Tilburg University Model uncertainty and
... these portfolios are mentioned in Section 1.1. The general conclusion from this analysis is that while the relevant set of exposures does vary substantially over time, it is relatively stable across bank types. Finally, we discuss some implications of our ndings for empirical banking research based ...
... these portfolios are mentioned in Section 1.1. The general conclusion from this analysis is that while the relevant set of exposures does vary substantially over time, it is relatively stable across bank types. Finally, we discuss some implications of our ndings for empirical banking research based ...
Managing Permanence Risk in the BioCarbon Fund
... Coverage or Replacement with Permanent Assets outside the BioCF After biofuels, small sustainable biomass use and JI projects, the remainder of the BioCF’s First Window portfolio would be made up of CDM projects giving rise to tCERs/lCERs, which will be subject to replacement risk. The Bank proposes ...
... Coverage or Replacement with Permanent Assets outside the BioCF After biofuels, small sustainable biomass use and JI projects, the remainder of the BioCF’s First Window portfolio would be made up of CDM projects giving rise to tCERs/lCERs, which will be subject to replacement risk. The Bank proposes ...
the benefits of small capitalization investing
... operating margin, and greater volatility, as measured by beta. Also, given the greater degree of operating risk, small companies carry less financial leverage, as measured by debt-to-capital. As Figure 3 illustrates, by sector, the Russell 2000 is more exposed to the more economically cyclical and v ...
... operating margin, and greater volatility, as measured by beta. Also, given the greater degree of operating risk, small companies carry less financial leverage, as measured by debt-to-capital. As Figure 3 illustrates, by sector, the Russell 2000 is more exposed to the more economically cyclical and v ...
Going global with bonds
... 9 The results in Figure 3 are not impacted by the choice to over-weight the UK market in either the equity or fixed income portfolio. Hedged global fixed income still produced a portfolio with lower volatility than when using un-hedged global bonds, across all stock/bond asset allocations. 10 Alth ...
... 9 The results in Figure 3 are not impacted by the choice to over-weight the UK market in either the equity or fixed income portfolio. Hedged global fixed income still produced a portfolio with lower volatility than when using un-hedged global bonds, across all stock/bond asset allocations. 10 Alth ...
The Hedge Fund Landscape
... fewer managers willing to offer this solution •• If accessed through a comingled MAP, access fees can be relatively high Customized managed fund •• Separate fund is created by a MAP provider with delegation of the investment management of the fund to the manager •• The fund owns the assets within it ...
... fewer managers willing to offer this solution •• If accessed through a comingled MAP, access fees can be relatively high Customized managed fund •• Separate fund is created by a MAP provider with delegation of the investment management of the fund to the manager •• The fund owns the assets within it ...
Slide 1
... Insurance can encourage adaptation through pricing – if insurance costs that much, maybe I should do something different! Access and price of insurance can be directly linked to adaptation strategies Fire insurance: extinguishers in the house? Proximity to a fire hydrant Improved building ...
... Insurance can encourage adaptation through pricing – if insurance costs that much, maybe I should do something different! Access and price of insurance can be directly linked to adaptation strategies Fire insurance: extinguishers in the house? Proximity to a fire hydrant Improved building ...
Homeownership and Investment in Risky Assets in Europe
... household’s financial portfolio is significantly affected by its home value to wealth ratio, which is determined largely by its consumption demand for housing rather than by pure investment demand. Using the 2004 Study of Health, Aging and Retirement in Europe (SHARE), this study investigates whethe ...
... household’s financial portfolio is significantly affected by its home value to wealth ratio, which is determined largely by its consumption demand for housing rather than by pure investment demand. Using the 2004 Study of Health, Aging and Retirement in Europe (SHARE), this study investigates whethe ...
Investor Expectations and the Volatility Puzzle in the Japanese
... corresponding to such high risk, the price volatility of its stock and expected return will reflect such expectation. We assume, however, that since, in reality, a volatile business does not tend to be rewarded by high returns and investors do not acknowledge this, high volatility stocks have lower ...
... corresponding to such high risk, the price volatility of its stock and expected return will reflect such expectation. We assume, however, that since, in reality, a volatile business does not tend to be rewarded by high returns and investors do not acknowledge this, high volatility stocks have lower ...
Active Management Performance Cycles
... These results are unlikely to surprise many investors; it is widely known that the strength of active management opportunities differs by asset and sub-asset class. Thus, in our research, we took a deeper dive to determine if there were market attributes that could help explain or even predict when ...
... These results are unlikely to surprise many investors; it is widely known that the strength of active management opportunities differs by asset and sub-asset class. Thus, in our research, we took a deeper dive to determine if there were market attributes that could help explain or even predict when ...
Long-Term Investment Asset-Class Based Capital
... 2% difference between long-term and short-term equity premium. Whatever your choice of equity premium is, it should be about 2% lower for long-term projects than for short-term projects. You can’t believe in an 8% equity premium with respect to long-term bonds and an 8% equity premium with respect t ...
... 2% difference between long-term and short-term equity premium. Whatever your choice of equity premium is, it should be about 2% lower for long-term projects than for short-term projects. You can’t believe in an 8% equity premium with respect to long-term bonds and an 8% equity premium with respect t ...
![9535 Testimony [Dave] - Maryland Public Service Commission](http://s1.studyres.com/store/data/009524184_1-6690ffe236a26be1dddea21ad3b9b7b9-300x300.png)
9535 Testimony [Dave] - Maryland Public Service Commission
... (262 U.S. 679), which was decided in 1923. In this decision, the Court stated: "What annual rate will constitute just compensation depends upon many circumstances and must be determined by the exercise of a fair and enlightened judgment, having regard to all relevant facts. A public utility is entit ...
... (262 U.S. 679), which was decided in 1923. In this decision, the Court stated: "What annual rate will constitute just compensation depends upon many circumstances and must be determined by the exercise of a fair and enlightened judgment, having regard to all relevant facts. A public utility is entit ...
Tab 1.1 - University of Maine System
... government/corporate desk as well as the Pegasus Bond Fund, the Pegasus Intermediate Bond Fund, the Mortgage-Backed Securities Fund, the Market Plus Fund and large institutional portfolios. Prior to that position, Doug was a fixed income quantitative research analyst. He holds a B.S. in chemistry fr ...
... government/corporate desk as well as the Pegasus Bond Fund, the Pegasus Intermediate Bond Fund, the Mortgage-Backed Securities Fund, the Market Plus Fund and large institutional portfolios. Prior to that position, Doug was a fixed income quantitative research analyst. He holds a B.S. in chemistry fr ...
Mutual fund flows: an analysis of the main macroeconomic factors
... markets. They found evidence that these flows depend on market conditions, for redemptions as well as intakes. However, the author reports that during bearish periods, investors are far more concerned with absolute performance, rather than relative performance adjusted by risk. This was not noted fo ...
... markets. They found evidence that these flows depend on market conditions, for redemptions as well as intakes. However, the author reports that during bearish periods, investors are far more concerned with absolute performance, rather than relative performance adjusted by risk. This was not noted fo ...
the relationship between price earning ratio and stock return of firms
... Table 4.2.1.1: PE ratio for the Banking Segment ....................................................................…..46 Table 4.2.1.2: PE ratio for the Insurance Segment ........................................................................46 Table 4.2.1.3: PE ratio for the Construction and Alli ...
... Table 4.2.1.1: PE ratio for the Banking Segment ....................................................................…..46 Table 4.2.1.2: PE ratio for the Insurance Segment ........................................................................46 Table 4.2.1.3: PE ratio for the Construction and Alli ...
Estimation of the marginal expected shortfall using extreme
... satisfies the second-order condition indexed by (γ, ρ, A), that is, there exist γ > 0, ρ ≤ 0, and a function A(·) converging to 0 at infinity and having constant sign such that : C2 (γ, ρ, A) for all x > 0, ...
... satisfies the second-order condition indexed by (γ, ρ, A), that is, there exist γ > 0, ρ ≤ 0, and a function A(·) converging to 0 at infinity and having constant sign such that : C2 (γ, ρ, A) for all x > 0, ...
Risk Sharing between Banks and Markets
... takes a first-loss position in the default risks of the underlying loan portfolio. This raises the question about the effective extent of the risk transfer in a CLO-transaction. The first purpose of this paper is to look into this issue. Our results show, first, that contrary to what many observers b ...
... takes a first-loss position in the default risks of the underlying loan portfolio. This raises the question about the effective extent of the risk transfer in a CLO-transaction. The first purpose of this paper is to look into this issue. Our results show, first, that contrary to what many observers b ...
Liquidity risk, Leverage and Long
... Despite the controversy, surprisingly little is known about the true long-run risk-return characteristics of IPO stocks. With a sample exceeding 6,000 Nasdaq IPOs over the 1972-1998 period, we show that IPO stocks exhibit significantly greater stock turnover and are less leveraged when compared to n ...
... Despite the controversy, surprisingly little is known about the true long-run risk-return characteristics of IPO stocks. With a sample exceeding 6,000 Nasdaq IPOs over the 1972-1998 period, we show that IPO stocks exhibit significantly greater stock turnover and are less leveraged when compared to n ...
paper
... format the respondents fail to consider substitutes, a problem that is obviously not apparent in a CA format. This has also been discussed in Stevens et al. (2000) where CV estimates are compared to CA. Contrary to Boxall et al., Stevens et al. argue that because CA estimates are sensitive to the mo ...
... format the respondents fail to consider substitutes, a problem that is obviously not apparent in a CA format. This has also been discussed in Stevens et al. (2000) where CV estimates are compared to CA. Contrary to Boxall et al., Stevens et al. argue that because CA estimates are sensitive to the mo ...
FINANCIAL DERIVATIVES FOR BEGINNERS
... Some say the world will end in fire, Some say in ice Robert Frost (1874–1963) This is what the Derivative world is? ...
... Some say the world will end in fire, Some say in ice Robert Frost (1874–1963) This is what the Derivative world is? ...
Reflections on Recent Target Date Glide-Path
... The findings of these papers with respect to glide-path slopes are useful in contributing to the body of public knowledge. Many readers may find the results surprising, although they are not surprising to many of us in the target date research and development community. To wit, I began writing about ...
... The findings of these papers with respect to glide-path slopes are useful in contributing to the body of public knowledge. Many readers may find the results surprising, although they are not surprising to many of us in the target date research and development community. To wit, I began writing about ...
Simplicity Is the Ultimate Sophistication
... Risk is measured by standard deviation. Standard deviation is a measure of how returns over time have varied from the mean; a lower number signifies lower volatility. Stocks are represented by the S&P 5009.0% Index which is a market capitalization-weighted price index composed of 500 widely held com ...
... Risk is measured by standard deviation. Standard deviation is a measure of how returns over time have varied from the mean; a lower number signifies lower volatility. Stocks are represented by the S&P 5009.0% Index which is a market capitalization-weighted price index composed of 500 widely held com ...
A Centralised Investment Process: joined up
... 1 which is called the Mean Variance Efficient Frontier (MVEF) – it maps out the highest expected return possible for taking on a given level if risk . In addition, when riskless cash (or T-bills) are added to the range of possibilities then the ‘best’ choice of portfolio for an investor lies on the ...
... 1 which is called the Mean Variance Efficient Frontier (MVEF) – it maps out the highest expected return possible for taking on a given level if risk . In addition, when riskless cash (or T-bills) are added to the range of possibilities then the ‘best’ choice of portfolio for an investor lies on the ...
Focus your aim - JP Morgan Asset Management
... greater inertia and frequently poor investment line-up usage. For example, the average participant invests in only 3.3 funds, even though the average DC plan includes 20 different investment options.2 This lack of diversification has increased participants’ exposure to extreme investment performance ...
... greater inertia and frequently poor investment line-up usage. For example, the average participant invests in only 3.3 funds, even though the average DC plan includes 20 different investment options.2 This lack of diversification has increased participants’ exposure to extreme investment performance ...
3354:1-20-07 Investment policy
... (7) To maintain an appropriate asset allocation based on a total return policy that is compatible with a flexible spending policy, while having the potential to produce positive real returns. (8) To provide an equity/fixed income portfolio of readily marketable assets with an asset allocation weight ...
... (7) To maintain an appropriate asset allocation based on a total return policy that is compatible with a flexible spending policy, while having the potential to produce positive real returns. (8) To provide an equity/fixed income portfolio of readily marketable assets with an asset allocation weight ...
Portfolio choice with jumps: A closed-form solution
... amenable to a closed-form solution, and this is a long-standing open problem in continuous-time finance. As a result, with n assets, one must solve numerically an n-dimensional nonlinear equation. This is difficult, if not impossible, to do using existing methodologies: typical numerical examples co ...
... amenable to a closed-form solution, and this is a long-standing open problem in continuous-time finance. As a result, with n assets, one must solve numerically an n-dimensional nonlinear equation. This is difficult, if not impossible, to do using existing methodologies: typical numerical examples co ...
Beta (finance)
In finance, the beta (β) of an investment is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. The market portfolio of all investable assets has a beta of exactly 1. A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price movements are not highly correlated with the market. An example of the first is a treasury bill: the price does not go up or down a lot, so it has a low beta. An example of the second is gold. The price of gold does go up and down a lot, but not in the same direction or at the same time as the market.A beta greater than one generally means that the asset both is volatile and tends to move up and down with the market. An example is a stock in a big technology company. Negative betas are possible for investments that tend to go down when the market goes up, and vice versa. There are few fundamental investments with consistent and significant negative betas, but some derivatives like equity put options can have large negative betas.Beta is important because it measures the risk of an investment that cannot be reduced by diversification. It does not measure the risk of an investment held on a stand-alone basis, but the amount of risk the investment adds to an already-diversified portfolio. In the capital asset pricing model, beta risk is the only kind of risk for which investors should receive an expected return higher than the risk-free rate of interest.The definition above covers only theoretical beta. The term is used in many related ways in finance. For example, the betas commonly quoted in mutual fund analyses generally measure the risk of the fund arising from exposure to a benchmark for the fund, rather than from exposure to the entire market portfolio. Thus they measure the amount of risk the fund adds to a diversified portfolio of funds of the same type, rather than to a portfolio diversified among all fund types.Beta decay refers to the tendency for a company with a high beta coefficient (β > 1) to have its beta coefficient decline to the market beta. It is an example of regression toward the mean.