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Two essays on general equilibrium foundation of finance

Siwik, Thomas - 2002

The thesis consists of two essays: "The CAPM -- A General Equilibrium Foundation" and "The Foreign Exchange Rate in Financial Markets".The Capital Asset Pricing Model (CAPM) is one of the most successful models for portfolio selection. The utility functions are assumed to depend positively on...

Persistent link: https://www.econbiz.de/10009452580

Four Essays on Debt Securitization and Entrepreneurial Finance

Weber, Thomas - 2008

Chapter 1 is joint work with Günter Franke, University of Konstanz, and Markus Herrmann, HSBC London, and addresses the question how collateralized debt obligation (CDO-) transactions are designed. An important issue is the information asymmetry about the quality of securitized debt between...

Persistent link: https://www.econbiz.de/10009471846

Essays in Behavioral and Experimental Economics

Dürsch, Peter - 2010

Kooperation in einem einmaligen Spiel. Darüber hinaus finden wir keinen Hinweis darauf, dass Risikoaversion ein Faktor ist …

Persistent link: https://www.econbiz.de/10009476200

Imperfect competition in product markets and labor markets, general equilibrium and unemployment

Schniewind, Achim - 2000

In this thesis it is analyzed if promoting product market competition can help to to fight unemployment in Europe. We have used a general equilibrium model in order to study how reducing mark-ups and increasing productivity in one sector affect aggregate unemployment for an exogenously given...

Persistent link: https://www.econbiz.de/10009476214

Theoretical aspects of long-term evaluation in environmental economics

Traeger, Christian - 2006

economics, decision theory, the economics of sustainability and cost benefit analysis. The thesis is structured in three parts … Konsum. Im zweiten Teil der Arbeit wird ein verallgemeinertes Bewertungsmodell sowie ein neues Konzept der Risikoaversion … eingeführt. Dieses Konzept der intertemporalen Risikoaversion greift einen wichtigen Aspekt des Vorsichtsprinzips auf. Der dritte …

Persistent link: https://www.econbiz.de/10009476176

Risk Aversion in Inventory Management

Chen, Xin; Sim, Melvyn; Simchi-Levi, David; Sun, Peng - 2004

Traditional inventory models focus on risk-neutral decision makers, i.e., characterizing replenishment strategies that maximize expected total profit, or equivalently, minimize expected total cost over a planning horizon. In this paper, we propose a framework for incorporating risk aversion in...

Persistent link: https://www.econbiz.de/10009432599

The Role of Exchange Rates in the Intertemporal Risk-Return Relation in International Economies

Bali, Turan G.; Wu, Liuren - 2005

This paper investigates the role of currency denomination in the the intertemporal risk-return relation among G7 countries. Similar to the findings of previous studies, our estimation also shows that the financial markets of the G7 countries are integrated. We obtain significant pricing...

Persistent link: https://www.econbiz.de/10009440704

Utility Indifference Pricing of Credit Instruments

Sigloch, Georg - 2009

While the market for credit instruments grew continuously in the decade before 2008, its liquidity has dried up significantly in the current crisis, and investors have become aware of the possible consequences of being exposed to credit risk. In this thesis we address these issues by pricing...

Persistent link: https://www.econbiz.de/10009455297

Essays on Risk Aversion, Diversification and Non-Participation

Hibbert, Ann Marie - 2008

theory) with what traditional theories of finance predict that investors should do (normative theory). …

Persistent link: https://www.econbiz.de/10009460481

Essays on risk aversion

Neilson, William S. (contributor) - 2006

This dissertation contains three essays on risk aversion. In the first essay, we an-alyze comparative risk aversion in a new way, through a comparative statics problemin which, for a cost, agents can shift from an initial probability distribution towarda preferred distribution. The Ross...

Persistent link: https://www.econbiz.de/10009464852