Resources
BNET Resources
- sort by:
- Relevance
- Date
- Popularity
- Is Information Risk a Determinant of Asset Returns?
- There are various factors affecting the asset returns. Among them the major factor is trading. This article investigate the role of information-based trading in affecting asset returns. It shows in a rational expectation example how private information affects equilibrium asset returns. Using a market microstructure model, it derive a measure...
- White papers 2003-01-01
- Dynamic Strategies, Asset Pricing Models, And The Out-Of-Sample Performance Of The Tangency Portfolio
- This paper study the behavior of an investor with unit risk aversion who maximizes a utility function defined over the mean and the variance of a portfolio's return. Conditioning information is accessible without cost and an unconditionally risk less asset is available in the market. The proposed approach makes it...
- White papers 2003-02-01
Additional Resources
- Assessing Risk-adjusted Rate of Return
- Risk-adjusted Rate of Return is a performance measure that adjusts for the initial risk an investor takes at the time of a purchase.Every investor works with risk, but if they can quantify it, they should be able to make more informed decisions about which risks are worth taking. Calculating risk-adjusted...
- Articles 2007-12-12
- An Equilibrium Model Of Asset Pricing And Moral Hazard
- Using the Capital Asset Pricing Model CAPM as a benchmark, this article develops an integrated model of asset pricing and moral hazard. The expected excess returns for risky assets, optimal contracts for managers agents that involve relative performance, and equilibrium asset prices are explicitly characterized. It is shown that the...
- White papers 2003-08-10
- Capital Asset Pricing Model Integrating both Firm and Market
- This paper proposes a theoretical framework to incorporate a firm's intrinsic value and market-trading value into asset pricing model. It shows that asset return can be decomposed into two components. The first component, called the firm factor, is related to the output of a firm and is proportional to return...
- White papers 2003-07-01
- Generalized Asset Value Credit Risk Models and Risk Minimality of the Classical Approach
- We place the asset value credit portfolio model in the larger context of generalized correlation models where the normal distribution assumption of asset returns is replaced by an abstract elliptical distribution. Based on closed-form solutions for homogenous portfolios, we show in particular that the classical asset value model is not...
- White papers 2003-05-01
- Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
- The paper considers three sets of phenomena that feature prominently and separately in the financial economics literature: conditional mean dependence or lack thereof in asset returns, dependence and hence forecastability in asset return signs and dependence and hence forecastability in asset return volatilities. It shows that they are very much...
- White papers 2003-10-01
- Financial Asset Returns, Market Timing, and Volatility Dynamics
- This article considers three sets of phenomena that feature prominently and separately in the financial economics literature: conditional mean dependence or lack thereof in asset returns, dependence and hence forecastability in asset return signs with implications for market timing, and dependence and hence forecastability in asset return volatilities. It shows...
- White papers 2002-01-02
- Why Do Asset Prices Not Follow Random Walks?
- This paper analyzes the effect of non-constant elasticity of the pricing kernel on asset return characteristics. It is shown that declining elasticity of the pricing kernel can lead to predictability of asset returns and high and persistent volatility. Also, declining elasticity helps to explain the use of technical analysis and...
- White papers 2004-01-01
- Risk and Return Perceptions of Institutional Investors
- This study examines the responses of a survey mailed to portfolio managers for large pension funds and insurers regarding their perceptions of the inherent risk and return of twenty investment choices. The purpose of the study is to determine whether large portfolio managers perceive the inherent risk of a specific...
- White papers 2003-01-01
- Developing a Capital Asset Pricing Model
- CAPM describes the relationship between risk and expected return for an individual portfolio or security. Its underlying theory has prompted lively discussion about what "risk" actually means, asserting that only "systematic" (non-diversified) risk brings real reward to investors. Systematic risk is unavoidable, market-oriented risk that cannot be averaged out through...
- Articles 2007-10-12
- Asset Allocation In The Presence Of Varying Returns, Contribution Scenarios And Investment Horizons
- The article talks about the individual investors for those asset allocations are often cited as the most important decision in the investment process. The success of any asset allocation strategy depends on a host of related variables. This article also explains the role of the asset allocation decision in the...
- White papers 2003-04-01
- DWS Dreman High Return Equity Fund: All That Glitters Isn't Gold
- David Dreman is a rarity in the mutual fund industry -- he's a fund manager who has actually beaten his benchmark over the long term. Since 1988, his DWS Dreman High Return Equity Fund has earned 8.3 percent annually, slightly outpacing the Russell 3000 Value Index's eight percent return. Despite...
- Blog posts 2009-04-27
- Issues In Asset Allocation: Introduction
- The article talks about the asset allocation, there is a division of asset allocation into three categories: policy or strategic asset allocation, tactical asset allocation and dynamic strategies for asset allocation, which are designed to change the distribution of return. The strategic asset allocation can be characterized as a long-term...
- White papers 2001-06-19
- Asset Allocation and Mutual Funds
- Asset allocation is the current rage of the mutual fund industry. In its simplest terms, asset allocation refers to the process of adjusting the relative proportion of different asset classes in an investment portfolio. Precisely because it is so popular, the merits of asset allocation tend to be accepted uncritically....
- White papers
- The Return Due to Diversification of Real Estate to the US Mixed-Asset Portfolio
- Booth and Fama (1992) observe that the compound return and so the terminal wealth of a portfolio is greater than the weighted average of the compound returns of the individual investments, a difference referred to as the return due to diversification RDD. Thus, assets that offer high RDD should be...
- White papers 2003-06-01
- News: Derivatives move adds 8.4% to DeAM returns.(Deutsche Asset Management)
- Deutsche Asset Management's DeAM move into derivatives a year ago appears to have paid off with an 8.4 per cent return in its balanced fund compared to a 4.8 per cent UK Gilts benchmark return at the end of the second quarter. Deutsche Asset...
- Research articles 2002-09-09
- Kayne Anderson Energy Total Return Fund, Inc. Announces Its Net Asset Value and Asset Coverage Ratio at September 30, 2008
- Kayne Anderson Energy Total Return Fund, Inc. (the "Fund") (NYSE: KYE) today announced its net asset value and asset coverage ratio under the Investment Company Act of 1940 ("the 1940 Act") as of September 30, 2008. As of close of business September 30, 2008, the Fund's net assets were...
- Research articles 2008-10-02
- Kayne Anderson Energy Total Return Fund, Inc. Announces Its Net Asset Value and Asset Coverage Ratio at October 31, 2008
- Kayne Anderson Energy Total Return Fund, Inc. (the "Fund") (NYSE: KYE) today announced its net asset value and asset coverage ratio under the Investment Company Act of 1940 ("the 1940 Act") as of October 31, 2008. As of close of business October 31, 2008, the Fund's net assets were...
- Research articles 2008-11-03
- Kayne Anderson Energy Total Return Fund, Inc. Provides Unaudited Balance Sheet Information and Announces Its Net Asset Value and Asset Coverage Ratio at January 31, 2009
- Kayne Anderson Energy Total Return Fund, Inc. (the "Fund") (NYSE: KYE) today provided a summary unaudited balance sheet and announced its net asset value and asset coverage ratio under the Investment Company Act of 1940 (the "1940 Act") as of January 31, 2009. As of January 31, 2009, the...
- Research articles 2009-02-03
- << Previous
- page 1 of 1
- Next >>
Presented by American Express