Resource definition and allocation for a multi-asset portfolio with heterogeneous degradation

2021 ◽  
Vol 213 ◽  
pp. 107768
Author(s):  
Luis Dias ◽  
Armando Leitão ◽  
Luis Guimarães
Keyword(s):  
Asset Portfolio

Homeownership and Mixed–Asset Portfolio Allocations

CFA Digest ◽  
2009 ◽  
Vol 39 (4) ◽  
pp. 98-100
Author(s):  
Frank T. Magiera
Keyword(s):  
Asset Portfolio ◽  
Portfolio Allocations

Measurement of Vulnerability of Financial Portfolio of Sharia Commercial Banks by Cardona Method

2017 ◽  
Vol 9 (2) ◽  
pp. 109
Author(s):  
Paulina Harun ◽  
Atman Poerwokoesoemo
Keyword(s):  
Commercial Banks ◽  
Quantitative Research ◽  
Banking Sector ◽  
Banking Industry ◽  
Policy Makers ◽  
Factors Affecting ◽  
Section Data ◽  
Initial Stage ◽  
The Face ◽  
Asset Portfolio

his study aims to: (1) to know and analyze the extent of volatility (vulnerability) of sharia banking industry in Indonesia in the face of competition (2) to know and analyze factors affecting vulnerability of sharia commercial banks; (3) to know and analyze the extent of sustainable development of sharia banking industry to Indonesia's economic development.The research conducted to measure the vulnerability (volatility) of proto folio of syariah bank using observation period 2015, and the data used is cross section data. The research design used in this research is quantitative research, using asset dimension (asset portfolio, liability portfolio, equity portfolio) and stressor (pressure, including: credit risk, market risk, and liquidity risk).The activity plan of this research is: in the initial stage of conducting theoretical study related to the vulnerability related to banking especially BUS; The next step is to determine the asset and stressor dimensions associated with the BUS; Further determine the indicators related to assets and stressors; The next step performs calculations to determine the index of each BUS as well as the dimensions that affect the vulnerabilities faced by each BUS.Target expected outcomes can be generated from this research is: for the object of research (BUS) provide a solution for BUS to deal with and overcome the vulnerabilities encountered and policies that must be done. For policy makers, the results of this study are expected to provide input in decision-making and other policies.Measurement of vulnerability to be performed related to banking operations in the face of competition and the continuity of BUS in Indonesia. The outcomes of this study are expected to be included in Bank Indonesia journals, the selection of this journal is based on studies conducted in the banking sector, especially BUS in Indonesia.

scholarly journals A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance

Mathematics ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 1030
Author(s):  
Oscar V. De la Torre-Torres ◽  
Evaristo Galeana-Figueroa ◽  
José Álvarez-García
Keyword(s):  
Markov Switching ◽  
Stock Index ◽  
Portfolio Performance ◽  
Trading Costs ◽  
Weighting Method ◽  
Treasury Bills ◽  
Markov Switching Models ◽  
Switching Models ◽  
Asset Portfolio ◽  
Stock Portfolio

In the present paper, we test the benefit of using Markov-Switching models and volatility futures diversification in a Euro-based stock portfolio. With weekly data of the Eurostoxx 50 (ESTOXX50) stock index, we forecasted the smoothed regime-specific probabilities at T + 1 and used them as the weighting method of a diversified portfolio in ESTOXX50 and ESTOSS50 volatility index (VSTOXX) futures. With the estimated smoothed probabilities from 9 July 2009 to 29 September 2020, we simulated the performance of three theoretical investors who paid different trading costs and invested in ESTOXX50 during calm periods (low volatility regime) or VSTOXX futures and the three-month German treasury bills in distressed or highly distressed periods (high and extreme volatility regimes). Our results suggest that diversification benefits hold in the short-term, but if a given investor manages a two-asset portfolio with ESTOXX50 and our simulated portfolios, the stock portfolio’s performance is enhanced significantly, in the long term, with the presence of trading costs. These results are of use to practitioners for algorithmic and active trading applications in ESTOXX50 ETFs and VSTOXX futures.

scholarly journals DIVERSIFICATION BENEFITS IN THE FINNISH COMMERCIAL PROPERTY MARKET

2009 ◽  
Vol 13 (1) ◽  
pp. 23-35 ◽  
Author(s):  
Heidi Falkenbach
Keyword(s):  
Real Estate ◽  
21St Century ◽  
Portfolio Theory ◽  
Early Years ◽  
Property Market ◽  
Commercial Property ◽  
Main Motivation ◽  
Real Estate Investments ◽  
Asset Portfolio ◽  
In The Beginning

The Finnish commercial property market internationalised rapidly in the beginning of the 21st century. According to the portfolio theory and previous research on international property investments, the main motivation factor driving international real estate investments is the possibility to reach diversification benefits. The paper discusses the diversification benefits offered by the Finnish property market in its early years of internationalisation. As international real estate investors in the Finnish property market include investors with both real estate only, as well as mixed‐asset portfolios, the diversification benefits are studied both in terms of a Finnish mixed-asset portfolio, as well as international real estate portfolio. Santruka XXI a. pradžioje Suomijos komercinio nekilnojamojo turto rinkoje sparčiai vyko tarptautiniai procesai. Remiantis portfelio teorija ir ankstesniais tyrimais apie tarptautines investicijas i nekilnojamaji turta, pag rindinis veiksnys, kuris skatina tarptautines nekilnojamojo turto investicijas ‐ tai galimybe gauti diversifi kacijos teikiama nauda. Darbe aptariama, kokia nauda siūle Suomijos nekilnojamojo turto rinka ankstyvaisiais internacionalizacijos metais. Kadangi kai kurie Suomijos nekilnojamojo turto rinkoje veikiantys tarptautiniai nekilnojamojo turto investuotojai užsiima tik nekilnojamuoju turtu, o yra ir tokiu, kurie turi mišraus turto portfelius, diversifi kacijos nauda nagrinejama ir pagal Suomijos mišraus turto portfeli, ir pagal tarptautini nekilnojamojo turto portfeli.

Currency Uncertainty, Interest Guarantee, and Risk-Based Premiums in Life Insurance Guaranty Schemes

2020 ◽  
Vol 14 (2) ◽  
Author(s):  
Shih-Chieh Bill Chang ◽  
Yen-Kuan Lee
Keyword(s):  
Yield Enhancement ◽  
Closed Form Solutions ◽  
Regulatory Policies ◽  
Life Insurers ◽  
Put Option ◽  
Asset Portfolio ◽  
Early Closure ◽  
Currency Mismatches ◽  
The Cost ◽  
Regulatory Forbearance

AbstractThis paper investigates risk-based premiums in ex-ante insurance guaranty schemes. Exchange rate risk is incorporated into the asset portfolio to reflect the growing practice of life insurers taking offshore risks for yield enhancement. The closed-form solutions of the risk-based premium charged by the insurance guaranty fund are derived. Our premium rating includes currency mismatches between assets and liabilities, and the effects of early closure, capital forbearance, and grace periods are fully explored. First, we discover that the insurance guaranty fund premium is underestimated if currency fluctuation uncertainty is overlooked. Second, the premium is higher under regulatory forbearance than it is under the Merton stock put option, which implies that the cost is substantial. Finally, we note that the premium increases with higher financial leverage and greater foreign exposure in the asset portfolio. The results of our analysis provide further insight for regulators to implement regulatory policies and insurance guaranty schemes.

Household Debt in Early Modern Germany: Evidence from Personal Inventories

2012 ◽  
Vol 72 (1) ◽  
pp. 134-167 ◽  
Author(s):  
SHEILAGH OGILVIE ◽  
MARKUS KÜPKER ◽  
JANINE MAEGRAITH
Keyword(s):  
Seventeenth Century ◽  
Early Modern ◽  
Rural Economy ◽  
Ordinary People ◽  
Early Modern Europe ◽  
Data Set ◽  
Modern Germany ◽  
Status Occupation ◽  
Asset Portfolio ◽  
Rich Data

The “less-developed” interior of early modern Europe, especially the rural economy, is often regarded as financially comatose. This article investigates this view using a rich data set of marriage and death inventories for seventeenth-century Germany. It first analyzes the characteristics of debts, examining borrowing purposes, familial links, communal ties, and documentary instruments. It then explores how borrowing varied with gender, age, marital status, occupation, date, and asset portfolio. It finds that ordinary people, even in a “less-developed” economy in rural central Europe, sought to invest profitably, smooth consumption, bridge low liquidity, and hold savings in financial form.

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