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Financial Markets and Portfolio Management

Financial Markets and Portfolio Management OnlineFirst articles

31-07-2020

Flight-to-quality in the stock–bond return relation: a regime-switching copula approach

This paper examines the existence, intensity and international dependence of flight-to-quality from stocks to government bonds. To this end, we develop a two-state regime-switching bivariate copula model and apply it to the domestic and …

02-07-2020

A new unbiased additive robust volatility estimation using extreme values of asset prices

We propose a new unbiased robust volatility estimator based on extreme values of asset prices. We show that the proposed Add Extreme Value Robust Volatility Estimator (AEVRVE) is unbiased and is 2–3 times more efficient relative to the Classical …

25-06-2020

Time-consistent mean–variance asset-liability management in a regime-switching jump-diffusion market

This paper investigates the time-consistent optimal control of a mean–variance asset-liability management problem in a regime-switching jump-diffusion market. The investor (a company) is investing in the market with one risk-less bond and one …

17-06-2020

Behavioral portfolio insurance strategies

Portfolio insurance strategies that ensure a certain minimum portfolio value or floor such as the Constant Proportion Portfolio Insurance (CPPI) and the Option-based Portfolio Insurance are economically important and widely spread among the …

09-06-2020

A literature review of new methods in empirical asset pricing: omitted-variable and errors-in-variable bias

Standard procedures in empirical asset pricing suffer from various issues that are common to all regression-based methods. This work reviews recently introduced approaches that aim to mitigate problems associated with omitted factors and …

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About this journal

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.

Officially cited as:

Financ Mark Portf Manag

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