Financial Markets and Portfolio Management

Financial Markets and Portfolio Management OnlineFirst articles

24.06.2022

Constrained portfolio strategies in a regime-switching economy

We implement an allocation strategy through a regime-switching model using recursive utility preferences in an out-of-sample exercise accounting for transaction costs. We study portfolios turnover and leverage, proposing two procedures to …

21.06.2022

Will the reddit rebellion take you to the moon? Evidence from WallStreetBets

In early 2021, several stocks receiving attention from retail traders known as “meme stocks” soared in value. A primary source of information regarding these stocks is from the social media platform Reddit, specifically from a subreddit known as …

11.06.2022 | Book Review

The economics of monetary unions: past experiences and the eurozone

24.05.2022

Response of ETF flows and long-run returns to investor sentiment

ETFs combine features of open-end and closed-end funds. In this paper, we investigate how the unique characteristics affect ETFs’ response to investor sentiment. We employ a novel identification strategy to distinguish between the response of …

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 …

PDF-Version jetzt herunterladen Zum Volltext