infonet-economy

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided. In an application to stock market…

Performance of investment managers is predominantly evaluated against targeted benchmarks, such as stock, bond or commodity indices. However, most professional databases
do not retain timeseries for companies that disappeared, and do not necessarily track the change of constitution in these benchmarks. Consequently, standard tests of performance suffer from the “look-ahead…

Vermögende Kunden weisen eine ausgeprägte Wertschätzung für persönliche Anlageberatung auf. Dies zeigt eine repräsentative Studie des Institutes für schweizerisches Bankenwesen der Universität Zürich. Befragt wurden Schweizer Private Banking Kunden sowie Kundenberater und Exponenten des Managements Schweizer Vermögensverwalter. Allerdings geht aus der Studie auch hervor, dass sich…

Purpose – In order to classify individuals based on their needs, this paper aims to consider both self-stated attitudes and behaviours in a comprehensive range of daily financial affairs. Furthermore, it aims to study the impacts of socio-demographic variables such as gender, age, and education.

Design/methodology/approach – A questionnaire was answered by 1,282 respondents in…

The development of unit root tests continues unabated, with many recent contributions using techniques such as generalized least squares (GLS) detrending and recursive detrending to improve the power of the test. In this article, the relation between the seemingly disparate tests is demonstrated by algebraically nesting all of them as ratios of quadratic forms in normal variables. By…

We show that prospect theory is a valuable paradigm for wealth management. It describes well how investors perceive
risk and with appropriate modeling it can be made consistent with rational decision making. Moreover, it can be
represented in a simple reward-risk diagram so that the main ideas are easily communicated to clients. Finally, we
show on data from a large…

The paper examines a game-theoretic evolutionary model of an asset market with endogenous equilibrium asset prices. Assets pay dividends that are partially consumed and partially reinvested. The investors use general, adaptive strategies (portfolio rules), distributing their wealth between assets, depending on the exogenous states of the world and the observed history of the game.…

This paper is concerned with clarifying the link between risk measurement and capital efficiency. For this purpose we introduce risk measurement as the minimum cost of making a position acceptable by adding an optimal combination of multiple eligible assets. Under certain assumptions, it is shown that these risk measures have properties similar to those of coherent risk measures. The…