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Regulation and Pension Fund Risk-Taking
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Working paper
Does Regulation Matter? Riskiness and Procyclicality in Pension Asset Allocation
In: Netspar Discussion Paper No. 12/2014-054
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Working paper
Do Leveraged Credit Derivatives Modify Credit Allocation?
This paper examines how credit derivatives have changed the construction of an efficient portfolio. Credit derivatives provide a way of gaining exposure to credit risk alone, to the exclusion of interest rate risk. They also permit a relatively easy use of leverage. We examine two types of allocation: the first is a conventional investment in government bonds, corporate bonds (investment grade and high yield) and equities in the United States; the second replaces corporate bonds with credit derivatives, which may also be leveraged. We look at past data on returns, risk and correlations of these investments, and we show that the credit risk component seems to have a strongly diversifying effect relative to the traditional asset classes, i.e. equities and government bonds. We then compute efficient frontiers within a standard mean-variance framework. The results show the advantages of credit derivatives for portfolio diversification, and the usefulness of leveraging this investment to extend the limits of the efficient frontier. ; info:eu-repo/semantics/published
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Stock Market Reaction to News: Do Tense and Horizon Matter?
In: FRL-D-23-02077
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Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance
In: Université Paris-Dauphine Research Paper No. 3420665
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(Why) Do(N'T) Universal Investors Vote to Curb Climate Change?
In: CORFIN-D-24-00022
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Delegated Philanthropy in Mutual Fund Votes on Climate Change Externalities
In: ISTE SCIENCE PUBLISHING LTD, May 2022
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Working paper
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Working paper
Cascading Effects of Carbon Price Through the Value Chain: Impact on Firm's Valuation
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