Optimal International Diversification: Theory and Practice from a Swiss Investor's Perspective / Foort Hamelink / Swiss Finance Institute, Switzerland (2000) 

Titre : Optimal International Diversification: Theory and Practice from a Swiss Investor's Perspective Type de document : cahier de recherche Auteurs : Foort Hamelink Editeur : Swiss Finance Institute, Switzerland Année de publication : 2000 Nombre de pages : 38 Numéro : 21 Langues : Anglais (eng) Catégories : Gestion de portefeuille Investissement international Risque de change Résumé : This paper reviews some recent developments in the area of optimal international portfolio diversification and investigates important issues for future research. In the latest models proposed in the financial literature that generate optimal holdings over time, both the quantities of risks (measured by the covariances with various risk factors) and the prices of risk (risk premiums) are time varying. The former are generally specified by some ARCH process, whereas the latter are estimated using instruments such as dividend yield or bond premiums. Available methodoligies and the choice of the instruments are discussed in general terms, as well as the feasability of active management with these models. I test a few of them by considering a Swiss investor who holds an internationally diversified portfolio including local stock indices, as well as an exposure to real estate, and who may hedge some ar all of his currency risk. The empirical tests are performed using a very intuitive and powerful non-parametric threshold ARCH specification to model time-varying sources of risk. Risk premiums are estimated using simple and widely available instruments in the form of macro-economic variables, but also indicators used in technical analysis. Both the in-sample and the out-of-sample results suggest that the proposed non-parametric approach is powerful and may constitute a valuable tool for international portfolio managers. En ligne : http://www.swissfinanceinstitute.ch/rp21.pdf Lien associé : http://www.swissfinanceinstitute.ch/faculty_research/publications/paperlist_1-99.htm

Paying for minimum interest rate guarantees / Bjarne Astrup Jensen / Copenhagen Business School, Copenhagen, Denmark (2000) 

Titre : Paying for minimum interest rate guarantees Type de document : cahier de recherche Auteurs : Bjarne Astrup Jensen ; Carsten Sorensen Editeur : Copenhagen Business School, Copenhagen, Denmark Année de publication : 2000 Nombre de pages : 32 Numéro : 2000-1 Langues : Anglais (eng) Catégories : Gestion de portefeuille Risque de taux d'intérêt Risque financier Taux d'intérêt Résumé : Defined contribution pension schemes and life insurance contracts often have a minimum interest rate guarantee as an integrated part of the contract. This guarantee is an embedded put option issued by the institution to the individual, who is forced to hold the option in the portfolio. However, taking the inability to short this saving and other institutional restrictions into account the individual may actually face a restriction on the feasible set of portfolio choices, hence be better off without such guarantees. We measure the effect of the minimum interest guarantee constraint through the wealth equivalent and show that guarantees may induce a significant utility loss for relatively risk tolerant investors. We also consider the case with heterogenous investors sharing a common portfolio. Investors with different risk attitudes will experience a loss of utility by being forced to share a common portfolio. However, the relatively risk averse investors are partly compensated by the minimum interest rate guarantee, whereas the relatively risk tolerant investors are suffering a further utility loss. Author's keywords : Minimum interest rate guarantee, asset allocation restrictions, utility loss, wealth equivalent, heterogenous investors. En ligne : http://ir.lib.cbs.dk/download/ISBN/8790705319.pdf Lien associé : http://uk.cbs.dk/content/view/pub/38569/

Subjective Discount Factors / Thomas Mariotti / FMG (Financial Markets Group), LSE (London School of Economics), London, United Kingdom (2000) 

Titre : Subjective Discount Factors Type de document : cahier de recherche Auteurs : Thomas Mariotti Editeur : FMG (Financial Markets Group), LSE (London School of Economics), London, United Kingdom Année de publication : 2000 Numéro : FMG Discussion Papers : dp352 Langues : Anglais (eng) Catégories : Finance Comportementale Gestion de portefeuille Volatilité Résumé : This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective discount factors and quasi-homothetic period utility functions follow linear Markov consumption and portfolio strategies. Explicit expressions are given for state prices and consumption-wealth ratios. If utility is logarithmic or endowment growth is i.i.d., then this economy is observationally equivalent to one in which consumers discount geometrically. We provide analytically convenient continuous-time approximations and examine the effects of non-geometric subjective discount factors in an economy in which log endowments are subject to temporary and permanent shocks that are governed by a Feller (1951) square-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and raise the expected excess return on aggregate wealth. En ligne : http://www2.lse.ac.uk/fmg/workingPapers/discussionPapers/home.aspx

International Portfolio Choice and Trading Behavior / Göran Robertsson / The Economic Research Institute, Stockholm School of Economics, Stockholm, Sweden (2000) 

Titre : International Portfolio Choice and Trading Behavior Type de document : thèse Auteurs : Göran Robertsson, Auteur Editeur : The Economic Research Institute, Stockholm School of Economics, Stockholm, Sweden Année de publication : 2000 Langues : Anglais (eng) Catégories : Critère de choix en situation d'incertitude et de risque Finance Comportementale Gestion de portefeuille Résumé : This thesis consists of four essays on topics relating to the fields of international portfolio choice, trading behavior, and asset pricing. "Direct Foreign Ownership, Institutional Investors, and Firm Characteristics" analyzes portfolios of Swedish stocks held by foreign investors. The analysis reveals that foreigners tilt their portfolios to firms with certain attributes. It is also shown that the seemingly specific preferences of foreign investors are driven by the fact that they are large institutional investors, and are not linked to their national origin. "Foreigners' Trades in Risky Assets: An assessment of Investment Behavior and Performance" analyzes foreigners' trading activities. It is shown that foreigners trade more than domestic investors. Further, they trade as non-informed trend followers in that they buy stocks that have recently done well. Nonetheless, after the liberalization of Sweden's stock market, foreigners' purchases have led to a permanent price increase and to a reduction in the cost of equity capital. "Exchange Rate Exposure, Risk Premia, and Firm Characteristics" shows that about fifty percent of Swedish listed firms are affected by exchange rate fluctuations. The sign and magnitude of exchange rate exposure are characterized across industries as well as firm attributes. The empirical analysis suggests that exposure can be eliminated through diversification, and that exchange rate risk is not priced. "Conditioning Information in Tactical Asset Allocation" examines whether investors can exploit the predictability in time-varying expected returns on Swedish stocks and bonds. It is shown that dynamic allocation strategies, based on conditioning information, significantly outperform several benchmark portfolios. This superior performance is not only statistically significant, it is economically large. En ligne : http://www.hhs.se/Education/PhD/PhDF/Pages/default.aspx Lien associé : http://www2.hhs.se/efi/summary/544.htm

Time-varying unitary market price of risk and intertemporal asset allocation. / Nicolas Clerc / HEC Lausanne, University of Lausanne, Lausanne, Switzerland (2000) 

Titre : Time-varying unitary market price of risk and intertemporal asset allocation. Type de document : thèse Auteurs : Nicolas Clerc, Auteur Editeur : HEC Lausanne, University of Lausanne, Lausanne, Switzerland Année de publication : 2000 Langues : Anglais (eng) Catégories : Evaluation des actifs financiers Gestion de portefeuille En ligne : http://www.hec.unil.ch/hec/doctorats/theses/liste_theses?startletter=C&min_year= [...]

A Heuristic Approach to Portfolio Optimization / Evis Kellezi / Swiss Finance Institute, Switzerland (2000) 

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Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns / Oliver Linton / FMG (Financial Markets Group), LSE (London School of Economics), London, United Kingdom (2000) 

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Daily Momentum and Contrarian Behavior of Index Fund Investors / Massimo Massa / INSEAD, Finance Department, Fontainebleau, France (2000)

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EMU and Portfolio Diversification Opportunities / Kpate Adjaoute / Swiss Finance Institute, Switzerland (2000) 

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Optimal Consumption and Investment Strategies with Stochastic Interest Rates / Claus Munk / Copenhagen Business School, Copenhagen, Denmark (2000) 

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Beyond the VaR / François Longin / ESSEC, Cergy-Pontoise, France (2000) 

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Behavioral Factors in Mutual Fund Flows / Massimo Massa / INSEAD, Finance Department, Fontainebleau, France (2001)

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Investment Performance of Domestic Funds Invested in International Securities: The French Case / Vanessa Serret / CERGAM (Centre d'Etudes et de Recherche en Gestion), Université Aix-Marseille 3, France (2001) 

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Dynamic Mean-Variance Analysis / Philippe Henrotte / GREGHEC (Groupement de recherche et d'études en gestion à HEC), HEC, Paris, France (2001) 

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Portfolio Diversification: Alive and Well in Euroland! / Kpate Adjaoute / Swiss Finance Institute, Switzerland (2001) 

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Extreme Correlation of International Equity Markets / François Longin / ESSEC, Cergy-Pontoise, France (2001) 

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Mean variance efficient portfolios by linear programming / Bjarne Astrup Jensen / Copenhagen Business School, Copenhagen, Denmark (2001) 

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Mean-Variance Portfolio allocation with a Value at Risk Constraint / Enrique Sentana / FMG (Financial Markets Group), LSE (London School of Economics), London, United Kingdom (2001) 

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Ordre et chaos sur les marchés financiers : nouvel environnement de la gestion de portefeuille / Yasmine Wafic Hayek / DRM (Dauphine Recherches en Management), Université de Paris 9 Dauphine, Paris, France (2001)

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Sur une mesure d'efficience relative dans la théorie du portefeuille de Markowitz / Patrick Roger / LARGE (Laboratoire de Recherche en Economie et Gestion), Université de Strasbourg, Strasbourg, France (2001)

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Création de valeur et performance des O.P.C.V.M actions internationales / Vanessa Serret / CERGAM (Centre d'Etudes et de Recherche en Gestion), Université Aix-Marseille 3, France (2001) 

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What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model / Jean-Pierre Zigrand / FMG (Financial Markets Group), LSE (London School of Economics), London, United Kingdom (2001) 

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Application de la théorie financière au marché immobilier : construction d'un indice avec vérification empirique à Bordeaux / Alain Carton / IRGO, (Institut de Recherche en Gestion des Organisations), Université de Bordeaux 4, Bordeaux, France (2001)

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Portfolio Allocation in Transition Economies / Eric Jondeau / GREGHEC (Groupement de recherche et d'études en gestion à HEC), HEC, Paris, France (2001) 

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Les déterminants de la performance de la gestion collective : application au cas des OPCVM actions / Vanessa Serret / CERGAM (Centre d'Etudes et de Recherche en Gestion), Université Aix-Marseille 3, France (2001)

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International Portfolio Choice and the Effect of Information Costs / Makram Bellalah / DRM (Dauphine Recherches en Management), Université de Paris 9 Dauphine, Paris, France (2001) 

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Optimal Dynamic Trading Strategies with Risk Limits / Domenico Cuoco / Swiss Finance Institute, Switzerland (2001) 

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Portfolio choice under inflation / Claus Munk / Copenhagen Business School, Copenhagen, Denmark (2001) 

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Success Factors in Asset Management / Stefan Engstrom / The Economic Research Institute, Stockholm School of Economics, Stockholm, Sweden (2001) 

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Problèmes choisis sur l'intégration et la transmission d'information par les marchés financiers / Nicolas Gaussel / CES (Centre d'Economie de la Sorbonne), Université de Paris 1 Panthéon Sorbonne, Paris, France (2001)

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