Auflistung LIF-SAFE Working Papers nach Schlagwort "asset allocation"
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"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors
(2015-07-31)In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with ... -
Optimal Asset Allocation for Interconnected Life Insurers in the Low Interest Rate Environment Under Solvency Regulation
(2014-12-01)I assess how Basel III, Solvency II and the low interest rate environment will affect the financial connection between the bank and insurance sector by changing the funding patterns of banks as well as the investment ... -
Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization
(2013-04-18)This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden ... -
Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios
(2013-03-21)This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested In risky assets is an increasing and concave function of financial wealth, ...