This paper analyzes short term portfolio investment opportunities in a capital market where a currency is defined as a currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine a self-financed optimal investment strategy which...

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on the underlying space of scenarios. As a case...

In this paper we analyze the sources of German unemployment within a structural vector error correction model (SVECM) framework. For this purpose, we propose a method to estimate an exactly identified Subset SVECM, which is a SVECM with short run parameter restrictions. A cointegration analysis...

A model of herding behavior on the labor market is discussed where employers only receive signals with limited precision about the workers' types, but can observe previous employers' decisions. In particular, we study a situation where the employer and the worker can influence the signal...

Die ökonomische Theorie konstatiert einen engen Zusammenhang zwischen der Qualität des Managements in privatwirtschaftlichen Unternehmen und der Größe dieser Unternehmen. Die mikroökonomische Theorie vertritt die These, dass die talentiertesten Manager in den größten Unternehmen zu finden...

The analysis of volatility in financial markets has become a first rank issue in modern financial theory and practice: Whether in risk management, portfolio hedging, or option pricing, we need to have a precise notion of the market's expectation of volatility. Much research has been done on the...

Retributive responses do play a role in human behavior. Whether they are primarily triggered by supposed intentions or by observed consequences of actions is an important question. It can be addressed by experimental studies of retributive responses in situations in which the individual actor...

The game theoretic prediction for alternating offer bargaining depends crucially on how 'the pie' changes over time, and whether the proposer in a given round has ultimatum power. We study experimentally eight such bargaining games. Each game is once repeated before moving on to the next one...

This paper considers the introduction of stock options in an (dynamically) incomplete securities market made up of a riskless bond and the stock. The stock price follows a geometric Brownian motion with constant drift. However, there is incomplete information about the unknown stochastic...

Tests for the cointegrating rank of a vector autoregressive process are considered which allow for possible exogenous shifts in the mean of the data generation process. The break points are assumed to be known a priori. It is proposed to estimate and remove the deterministic terms such as mean,...