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Financial Markets and Portfolio Management OnlineFirst articles


FMPM Best Paper Award 2021

Open Access 05-05-2022

A stochastic Asset Liability Management model for life insurance companies

We build a stochastic Asset Liability Management (ALM) model for a life insurance company. Therefore, we deal with both an asset portfolio, made up of bonds, equity and cash, and a liability portfolio, comprising with-profit life insurance …

Open Access 30-03-2022

Interest rate shocks, competition and bank liquidity creation

We study the effects of interest rate shocks (IRS) on banks’ liquidity creation. A unique supervisory data set from the Deutsche Bundesbank allows identifying banks’ liquidity creation for the real economy and the effects of banking market …

Open Access 30-03-2022

How online discussion board activity affects stock trading: the case of GameStop

In January 2021, the stock price of NASDAQ-listed GameStop Corporation surged more than twenty-fold for no discernible economic reason. Many observers attributed this broadly covered rise to retail investors, organizing themselves in Reddit’s …


Beyond mean–variance: assessing hedge fund performance in a non-parametric world

This paper uses Data Envelopment Analysis (DEA) to compare the performance of hedge funds to that of equities. The analysis covers the period from January 1999 to December 2013 and shows that under a mean–variance DEA, hedge funds significantly …

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The official publication of the Swiss Financial Analysts Association, Financial Markets and Portfolio Management (FMPM), addresses all areas of finance, including financial markets, portfolio theory and wealth management, asset pricing, corporate finance, corporate governance, alternative investments, risk management, and regulation. The journal serves as a bridge between innovative research and its practical applications.

FMPM publishes academic and applied research articles, shorter "Perspectives," book reviews, and survey articles dedicated to current topics of interest to the financial community.

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Financ Mark Portf Manag

Financial Markets and Portfolio Management
Volume 15/2001 - Volume 36/2022
Springer US
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