fluctuate more than those of large-company stocks. Funds that concentra ...
Constant Proportion Portfolio Insurance in presence
... equal to a given lower bound (floor), typically fixed as a percentage of the initial investment [18]. These techniques allow the investor to limit downside risk while retaining some potential in case of an upside market move which is however reduced in comparison with the unprotected portfolio (see [1 ...
... equal to a given lower bound (floor), typically fixed as a percentage of the initial investment [18]. These techniques allow the investor to limit downside risk while retaining some potential in case of an upside market move which is however reduced in comparison with the unprotected portfolio (see [1 ...
Market-Consistent Valuations of Life Insurance Business
... Insurers can use risk-free rates and asset volatilities, deduced from market prices, to help calibrate the model they are using. However, we can see that there are differences between firms in their modelling, because each insurer has to report what its model produces for specimen put option prices. ...
... Insurers can use risk-free rates and asset volatilities, deduced from market prices, to help calibrate the model they are using. However, we can see that there are differences between firms in their modelling, because each insurer has to report what its model produces for specimen put option prices. ...
PUF Investment Policy
... possess a limited return history versus traditional stocks and bonds. The risk of alternative nonmarketable investments shall be controlled with extensive due diligence and diversification. These investments are held either through limited partnership or as direct ownership interests. They include s ...
... possess a limited return history versus traditional stocks and bonds. The risk of alternative nonmarketable investments shall be controlled with extensive due diligence and diversification. These investments are held either through limited partnership or as direct ownership interests. They include s ...
The Evolution of Quantitative Investment Strategies
... Most investors would intuitively accept the notion that a risky security should offer a higher rate of return in order to make it an attractive investment. In other words, relative to a safe investment that offers investors a return commensurate with the time value of money, a risky investment must ...
... Most investors would intuitively accept the notion that a risky security should offer a higher rate of return in order to make it an attractive investment. In other words, relative to a safe investment that offers investors a return commensurate with the time value of money, a risky investment must ...
A Transaction Data Study of the Forward Bias Puzzle
... levels relative to low interest rate ones; and (iii) also realize that there is significant risk of a dramatic reversal connected to carry trading. In this paper we explore all three of these themes in a framework that allows for order flow 3 related risk premia and expectational errors as well as ...
... levels relative to low interest rate ones; and (iii) also realize that there is significant risk of a dramatic reversal connected to carry trading. In this paper we explore all three of these themes in a framework that allows for order flow 3 related risk premia and expectational errors as well as ...
EXAM FM FINANCIAL MATHEMATICS
... organizers of the annual jalapeno eating contest. The contract states that the contest organizers will take delivery of 10,000 jalapenos in one year at the market price. It will cost Happy Jalapenos 1,000 to provide 10,000 jalapenos and today’s market price is 0.12 for one jalapeno. The continuously ...
... organizers of the annual jalapeno eating contest. The contract states that the contest organizers will take delivery of 10,000 jalapenos in one year at the market price. It will cost Happy Jalapenos 1,000 to provide 10,000 jalapenos and today’s market price is 0.12 for one jalapeno. The continuously ...
Uncertainty shocks, asset supply and pricing over the business cycle
... both of which are included as observables in the estimation. We thus confront the excess volatility puzzle from two sides: asset prices must be consistent not only with investors’ decisions to buy assets, but also with firms’ decisions to supply them. In contrast, most existing literature on busines ...
... both of which are included as observables in the estimation. We thus confront the excess volatility puzzle from two sides: asset prices must be consistent not only with investors’ decisions to buy assets, but also with firms’ decisions to supply them. In contrast, most existing literature on busines ...
The Bear Stearns Companies Inc.
... Energy L.P.; and Bear Hunter Holdings LLC. The Company participates, through Bear Hunter Holdings LLC, in specialist activities on the New York Stock Exchange (“NYSE”), American Stock Exchange (“AMEX”) and International Securities Exchange (“ISE”). Basis of Presentation The Condensed Consolidated Fi ...
... Energy L.P.; and Bear Hunter Holdings LLC. The Company participates, through Bear Hunter Holdings LLC, in specialist activities on the New York Stock Exchange (“NYSE”), American Stock Exchange (“AMEX”) and International Securities Exchange (“ISE”). Basis of Presentation The Condensed Consolidated Fi ...
