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Portfolio optimization with risk constraints

Gandy, Ralf - 2005

In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...

Persistent link: https://www.econbiz.de/10009462193

Dynamic semiparametric factor models

Borak, Szymon - 2008

resultierende Faktor-Hedging von Barrier Optionen gerichtet. … volatility dynamics and resulting factor hedging of barrier options. …

Persistent link: https://www.econbiz.de/10009467069

Beitr?ge zum Risikomanagement in Wertsch?pfungsnetzwerken

Wiesent, Julia - 2011

Eine langfristige und nachhaltige Steigerung des Unternehmenswerts als zentrales Unternehmensziel fordert eine konsequente, wertorientierte Ausrichtung aller Unternehmensteile und -aktivit?ten. Das Risikomanagement, welches stets im Rahmen einer integrierten Betrachtung von Ertrags- und...

Persistent link: https://www.econbiz.de/10009482328

The interdependence of financial markets - econometric modeling and estimation

Baur, Dirk - 2003

the first part where a new bivariate correlation estimator is introduced. This estimator is shown to be more flexible than … the first part where a new bivariate correlation estimator is introduced. This estimator is shown to be more flexible than …

Persistent link: https://www.econbiz.de/10009475336

Kreditportfoliomanagement - Die Bedeutung von Korrelationen für die Bewertung von Kreditausfallrisiken

Lipponer, Alexander - 2000

default correlations is implemented. A Monte-Carlosimulation tool is used to examine how this 'correlation effect' varieswith …

Persistent link: https://www.econbiz.de/10009476196

Time to burn: Modeling wildland arson as an autoregressive crime function.

Prestemon, J.P.; Butry, D.T. - 2005

Six Poisson autoregressive models of order p [PAR(p)] of daily wildland arson ignition counts are estimated for five locations in Florida (1994-2001). In addition, a fixed effects time-series Poisson model of annual arson counts is estimated for all Florida counties (1995-2001). PAR(p) model...

Persistent link: https://www.econbiz.de/10009429523

Agricultural contracting and the scale of production.

Key, N. - 2004

, where it persists even among large commercial operations. Six theoretical explanations for the observed correlation between …

Persistent link: https://www.econbiz.de/10009429545

Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

Dunbar, Kwamie; Edwards, Albert J. - 2007

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co … that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the …

Persistent link: https://www.econbiz.de/10009430120

The Role of Emerging Market in Investment Portfolios

Hallinan, Kelly - 2011

This thesis explores the role of emerging markets in investment portfolios. Could an investment portfolio consisting of emerging market securities have outperformed similar portfolios that did not contain emerging markets over recent years? Gathering data from January 1, 2009 to December 31,...

Persistent link: https://www.econbiz.de/10009430255

14.123 Microeconomic Theory III, Spring 2009

Eso, Peter - 2009

, repeated games, and correlation. …

Persistent link: https://www.econbiz.de/10009432546