Search results for "Fin"
showing 10 items of 15836 documents
Dynamic Volatility Weighting in the Presence of Transaction Costs
2015
Numerous empirical studies demonstrate the superiority of dynamic strategies with volatility weighting over time mechanism. These strategies control the portfolio risk over time by adjusting the risk exposure according to updated volatility forecasts. Yet, in order to reap all benefits promised by volatility weighting over time, the composition of the active portfolio must be revised rather frequently. Transaction costs represent a serious obstacle to benefiting from this dynamic risk control technique. In this paper we propose a modified volatility weighting strategy that allows one to reduce dramatically the amount of trading costs. The empirical evidence shows that the advantages of the …
The determinants of subjective economic well-being: an analysis on Italian-Silc data
2011
Using Italian data on Income and living conditions for the year 2005, the paper investigates the main determinants of households’ subjective economic well-being by means of a Partial Proportional Ordered Logit Model. According to a joint subjective and objective perspective of analysis, we use as dependent variable the perceived ability of households to make ends meet. Whereas, we use as explanatory variables some objective aspects of living conditions relating to housing, financial equilibrium, possession of durables and quality of residence place and some socio-demographic characteristics. The empirical results show that the financial strain is the most relevant dimension of living condit…
The value of integrative risk management for insurance products with guarantees
2001
Insurance liabilities are converging with capital markets products (e.g. derivatives and securitizations), thereby increasing the demand for integrated asset and liability management strategies. This article compares the value-added by an integrative approach-based on scenario optimization modelling-relative to traditional risk management methods. The authors present some examples of products offered by the insurance industry in Italy, and apply the results of the analysis to the design of competitive insurance policies. © Emerald Backfiles 2007.
Ethical Behaviour and Operating Performance of Insurance Broker Firms
2015
In this research we investigate whether there is a relationship between the ethical behaviour of insurance brokers and their operating performance. Specifically, we focus on the practice of deferring the premiums charged to clients in order to invest them in short–term financial products and, as a result, gain an additional financial return to their traditional sources of income. We consider this practice to be an unethical behaviour since uninformed clients, that is, those who are not aware of the legal process of brokerage, expect the broker to immediately process the policy with the insurance company once the premium has been paid. We find that the better the performance and the larger t…
Does bonus deferral reduce risk-taking?
2015
AbstractThe common thinking that deferring bonus payments makes an agent more risk averse isfalse. We characterize continuous-time risk taking and show that the introduction of deferralincreases risk taking at any time when the realized asset value is large or small. For realizedasset values in-between we characterize the parameterizations of deferral for which risk tak-ing decreases and discuss trade-offs in setting the deferral parameters.Keywordsbonus, risk taking, risk aversion, deferral ratioJEL Classi cationG28, G38 ∗ This paper circulated previously under the title \Bonus Deferral Does Not Choke Excessive Risk Taking."We are grateful for comments and suggestions from seminar participa…
Linear and nonlinear interest rate exposure in Spain
2010
PurposeThis paper aims to carry out a comprehensive analysis of the influence of interest rate risk on Spanish firms at the industry level.Design/methodology/approachThe methodology employed has its origin in the two‐index linear regression model proposed by Stone. This traditional interest rate exposure model has been extended in this paper to allow for a nonlinear exposure component as well as the presence of asymmetric behaviour in the exposure pattern.FindingsInterest rate exposure is not homogeneous for all the Spanish industries. In line with other markets, highly leveraged industries (construction and real estate), regulated industries (electrical and utilities), and banking industry…
Portfolio performance evaluation with loss aversion
2011
In this paper we consider a loss-averse investor equipped with a specific, but still quite general, utility function motivated by behavioral finance. We show that, under certain concrete assumptions concerning the form of this utility, one can derive closed-form solutions for the investor's portfolio performance measure. We investigate the effects of loss aversion and demonstrate its important role in performance measurement. The framework presented in this paper also provides a sound theoretical foundation for all known performance measures based on partial moments of the distribution.
Identifying Portfolio-Based Systematic Risk Factors in Equity Markets
2015
Four new prominent asset pricing factors have recently been proposed. We test whether these factors fulfill necessary conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk-based explanations.
Ethical Dilemmas in Finnish Debt Collection – An Explorative Case Study
2016
It is inevitable that ethical questions arise in debt collection organizations and leadership, which is then good ground to identify whether debt collection is good or evil. Therefore we consider that a good standpoint for qualitatively explain the ethical dilemmas arising in our case study context. The article adopts a case study approach to examine Finnish Collection Agency Ltd., and applies a qualitative content analysis of interview data gathered by asking five employees to answer ten questions about how they see conflicts between their work and their own ethical thoughts. We obtained a rich description of the issues facing the debt collection business in Finland. In addition, the conce…
Acute effects of different foam rolling volumes in the interset rest period on maximum repetition performance
2017
Background - Foam rolling (FR) is a ubiquitous intervention utilised for the purpose of acutely increasing the range of motion without subsequent decreases in performance. Thus, it is commonly used during the periworkout period—that is, prior to, during, or after an athlete's workout.\ud \ud Objective - This study investigated how different FR durations applied to the quadriceps during the interset rest periods affects the numbers of repetitions in the knee extension exercise.\ud \ud Methods - Twenty-five females completed four sets of knee extensions with 10 repetitions of maximum load to concentric failure on four occasions. Between each set, a 4-minute rest interval was implemented in wh…