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Auswahl der wissenschaftlichen Literatur zum Thema „Portfolio Premiums“
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Zeitschriftenartikel zum Thema "Portfolio Premiums"
Falin, Gennady I. „On the Optimal Pricing of a Heterogeneous Portfolio“. ASTIN Bulletin 38, Nr. 01 (Mai 2008): 161–70. http://dx.doi.org/10.2143/ast.38.1.2030408.
Der volle Inhalt der QuelleFalin, Gennady I. „On the Optimal Pricing of a Heterogeneous Portfolio“. ASTIN Bulletin 38, Nr. 1 (Mai 2008): 161–70. http://dx.doi.org/10.1017/s0515036100015117.
Der volle Inhalt der QuelleVilar-Zanón, José L., und Cristina Lozano-Colomer. „On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation“. ASTIN Bulletin 37, Nr. 02 (November 2007): 405–28. http://dx.doi.org/10.2143/ast.37.2.2024074.
Der volle Inhalt der QuelleVilar-Zanón, José L., und Cristina Lozano-Colomer. „On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation“. ASTIN Bulletin 37, Nr. 2 (November 2007): 405–28. http://dx.doi.org/10.1017/s0515036100014938.
Der volle Inhalt der QuelleHsieh, Heng-Hsing, und Kathleen Hodnett. „Cross-Sector Style Analysis Of Global Equities Based On The Fama And French Three-Factor Model“. International Business & Economics Research Journal (IBER) 11, Nr. 2 (17.07.2012): 161. http://dx.doi.org/10.19030/iber.v11i2.7156.
Der volle Inhalt der QuelleSehgal, Sanjay, und Vidisha Garg. „Cross-sectional Volatility and Stock Returns: Evidence for Emerging Markets“. Vikalpa: The Journal for Decision Makers 41, Nr. 3 (August 2016): 234–46. http://dx.doi.org/10.1177/0256090916650951.
Der volle Inhalt der QuelleNewell, Graeme, John MacFarlane und Roger Walker. „Assessing energy rating premiums in the performance of green office buildings in Australia“. Journal of Property Investment & Finance 32, Nr. 4 (01.07.2014): 352–70. http://dx.doi.org/10.1108/jpif-10-2013-0061.
Der volle Inhalt der QuelleChung, Yi-Tsai, Tung Liang Liao und Yi-Chein Chiang. „The selection of popular trading strategies“. Managerial Finance 41, Nr. 6 (08.06.2015): 563–81. http://dx.doi.org/10.1108/mf-05-2014-0121.
Der volle Inhalt der QuelleAfonso, Lourdes B., Alfredo D. Egídio dos Reis und Howard R. Waters. „Numerical Evaluation of Continuous Time Ruin Probabilities for a Portfolio with Credibility Updated Premiums“. ASTIN Bulletin 40, Nr. 1 (Mai 2010): 399–414. http://dx.doi.org/10.2143/ast.40.1.2049236.
Der volle Inhalt der QuelleKousenidis, Dimitrios V., Dimitrios I. Maditinos und Željko Šević Šević. „The Premium/Discount Of Closed-End Funds As A Measure Of Investor Sentiment: Evidence From Greece“. Journal of Applied Business Research (JABR) 27, Nr. 4 (20.06.2011): 29. http://dx.doi.org/10.19030/jabr.v27i4.4655.
Der volle Inhalt der QuelleDissertationen zum Thema "Portfolio Premiums"
Carlsson, Frida, und Malin Strömberg. „Is there a Real Estate Portfolio Premium? : An Empirical Analysis of Portfolio Premiums“. Thesis, KTH, Fastigheter och byggande, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-298065.
Der volle Inhalt der QuelleDetta masterarbete syftar till att undersöka fenomenet portföljpremier och bidra till utökad kunskap om premier och möjliga förklaringar till varför de uppkommer. Författarna har undersökt om det går att kvantifiera den påstådda portföljpremien och om denna skiljer sig över fastighetsegmenten och tid. Syftet med arbete är att bidrag med värdefulla insikter och kunskap om portföljpremier inom fastighetsbranschen. För att kunna besvara frågeställningen utvecklade författarna en regressionsmodell. Modellen innehöll sex portföljvariabler som bland annat kontrollerade för storlek i förhållande till transaktionsvärde samt antal fastigheter inkluderade i portföljen. För att undersöka om premien varierade över fastighetssegment och med tid utfördes fem olika segmentstest och två års tester. Data som användes i regressionerna tillhandahölls av Cushman & Wakefield. Resultatet av studien visar att det finns en portföljpremie på små, medelstora och stora fastighetsportföljer med ett transaktionsvärde över 500 millioner kronor. Premien noterades till 17,5% för små portföljer, 16,8% för medelstora portföljer och 26,3% för stora portföljer. Medans en premie noterades för portföljer med ett transaktionsvärde över 500 millioner kronor kunde en rabatt om 13,7% hittas för små portföljer med etttransaktionsvärde under 500 millioner kronor. Segmenttesten som genomfördes gav blandade resultat. De test som gav signifikanta resultat var segmentstest för industri och bostäder. Resultatet av regressionen visade att det finns en rabatt för små och medelstora bostadsportföljer med ett transaktionsvärde överstigande 500 millioner kronor samt en rabatt för små industriportföljer med ett transaktionsvärde över 500 millioner kronor. Utöver segmentstesten gjordes även två tester där författarna testade om premien varierade över tid. Likaså här gav testerna blandade resultat. Det kan konstateras att en premie återfinns för portföljer handlade under perioden 2010 - 2015.
Blease, John Robert. „The effect of the portfolio of takeover provisions on operating performance, takeovers, and takeover premiums /“. view abstract or download file of text, 2002. http://wwwlib.umi.com/cr/uoregon/fullcit?p3045084.
Der volle Inhalt der QuelleTypescript. Includes vita and abstract. Includes bibliographical references (leaves 112-118). Also available for download via the World Wide Web; free to University of Oregon users.
Li, Yuming. „Univariate and multivariate measures of risk aversion and risk premiums with joint normal distribution and applications in portfolio selection models“. Thesis, University of British Columbia, 1987. http://hdl.handle.net/2429/26110.
Der volle Inhalt der QuelleBusiness, Sauder School of
Graduate
Bjurgert, Johan, und Marcus Edstrand. „Forecasting the Equity Premium and Optimal Portfolios“. Thesis, Linköping University, Department of Mathematics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-11795.
Der volle Inhalt der QuelleThe expected equity premium is an important parameter in many financial models, especially within portfolio optimization. A good forecast of the future equity premium is therefore of great interest. In this thesis we seek to forecast the equity premium, use it in portfolio optimization and then give evidence on how sensitive the results are to estimation errors and how the impact of these can be minimized.
Linear prediction models are commonly used by practitioners to forecast the expected equity premium, this with mixed results. To only choose the model that performs the best in-sample for forecasting, does not take model uncertainty into account. Our approach is to still use linear prediction models, but also taking model uncertainty into consideration by applying Bayesian model averaging. The predictions are used in the optimization of a portfolio with risky assets to investigate how sensitive portfolio optimization is to estimation errors in the mean vector and covariance matrix. This is performed by using a Monte Carlo based heuristic called portfolio resampling.
The results show that the predictive ability of linear models is not substantially improved by taking model uncertainty into consideration. This could mean that the main problem with linear models is not model uncertainty, but rather too low predictive ability. However, we find that our approach gives better forecasts than just using the historical average as an estimate. Furthermore, we find some predictive ability in the the GDP, the short term spread and the volatility for the five years to come. Portfolio resampling proves to be useful when the input parameters in a portfolio optimization problem is suffering from vast uncertainty.
Sarama, Robert F. Jr. „Asset Pricing and Portfolio Choice in the Presence of Housing“. The Ohio State University, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=osu1275434630.
Der volle Inhalt der QuelleGupta, Rajat. „Diversification Premium on Indian ADRs During the Financial Crisis“. Scholarship @ Claremont, 2010. http://scholarship.claremont.edu/cmc_theses/23.
Der volle Inhalt der QuelleLagerwall, Björn. „Empirical studies of portfolio choice and asset prices“. Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-545.
Der volle Inhalt der QuelleDiss. Stockholm : Handelshögsk., 2004
Khouchaba, Ninos, und Emilia Svensson. „Optimal portfolio selection and risk-adjusted performance of 51 equity funds available in the Swedish premium pension“. Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-39881.
Der volle Inhalt der QuelleŠkaroupka, Petr. „Návrh pojistného portfolia pro společnost ÚKLIDOVÝ SERVIS ŠKAROUPKA s. r.o“. Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2009. http://www.nusl.cz/ntk/nusl-222070.
Der volle Inhalt der QuelleGuimarães, Pedro Henrique Engel. „Three essays on macro-finance: robustness and portfolio theory“. reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/19926.
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This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries including both Advanced Economies (AE) and Emerging Markets (EM). In the second article, we develop a general robust allocation framework that is capable of dealing with parametric and non parametric asset allocation models. In the final paper, I investigate portfolio selection criteria and analyze a set of portfolios out of sample performance in terms of Sharpe ratio (SR) and Certainty Equivalent (CEQ)
Bücher zum Thema "Portfolio Premiums"
Froot, Kenneth. The pricing of event risks with parameter uncertainty. Cambridge, MA: National Bureau of Economic Research, 2001.
Den vollen Inhalt der Quelle findenEkelund, Robert B., John D. Jackson und Robert D. Tollison. Early and Contemporary American Art as Investment Vehicles. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780190657895.003.0005.
Der volle Inhalt der QuelleBack, Kerry E. Continuous-Time Topics. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0015.
Der volle Inhalt der QuelleP, Ambachtsheer Keith, Sharpe William F, Sherrerd Katrina F und Intstitute of Chartered Financial Analysts., Hrsg. Quantifying the market risk premium phenomenon for investment decision making: September 26-27, 1989, New York, New York. Charlottesville, VA: CFA, 1990.
Den vollen Inhalt der Quelle findenBack, Kerry E. Learning. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0023.
Der volle Inhalt der QuelleBack, Kerry E. Dynamic Asset Pricing. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0010.
Der volle Inhalt der QuelleBuchteile zum Thema "Portfolio Premiums"
Gabudean, Radu C., Kwok Yuen Ng und Bruce D. Phelps. „Credit Risk Premium: Measurement, Interpretation and Portfolio Allocation“. In Modern Multi-Factor Analysis of Bond Portfolios: Critical Implications for Hedging and Investing, 78–110. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1007/978-1-137-56486-3_5.
Der volle Inhalt der Quelle„Nonhomogeneous Assets (“Portfolio”) Discounts“. In Business Valuation Discounts and Premiums, 291–99. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119197539.ch19.
Der volle Inhalt der QuelleOrlović, Zrinka, Zrinka Lovretin Golubić und Davor Zoričić. „Momentum Investing Across Different Asset Classes“. In Recent Applications of Financial Risk Modelling and Portfolio Management, 297–315. IGI Global, 2021. http://dx.doi.org/10.4018/978-1-7998-5083-0.ch015.
Der volle Inhalt der QuelleToudas, Kanellos Stylianou. „Downside Risk Premium“. In Machine Learning Applications for Accounting Disclosure and Fraud Detection, 138–47. IGI Global, 2021. http://dx.doi.org/10.4018/978-1-7998-4805-9.ch010.
Der volle Inhalt der Quelle„Risk Premiums in Commodity Portfolios“. In Contemporary Economic Analysis (Routledge Revivals), 403–16. Routledge, 2016. http://dx.doi.org/10.4324/9781315619828-22.
Der volle Inhalt der Quelle„How Best to Capture the Spread Premium of Corporate Bonds?“ In Quantitative Credit Portfolio Management, 265–93. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119202851.ch12.
Der volle Inhalt der Quelle„Practitioner Client Portfolios, the Risk Premium, and Time Diversification“. In Stock Markets, Investments and Corporate Behavior, 191–202. IMPERIAL COLLEGE PRESS, 2015. http://dx.doi.org/10.1142/9781783267002_0011.
Der volle Inhalt der QuelleLabajo, Victoria. „Premium and Value-Added Private Labels“. In Handbook of Research on Strategic Retailing of Private Label Products in a Recovering Economy, 307–32. IGI Global, 2016. http://dx.doi.org/10.4018/978-1-5225-0220-3.ch013.
Der volle Inhalt der QuelleKlepac, Goran. „Risk Evaluation in the Insurance Company Using REFII Model“. In Transportation Systems and Engineering, 748–68. IGI Global, 2015. http://dx.doi.org/10.4018/978-1-4666-8473-7.ch038.
Der volle Inhalt der QuelleKlepac, Goran. „Risk Evaluation in the Insurance Company Using REFII Model“. In Intelligent Techniques in Recommendation Systems, 84–104. IGI Global, 2013. http://dx.doi.org/10.4018/978-1-4666-2542-6.ch005.
Der volle Inhalt der QuelleKonferenzberichte zum Thema "Portfolio Premiums"
Dai, Xianhua, und Hong Li. „Optimal Portfolio and Equity Premium Puzzle“. In 2011 International Conference on Management and Service Science (MASS 2011). IEEE, 2011. http://dx.doi.org/10.1109/icmss.2011.5998535.
Der volle Inhalt der QuelleKatsikis, Vasilios N. „An alternative computational method for finding the minimum-premium insurance portfolio“. In INTERNATIONAL CONFERENCE OF NUMERICAL ANALYSIS AND APPLIED MATHEMATICS 2015 (ICNAAM 2015). Author(s), 2016. http://dx.doi.org/10.1063/1.4952256.
Der volle Inhalt der QuelleMing, Dong. „Level Premium Model for Portfolio of Life Insurance Contracts with Stochastic Interest Rates“. In 2006 International Conference on Management Science and Engineering. IEEE, 2006. http://dx.doi.org/10.1109/icmse.2006.314037.
Der volle Inhalt der QuelleYu, Li-sheng, und Yan-yan Wang. „The impact of increased litigation cost on audit pricing premiums and auditors’ client portfolios“. In 2008 International Conference on Management Science and Engineering (ICMSE). IEEE, 2008. http://dx.doi.org/10.1109/icmse.2008.4669143.
Der volle Inhalt der QuelleBernet, Juerg, und Paul Lensing. „The Green Alpha Index: Harvesting the Financial Premium of Green Factors in Real Estate Assets and Portfolios – An Empirical Methodology for Applied Decision Making“. In 25th Annual European Real Estate Society Conference. European Real Estate Society, 2016. http://dx.doi.org/10.15396/eres2016_350.
Der volle Inhalt der QuelleVandervort, Christian, David Leach, David Walker und Jerry Sasser. „Commercialization and Fleet Experience of the 7/9HA Gas Turbine Combined Cycle“. In ASME Turbo Expo 2019: Turbomachinery Technical Conference and Exposition. American Society of Mechanical Engineers, 2019. http://dx.doi.org/10.1115/gt2019-91594.
Der volle Inhalt der QuelleBerichte der Organisationen zum Thema "Portfolio Premiums"
Rojas-Bernal, Alejandro, und Mauricio Villamizar-Villegas. Pricing the exotic: Path-dependent American options with stochastic barriers. Banco de la República de Colombia, März 2021. http://dx.doi.org/10.32468/be.1156.
Der volle Inhalt der QuelleVargas-Herrera, Hernando, Juan Jose Ospina-Tejeiro, Carlos Alfonso Huertas-Campos, Adolfo León Cobo-Serna, Edgar Caicedo-García, Juan Pablo Cote-Barón, Nicolás Martínez-Cortés et al. Monetary Policy Report - April de 2021. Banco de la República de Colombia, Juli 2021. http://dx.doi.org/10.32468/inf-pol-mont-eng.tr2-2021.
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