Search results for "Portfolio"

Warren Buffett versus Zvi Bodie: Should You Buy Or Sell Put Options?

2021

Academics and investment professionals often disagree when it comes to investment advice. Legendary investor Warren Buffett is a proponent of time diversification and firmly believes that stocks are less risky in the long run. Therefore, he often sells long-term put options instead of buying them for portfolio protection. By contrast, the famous finance professor Zvi Bodie argues that time diversification is a fallacy and, therefore, his advice to fund managers is to buy long-term portfolio insurance. In this article, we consider the optimal portfolio choice problem for a loss-averse investor. First, we demonstrate that our loss-averse investor subscribes to the principle of time diversific…

"Alliance Portfolio Diversity, Organizational Slack, and Firm Financial Performance"

2014

We investigate how the availability of slack influences a firm’s ability to deal with alliance portfolio diversity. Alliances with diverse partners provide access to a broader pool of complementary...

Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case

2006

Abstract Modern insurance products are becoming increasingly complex, offering various guarantees, surrender options and bonus provisions. A case in point are the with-profits insurance policies offered by UK insurers. While these policies have been offered in some form for centuries, in recent years their structure and management have become substantially more involved. The products are particularly complicated due to the wide discretion they afford insurers in determining the bonuses policyholders receive. In this paper, we study the problem of an insurance firm attempting to structure the portfolio underlying its with-profits fund. The resulting optimization problem, a non-linear program…

The impact of systemic and illiquidity risk on financing with risky collateral

2015

Abstract Repurchase agreements (repos) are one of the most important sources of funding liquidity for many financial investors and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given to the borrower is the market value of the collateral, reduced by an amount termed as haircut (or margin). The haircut protects the capital lender from loss of value of the collateral contingent on the borrower׳s default. For this reason, the haircut is typically calculated with a simple Value at Risk estimation of the collateral for the purpose of preventing the risk associated to volatility. However, other risk factors should be included in th…

Competition, risk taking, and governance structures in retail banking

2005

This paper investigates the extent to which the linkages between bank performance and governance structure affect deposits market competition and risk taking incentives when commercial banks compete with organizations with objectives different from profit maximization. These organizations include savings banks whose corporate and ownership structure yields an objective function that can incorporate labour expenses. It is found that such objective function enables the savings banks to capture a greater market share of bank deposits and to take on relatively less risk in their portfolio of investments. The empirical evidence from the Spanish retail banking sector documents these conclusions.

Institutional Contexts, the Management of Patent Portfolios, and the Role of Public Policies Supporting New EntrepreneurialVentures

2009

This chapter aims to increase our understanding of the relationships between firm strategies, the design of institutional contexts on behalf of public agents, and the stimulation of diffused entrepreneurship within the economic system. In particular, it analyzes the way in which firm patent portfolio management strategies may systematically hinder the emergence of entrepreneurial endeavors within the economic system and, on this basis, critically discusses how the acknowledgement of these interactions should influence the design of public policies at the economic system level. We argue that in economic contexts where intellectual property rights (IPR) are influential, large firms may intent…

CO2 Prices and Portfolio Management

2008

Since January 2005, the attention on European carbon markets has been increasing and thus the interest in studying the implications of the existence of two new assets in portfolio management. In this article we analyse both the characteristics of the EUAs Phase I and Phase II as a sole investment and the impact of including these two assets, considered separately, in a well-diversified portfolio. In order to control the problems of using historical returns, we have performed this analysis using as expected returns either historical returns or risk-adjusted returns. We find that, although the weights of EUAs are not too important when incorporating the EUAs in an optimal and well-diversified…

LA FORMAZIONE DEGLI INSEGNANTI: sperimentazione di una metodologia per l’auto-orientamento degli studenti.

Holes in the Dike: the global savings glut, U.S. house prices and the long shadow of banking deregulation

2015

We explore empirically how capital inflows into the US and financial deregulation within the United States interacted in driving the run-up (and subsequent decline) in US housing prices over the period 1990-2010. To obtain an ex ante measure of financial liberalization, we focus on the history of interstate-banking deregulation during the 1980s, i.e. prior to the large net capital inflows into the US from China and other emerging economies. Our results suggest a long shadow of deregulation: in states that opened their banking markets to out-of-state banks earlier, house prices were more sensitive to capital inflows. We provide evidence that global imbalances were a major positive funding sh…

Alliance formation as growth opportunity for non-publicly traded companies: a value-added service provided by private equity investors

2016

We analyze the role of Private Equity firms (PE-Firms) as a governance mechanism, focusing on their role as social intermediaries, helping their portfolio companies to form alliances and thereby spurring entrepreneurial growth. Alliances as long term inter-firm cooperations are considered to be a main source of firm-innovation. External growth via alliances is especially important for small to medium sized companies (SME) – largely dominant in Europe (up to 99%)–, because their internal resources are limited. Since a few years, these facts lead governments to undertake actions aimed to create environments that boost inter-firm linkages and entrepreneurial clusters. In European countries, su…