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~institution:"Institut für Schweizerisches Bankwesen <Zürich>"
~subject:"portfolio management"
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portfolio management
Risikomanagement
46
risk management
46
Portfoliomanagement
42
Capital-Asset-Pricing-Modell
11
Value at Risk
11
Bewertung
10
Portfolio Selection
10
Volatilität
10
Aktie
9
Erwartungstheorie
8
Kapitalstruktur
8
Kreditmarkt
8
Schweizer Börse
8
capital structure
8
Kreditrisiko
7
GARCH-Prozess
6
Aktionär
5
Bank
5
Investition
5
Kapitalmarkt
5
Prognose
5
investition
5
Diversification gains
4
Diversifikation
4
Eigenkapital
4
Hedge Fund
4
Heterogenität
4
Inflation
4
Sicherheit
4
Term structure model
4
Zinsstruktur
4
econometrics
4
Ökonometrie
4
Adverse Selektion
3
Aktienoption
3
Arbitrage
3
Corporate Finance
3
Default Correlations
3
Entscheidungsphase
3
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2
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Book / Working Paper
42
Language
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English
42
Author
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Hens, Thorsten
7
Schenk-Hoppé, Klaus Reiner
6
De Giorgi, Enrico
5
Evstigneev, Igor V.
5
Gibson, Rajna
3
Ick, Matthias M.
2
Mayer, János
2
Rey, David
2
Vanini, Paolo
2
Acharya, Viral V.
1
Adamo, Massimiliano
1
Adjaouté, Kpate
1
Bacchetta, Philippe
1
Bares, Pierre-Antoine
1
Barone-Adesi, Giovanni
1
Barras, Laurent
1
Blanchet-Scaillet, Christophe
1
Brumen, Gorazd
1
Burkhard, Jürg
1
Chambet, Anthony
1
Danthine, Jean-Pierre
1
David, Rey
1
Dempster, Michael A. H.
1
Dempster, Michael A.H.
1
Diop, Awa
1
Ebnöther, Silvan
1
Ehlers, Philippe
1
Gyger, Sebastien
1
Hou, Yuanfeng
1
Imbs, Jean
1
Isakov, Dusan
1
Jin, Xiangrong
1
Jondeau, Eric
1
Kaminski, Kathryn
1
Künzi-Bay, Alexandra
1
Lundtofte, Frederik
1
Menoncin, Francesco
1
Morger, Felix
1
Murawskim, Carsten
1
Normandin, Michel
1
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Institution
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Institut für Schweizerisches Bankwesen <Zürich>
Center for Urban & Real Estate Management <Zürich>
18
International Monetary Fund (IMF)
18
Frankfurt School of Finance & Management
15
International Monetary Fund
13
National Centre of Competence in Research - Financial Valuation and Risk Management
12
National Centre of Competence in Research North South <Bern>
11
University of Western Sydney
9
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
8
Wirtschaftswissenschaftliches Zentrum <Basel>
8
School of Economics and Finance
7
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
7
Swiss National Centre of Competence in Research North South <Bern>
6
Centre for Financial Research <Köln>
5
College of Law and Business
5
Federal Reserve Bank <New York, NY>
5
London School of Economics and Political Science
5
Universität <Münster, Westfalen> / Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung
5
College of Business
4
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
4
Centre Emile Bernheim, Solvay Brussels School of Economics and Management
3
Finrisk
3
Max-Planck-Institut für Ökonomik <Jena> / Abteilung Strategische Interaktion
3
National Centre of Competence in ResearchFinancial Valuation and Risk Management
3
Universidad del CEMA
3
Université <Genève> / Section des Hautes Etudes Commerciales
3
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
3
Arbeitskreis Quantitative Steuerlehre
2
Bank für Internationalen Zahlungsausgleich <Basel>
2
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
Départment d'économétrie et d'économie politique (DEEP), Faculté des Hautes Études Commerciales (HEC)
2
East Asian Bureau of Economic Research (EABER)
2
Fachhochschule des BFI Wien
2
HAL
2
Manchester Business School
2
Tilburg University, Center for Economic Research
2
University <Nottingham> / Department of Economics
2
Universität <Augsburg> / Research Center Finance & Information Management
2
Université Paris-Dauphine (Paris IX)
2
Agricultural and Applied Economics Association - AAEA
1
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Working Paper
41
Institut für Schweizerisches Bankwesen Zürich - Working Paper Series
30
Universität Zürich - Institut für Schweizerisches Bankwesen - Working Papers
11
Universität Zürich - Institut für Schweizerisches Bankwesen - Dissertationen
1
Source
All
USB Cologne (business full texts)
42
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1
Market Selection of Financial Trading Strategies : Global Stability
Hens, Thorsten
;
Evstigneev, Igor V.
;
Schenk-Hoppé, …
-
Institut für Schweizerisches Bankwesen <Zürich>
;
…
-
2002
In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market...
Persistent link: https://www.econbiz.de/10005859367
Saved in:
2
An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
Burkhard, Jürg
;
De Giorgi, Enrico
-
Institut für Schweizerisches Bankwesen <Zürich>
;
…
-
2004
integrate the significant factors into any reasonable bank risk, portfolio or capital
management
framework or approaches for … mortgage risk as well as to suggestions for improved risk
management
approaches. Finally, our findings are highly relevant for …
Persistent link: https://www.econbiz.de/10005858102
Saved in:
3
Computational aspects of minimizing conditional value-at-risk
Künzi-Bay, Alexandra
;
Mayer, János
-
Institut für Schweizerisches Bankwesen <Zürich>
-
2005
portfolio optimization and financial risk
management
. Therefore, besides testing the performance of the proposed algorithm, we …
Persistent link: https://www.econbiz.de/10005858883
Saved in:
4
Co-monotonicity of optimal investments and the design of structured financial products
Rieger, Marc Oliver
-
Institut für Schweizerisches Bankwesen <Zürich>
-
2008
Two-Fund-Separation Theorem. We use our results to derive a new approach to optimization in wealth
management
, based on a …
Persistent link: https://www.econbiz.de/10005858203
Saved in:
5
The Joy of Volatility
Dempster, Michael A.H.
;
Evstigneev, Igor V.
; …
-
Institut für Schweizerisches Bankwesen <Zürich>
-
2007
, show thatvolatility is actually good, rather than bad, for financial growth. Very simple activeportfolio
management
opens …
Persistent link: https://www.econbiz.de/10005858210
Saved in:
6
Pricing Interest Rate-Sensitive Credit Portfolio Derivatives
Ehlers, Philippe
;
Schoenbucher, Philipp J.
-
Institut für Schweizerisches Bankwesen <Zürich>
-
2006
In this paper we present a modelling framework for portfolio credit risk which incorporates the dependence between risk-free interest-rates and the default loss process. The contribution in this approach is that - besides the traditional diffusion based covariation between loss intensities and...
Persistent link: https://www.econbiz.de/10005858332
Saved in:
7
Pricing of Corporate and Portfolio Securities in Buyer-Supplier Networks
Brumen, Gorazd
;
Vanini, Paolo
-
Institut für Schweizerisches Bankwesen <Zürich>
-
2006
The paper investigates how buyer-supplier firm-specific relationships affect security prices. Starting from the empirical inconsistencies associated with some standard structural models we propose a structural model of firm dependence in a vertically connected network of firms based on cash flow...
Persistent link: https://www.econbiz.de/10005858385
Saved in:
8
Financial Integration, Economic Instability And Trade Structure In Emerging Markets
Chambet, Anthony
;
Gibson, Rajna
-
Institut für Schweizerisches Bankwesen <Zürich>
-
2005
In this study, we first estimate the level of financial integration for twenty five emerging stock markets over the last decade. Using a multivariate GARCH(1,1)-M return generating model allowing for partial market integration as well as for the pricing of systematic emerging market risk, we...
Persistent link: https://www.econbiz.de/10005858763
Saved in:
9
The Effect of Information Quality on Optimal Portfolio Choice
Lundtofte, Frederik
-
Institut für Schweizerisches Bankwesen <Zürich>
-
2005
Three types of agents acting on different information sets are considered: fully informed agents, insiders, and outsiders. Differences in information quality are shown to affect the properties of their optimal portfolios. For an outsider, the share of wealth invested in the stock is decreasing...
Persistent link: https://www.econbiz.de/10005858588
Saved in:
10
Credit portfolios : What defines risk horizons and risk measurement?
Ebnöther, Silvan
;
Vanini, Paolo
-
Institut für Schweizerisches Bankwesen <Zürich>
-
2005
Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to measure risk adequately in a multi period...
Persistent link: https://www.econbiz.de/10005858869
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