Marco Wilkens

University of Augsburg

Professor

Universitaetsstr. 16

Augsburg, 86159

Germany

http://www.wiwi.uni-augsburg.de/bwl/wilkens/team/wilkens_marco/

  • University of Augsburg

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    • Tel: +49 821 598 4124
    • Fax: +49 821 598 4223
SCHOLARLY PAPERS

50

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12,754

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36

CROSSREF CITATIONS

46

Scholarly Papers (50)

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1.

Carbon Risk

Number of pages: 78 Posted: 10 Mar 2017 Last Revised: 19 Aug 2020
Maximilian Görgen, Andrea Jacob, Martin Nerlinger, Ryan Riordan, Martin Rohleder and Marco Wilkens
University of Augsburg, University of Augsburg, University of St. Gallen - School of Finance, Queen's University - Smith School of Business, University of Augsburg and University of Augsburg
Downloads 2,791 (5,301)
Citation 22

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Carbon risk, climate finance, climate change, economic transition, asset pricing

2.

Estimating the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data

Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 17 Jun 2011
Oliver Entrop, Christoph Memmel, Marco Wilkens and Alexander Zeisler
University of Passau, Deutsche Bundesbank, University of Augsburg and Barclays
Downloads 1,092 (23,397)
Citation 7

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Interest rate risk, accounting-based approach, banking supervision, model evaluation

3.

Green Data or Greenwashing? Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?

Number of pages: 52 Posted: 07 Jan 2021
Vitali Kalesnik, Marco Wilkens and Jonas Zink
Research Affiliates Global Advisors, University of Augsburg and University of Augsburg
Downloads 953 (28,562)

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Carbon data, carbon databases, climate-related information, climate-related risks and opportunities, environmental impact of investments, carbon emissions, carbon intensities

4.

Valuation Differences between Credit Default Swap and Corporate Bond Markets

Journal of Credit Risk, Vol. 9, No. 4, pp. 3-46, 2013
Number of pages: 44 Posted: 14 Aug 2010 Last Revised: 07 Jan 2014
Oliver Entrop, Richard Schiemert and Marco Wilkens
University of Passau, Catholic University of Eichstaett-Ingolstadt and University of Augsburg
Downloads 813 (35,577)
Citation 1

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credit default swap, credit risk, corporate bond, stochastic intensity model

5.

The Sharpe Ratio's Market Climate Bias: Theoretical and Empirical Evidence from US Equity Mutual Funds

Journal of Asset Management, Vol. 13, No. 4, August 2012, pp. 227-242
Number of pages: 1 Posted: 26 Jan 2006 Last Revised: 31 Jul 2012
Sebastian Bunnenberg, Hendrik Scholz and Marco Wilkens
Reutlingen University - ESB Business School, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 689 (44,602)

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Performance evaluation, equity mutual funds, Sharpe ratio, bear market, market conditions

6.

Non-Maturing Assets and Liabilities of Banks: Valuation and Risk Measurement

22nd Australasian Finance and Banking Conference 2009
Number of pages: 40 Posted: 24 Aug 2009
Oliver Entrop, Arne Krombach, Christoph Memmel and Marco Wilkens
University of Passau, Catholic University of Eichstaett-Ingolstadt, Deutsche Bundesbank and University of Augsburg
Downloads 628 (50,381)

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Interest rate risk, term structure model, interest rate pass-through, banking supervision, German financial institutions

7.

Jensen’s Alpha and the Market Timing Puzzle

Review of Financial Economics, Forthcoming
Number of pages: 40 Posted: 25 Aug 2008 Last Revised: 20 Aug 2018
Sebastian Bunnenberg, Martin Rohleder, Hendrik Scholz and Marco Wilkens
Reutlingen University - ESB Business School, University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 575 (56,420)
Citation 3

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Mutual fund performance; stock selection; market timing; total performance; conditional performance

8.

Maturity Transformation Strategies and Interest Rate Risk of Financial Institutions: Evidence from the German Market

Number of pages: 23 Posted: 26 Jul 2007
Hendrik Scholz, Stephan K.H. Simon and Marco Wilkens
Friedrich-Alexander-Universität Erlangen-Nürnberg, McKinsey & Company and University of Augsburg
Downloads 504 (66,550)

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maturity transformation, interest rate risk, financial institutions, liquidity preference hypothesis

9.

Lean Trees - a General Approach for Improving Performance of Lattice Models for Option Pricing

Downloads 502 ( 66,871)
Citation 2

Lean Trees - a General Approach for Improving Performance of Lattice Models for Option Pricing

Number of pages: 17 Posted: 18 Jan 2001
Rainer Baule and Marco Wilkens
University of Hagen and University of Augsburg
Downloads 502 (66,161)
Citation 2

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Lean Trees, Lattice Models, Option Pricing, Numerical Valuation Techniques

Lean Trees - a General Approach for Improving Performance of Lattice Models for Option Pricing

Posted: 13 May 2004
Rainer Baule and Marco Wilkens
University of Hagen and University of Augsburg

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Lean trees, lattice models, option pricing, numerical valuation techniques

10.

The Pricing Policy of Banks for Exchange-Traded Leverage Certificates: Interday and Intraday Effects

Number of pages: 40 Posted: 08 Feb 2011 Last Revised: 20 May 2013
Oliver Entrop, Alexander Schober and Marco Wilkens
University of Passau, University of Augsburg and University of Augsburg
Downloads 306 (118,634)
Citation 7

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Leverage Certificate, Life Cycle Hypothesis, Pricing Behavior, Gap Risk, Order Flow

11.

Maturity-Matched Bond Fund Performance

Financial Analysts Journal, Forthcoming.
Number of pages: 25 Posted: 02 Dec 2016 Last Revised: 10 Dec 2020
Markus Natter, Martin Rohleder and Marco Wilkens
University of Augsburg, University of Augsburg and University of Augsburg
Downloads 305 (119,100)

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Active fund performance, interest rate risk, expected return, duration, flows

12.

Ownership Comes with Responsibility – the Impact of Ownership Characteristics on CSR

Number of pages: 56 Posted: 15 Jun 2020 Last Revised: 21 Jan 2021
Lukas Benz, Stefan Paulus, Martin Rohleder and Marco Wilkens
University of Augsburg, University of Augsburg - Department of Finance and Banking, University of Augsburg and University of Augsburg
Downloads 300 (121,556)

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Ownership, Institutional Investor, Shareholder Engagement, ESG, Corporate Social Responsibility

13.

The Effects of Decarbonizing Institutional Portfolios on Stock Prices and Carbon Emissions

Number of pages: 44 Posted: 22 Jun 2020 Last Revised: 24 Jun 2020
Martin Rohleder, Marco Wilkens and Jonas Zink
University of Augsburg, University of Augsburg and University of Augsburg
Downloads 287 (128,330)
Citation 1

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: Carbon intensity, climate change, decarbonization, divestment, price pressure, mutual funds, carbon emissions

14.

Bond Fund Disappearance: What’s Return Got to Do with it?

Number of pages: 47 Posted: 18 Jun 2011 Last Revised: 14 May 2012
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 283 (129,287)
Citation 1

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fund disappearance, bond mutual fund performance, survivorship bias

15.

Spread Risk Premia in Corporate Credit Default Swap Markets

Credit and Capital Markets, Vol. 47, No. 4, pp. 571-610, 2014
Number of pages: 44 Posted: 18 Nov 2011 Last Revised: 16 Mar 2016
Oliver Entrop, Richard Schiemert and Marco Wilkens
University of Passau, Catholic University of Eichstaett-Ingolstadt and University of Augsburg
Downloads 282 (129,287)

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credit default swap, default risk premium, default event risk premium, spread risk premium, mark-to-market risk premium, stochastic intensity model

16.

Diseconomies of Scale, Information Processing and Hierarchy Costs: Evidence from Asset Management

Number of pages: 35 Posted: 18 Mar 2017 Last Revised: 20 Apr 2018
Richard B. Evans, Martin Rohleder, Hendrik Tentesch and Marco Wilkens
University of Virginia - Darden School of Business, University of Augsburg, University of Augsburg - Department of Finance and Banking and University of Augsburg
Downloads 281 (129,754)

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Diseconomies of scale, quantitative, fundamental, performance, flows, hierarchy costs, information processing, separate accounts, institutional investing

17.

Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry

Downloads 268 (136,339)
Citation 1

Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry

Deutsche Bundesbank Discussion Paper 56/2013
Number of pages: 47 Posted: 17 Feb 2014
Benedikt Ruprecht, Oliver Entrop, Thomas K. Kick and Marco Wilkens
Deutsche Bundesbank, University of Passau, Deutsche Bundesbank and University of Augsburg
Downloads 188 (191,165)
Citation 1

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Duration gap, Interest rate swaps, Selective hedging

Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry

Bundesbank Discussion Paper No. 56/2013
Number of pages: 47 Posted: 21 Jun 2016
Benedikt Ruprecht, Oliver Entrop, Thomas K. Kick and Marco Wilkens
Deutsche Bundesbank, University of Passau, Deutsche Bundesbank and University of Augsburg
Downloads 80 (362,906)

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Duration gap, Interest rate swaps, Selective hedging

18.

Mutual Fund Stock-Picking Skill: New Evidence from Valuation versus Liquidity-Motivated Trading

Financial Management 2018, 47(2), 309-347
Number of pages: 44 Posted: 26 Nov 2015 Last Revised: 13 Jun 2018
Martin Rohleder, Dominik Schulte, Janik Syryca and Marco Wilkens
University of Augsburg, University of Augsburg, University of Augsburg and University of Augsburg
Downloads 243 (150,316)
Citation 1

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Mutual fund trading, valuation, liquidity, skill, flow risk, wisdom of crowds

19.

Success and Failure on the Corporate Bond Fund Market

Journal of Asset Management 19(6), 429-443.
Number of pages: 43 Posted: 02 Aug 2014 Last Revised: 28 Mar 2019
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 230 (158,525)

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Corporate bond funds, performance, disappearance and survival, fund size, flow

20.

What drives Performance in the Speculative Market of Short-term Exchange-traded Retail Products?

Number of pages: 55 Posted: 29 Aug 2012 Last Revised: 01 Jul 2016
Stefanie Baller, Oliver Entrop, Alexander Schober and Marco Wilkens
University of Passau, University of Passau, University of Augsburg and University of Augsburg
Downloads 222 (164,066)
Citation 2

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Leverage Certificate; Warrant; Financial Innovation; Retail Investor

21.

Looking Beyond Banks’ Average Interest Rate Risk: Determinants of High Exposures

Quarterly Review of Economics and Finance, Forthcoming
Number of pages: 41 Posted: 15 Apr 2014 Last Revised: 15 Apr 2016
Oliver Entrop, Ludwig von la Hausse and Marco Wilkens
University of Passau, University of Augsburg and University of Augsburg
Downloads 139 (246,682)
Citation 2

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interest rate risk, banks, tail exposures, financial crisis

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23.

Herds on Green Meadows – The Decarbonization of Institutional Portfolios

Number of pages: 28 Posted: 14 Oct 2019
Lukas Benz, Andrea Jacob, Stefan Paulus and Marco Wilkens
University of Augsburg, University of Augsburg, University of Augsburg - Department of Finance and Banking and University of Augsburg
Downloads 121 (275,835)
Citation 2

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decarbonization, institutional investors, herding

24.

The Valuation of Deposit Insurance in an Arbitrage-free Basel II Consistent Framework

Number of pages: 50 Posted: 06 Mar 2007
Oliver Entrop and Marco Wilkens
University of Passau and University of Augsburg
Downloads 120 (275,835)

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deposit insurance, loan portfolio, maturity gap, structural model

25.

Open-End Knock-Outs on Bond Futures: Valuation, Properties and Estimation of Hidden Profit Drivers

Number of pages: 47 Posted: 22 Apr 2014
Oliver Entrop, Christian Peters and Marco Wilkens
University of Passau, University of Augsburg and University of Augsburg
Downloads 115 (284,372)

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structured products, knock-out, price setting, German market, rollover

26.

Evaluating the Performance of Hedge Funds Using Two-Stage Peer Group Benchmarks

Number of pages: 34 Posted: 18 Jul 2014
Marco Wilkens, Juan Yao, Nagaratnam Jeyasreedharan and Patrick Boehler
University of Augsburg, University of Sydney - Business School - Finance Discipline, University of Tasmania and University of Augsburg
Downloads 85 (346,740)

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Hedge Funds, Performance Measurement, Factor Models, Peer Group Benchmarks

27.

Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences

Review of Finance 2011, 15 (2), 441-474
Number of pages: 53 Posted: 08 Mar 2008 Last Revised: 18 Mar 2018
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 81 (359,346)
Citation 1

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Mutual Fund Performance, Survivorship Bias

28.

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Downloads 73 (378,646)

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Bundesbank Discussion Paper No. 17/2012
Number of pages: 56 Posted: 21 Jun 2016
Oliver Entrop, Christoph Memmel, Benedikt Ruprecht and Marco Wilkens
University of Passau, Deutsche Bundesbank, Deutsche Bundesbank and University of Augsburg
Downloads 73 (382,904)
Citation 1

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Interest rate risk, Interest margins, Maturity transformation

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Journal of Banking and Finance, Vol. 54, 2015, pp. 1-19
Posted: 07 Jul 2012 Last Revised: 06 Feb 2015
Oliver Entrop, Christoph Memmel, Benedikt Ruprecht and Marco Wilkens
University of Passau, Deutsche Bundesbank, Deutsche Bundesbank and University of Augsburg

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term transformation, interest rate risk, optimal loan, deposit intermediation fees

29.

Shedding Light on the Exposure of Mutual Funds – Which Investments Drive Mutual Fund Characteristics?

Number of pages: 32 Posted: 10 Apr 2019 Last Revised: 20 May 2020
Lukas Benz, Martin Rohleder, Janik Syryca and Marco Wilkens
University of Augsburg, University of Augsburg, University of Augsburg and University of Augsburg
Downloads 70 (387,429)
Citation 1

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equity mutual funds, risk, performance, derivatives, complex investments, holdings

30.

Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence from Germany

Bundesbank Series 2 Discussion Paper No. 2008,01
Number of pages: 48 Posted: 08 Jun 2016
Oliver Entrop, Christoph Memmel, Marco Wilkens and Alexander Zeisler
University of Passau, Deutsche Bundesbank, University of Augsburg and Barclays
Downloads 69 (390,575)

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German financial institutions, interest rate risk, accounting-based approach, maturity transformation, banking supervision, model evaluation

31.

Trading Skills in Mutual Funds - Evidence from Daily Transactions

Number of pages: 40 Posted: 22 Jul 2020
Rene Weh, P. Joakim Westerholm, Marco Wilkens and Juan Yao
University of Augsburg - Department of Finance and Banking, University of Sydney Business School, University of Augsburg and University of Sydney - Business School - Finance Discipline
Downloads 49 (459,745)

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Mutual funds, performance measurement, manager skill

32.

Internet Appendix of the Paper 'Jensen's Alpha and the Market Timing Puzzle'

Review of Financial Economics, Forthcoming
Number of pages: 10 Posted: 30 Nov 2016 Last Revised: 12 Mar 2018
Sebastian Bunnenberg, Martin Rohleder, Hendrik Scholz and Marco Wilkens
Reutlingen University - ESB Business School, University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 43 (484,950)

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Conditional performance evaluation; time-varying investment skill

33.

Bond Mutual Funds and Complex Investments

Journal of Asset Management 2017, 18(6), 433-456
Number of pages: 43 Posted: 15 Mar 2016 Last Revised: 18 Mar 2018
Markus Natter, Martin Rohleder, Dominik Schulte and Marco Wilkens
University of Augsburg, University of Augsburg, University of Augsburg and University of Augsburg
Downloads 37 (512,119)
Citation 1

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Mutual fund performance, bond funds performance, derivatives interest rate futures

34.

The Benefits of Option Use by Mutual Funds

Journal of Financial Intermediation 2016, 26, 142-168
Number of pages: 57 Posted: 24 Sep 2014 Last Revised: 28 Mar 2019
Markus Natter, Martin Rohleder, Dominik Schulte and Marco Wilkens
University of Augsburg, University of Augsburg, University of Augsburg and University of Augsburg
Downloads 33 (532,187)
Citation 4

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Mutual funds, performance, options, hedging

35.

Management of Flow Risk in Mutual Funds

Review of Quantitative Finance and Accounting 2017, 45(1), 31-56.
Number of pages: 46 Posted: 03 Apr 2014 Last Revised: 18 Mar 2018
Martin Rohleder, Dominik Schulte and Marco Wilkens
University of Augsburg, University of Augsburg and University of Augsburg
Downloads 22 (597,327)
Citation 4

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Mutual fund performance, mutual fund flows, derivatives

36.

Systemic Interest Rate and Market Risk at U.S. Banks

Journal of Business Economics (ZfB) 2016, 86 (8), 933-961
Number of pages: 36 Posted: 26 Nov 2015 Last Revised: 18 Mar 2018
Ludwig von la Hausse, Martin Rohleder and Marco Wilkens
University of Augsburg, University of Augsburg and University of Augsburg
Downloads 12 (666,934)

Abstract:

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interest rate risk, market risk, banks, banking system

37.

Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter

Downloads 4 (726,953)
Citation 2

Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter

European Financial Management, Vol. 15, Issue 5, pp. 1001-1018, November 2009
Number of pages: 18 Posted: 21 Oct 2009
Oliver Entrop and Marco Wilkens
University of Passau and University of Augsburg
Downloads 4 (758,316)
Citation 2
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Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter

European Financial Management, Forthcoming
Posted: 26 Feb 2008 Last Revised: 22 Apr 2009
Oliver Entrop, Alexander Zeisler and Marco Wilkens
University of Passau, Barclays and University of Augsburg

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interest rate risk, Basel Capital Accord, banking supervision, standardized interest rate shock

38.

Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany

European Financial Management, Vol. 16, Issue 1, pp. 124-154, January 2010
Number of pages: 31 Posted: 28 Dec 2009
Marc-Gregor Czaja, Hendrik Scholz and Marco Wilkens
Allianz Investment Management, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 2 (745,403)
Citation 1
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39.

Market Makers’ Optimal Price-Setting Policy for Exchange-Traded Certificates

Journal of Banking and Finance, Vol. 71, 2016, 206-226
Posted: 05 Dec 2014 Last Revised: 25 Jul 2016
Stefanie Baller, Oliver Entrop, Michael D. McKenzie and Marco Wilkens
University of Passau, University of Passau, The University of Sydney - Discipline of Finance and University of Augsburg

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Structured Products, Structured Notes, Leverage Certificates, Pricing Behavior, Monopoly Pricing Model

40.

Individual Investors and Suboptimal Early Exercises in the Fixed-Income Market

Posted: 10 Sep 2014
Mathias Eickholt, Oliver Entrop and Marco Wilkens
University of Passau, University of Passau and University of Augsburg

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decision strategy, decision costs, transaction costs, putable bond

41.

What Makes Individual Investors Exercise Early? Empirical Evidence from Non-Tradable Fixed-Income Products

Journal of Banking and Finance, 97, 2018, 318-334
Posted: 05 Apr 2014 Last Revised: 05 Nov 2018
Mathias Eickholt, Oliver Entrop and Marco Wilkens
University of Passau, University of Passau and University of Augsburg

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early exercise, failure to exercise, liquidity demand, putable bond

42.

How Does Pricing Affect Investors’ Product Choice? Evidence from the Market for Discount Certificates

Journal of Banking and Finance, Vol. 68, 195-215
Posted: 31 Mar 2014 Last Revised: 24 Apr 2016
Oliver Entrop, Georg Fischer, Michael D. McKenzie, Marco Wilkens and Christoph Winkler
University of Passau, University of Passau, The University of Sydney - Discipline of Finance, University of Augsburg and University of Augsburg

Abstract:

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Structured products, Derivatives, Investor behavior, Product pricing

43.

The Performance of Individual Investors in Structured Financial Products

Review of Quantitative Finance and Accounting, Vol. 46, No. 3, 2016, pp. 569-604
Posted: 16 Dec 2012 Last Revised: 16 Mar 2016
Oliver Entrop, Michael D. McKenzie, Marco Wilkens and Christoph Winkler
University of Passau, The University of Sydney - Discipline of Finance, University of Augsburg and University of Augsburg

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structured products, derivatives, complexity, financial innovation, investor behavior

44.

Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter?

Journal of Banking and Finance, Vol. 43, 2014
Posted: 21 Jun 2011 Last Revised: 28 Mar 2014
Bernhard Breloer, Hendrik Scholz and Marco Wilkens
Friedrich-Alexander-University (FAU) Erlangen-Nürnberg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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International Equity Funds, Global Equity Funds, Country Momentum, Sector Momentum, Fund Performance, Fund Ranking

45.

A Jigsaw Puzzle of Basic Risk-Adjusted Performance Measures

The Journal of Performance Measurement, Vol. 9, No. 3, pp. 57-64, Spring 2005
Posted: 18 Mar 2011
Hendrik Scholz and Marco Wilkens
Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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portfolio performance evaluation, mutual funds, Sharpe ratio, Treynor ratio, RAP

46.

Credit Risk and Bank Margins in Structured Financial Products: Evidence from the German Secondary Market for Discount Certificates

Journal of Futures Markets, Vol. 28, No. 4, pp. 376-397, 2008
Posted: 18 Mar 2008 Last Revised: 12 May 2008
Rainer Baule, Oliver Entrop and Marco Wilkens
University of Hagen, University of Passau and University of Augsburg

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Structured product, discount certificate, vulnerable option, credit risk margin

47.

The Price-Setting Behavior of Banks: An Analysis of Open-End Leverage Certificates on the German Market

Journal of Banking and Finance, Vol. 33, No. 5, pp. 874-882, 2009
Posted: 06 Mar 2008 Last Revised: 12 Aug 2010
Oliver Entrop, Hendrik Scholz and Marco Wilkens
University of Passau, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

Abstract:

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Structured products, Certificates, Hedging, German market, Pricing

48.

The Performance of Investment Grade Corporate Bond Funds: Evidence from the European Market

European Journal of Finance, Vol. 15, No. 2, pp. 191-209, 2009
Posted: 27 Jul 2006 Last Revised: 13 Aug 2010
Leif Holger Dietze, Oliver Entrop and Marco Wilkens
Catholic University of Eichstaett-Ingolstadt, University of Passau and University of Augsburg

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performance measurement, European corporate bond market, investment grade corporate bond mutual funds, multi-index model, asset-class-factor model, Generalized Treynor Ratio

49.

Interest Rate Risk of German Financial Institutions - the Impact of Level, Slope, and Curvature of the Term Structure

Review of Quantitative Finance and Accounting, Vol. 33, pp. 1-26, 2009
Posted: 30 Jun 2006 Last Revised: 17 Jun 2010
Marc-Gregor Czaja, Hendrik Scholz and Marco Wilkens
Allianz Investment Management, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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German financial institutions, interest rate sensitivity, term structure, Nelson-Siegel approach

50.

Investor-Specific Performance Measurement: A Justification of Sharpe Ratio and Treynor Ratio

The International Journal of Finance, 2005, Vol. 17, No. 4, pp. 3671-3691
Posted: 09 Jun 2004 Last Revised: 18 Mar 2011
Hendrik Scholz and Marco Wilkens
Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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Mutual Funds, Performance Measurement, Sharpe Ratio, Treynor Ratio