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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
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Analysis of forward contracting by California dairy producers on input and output sides using least- cost and profit-maximization methods
Karlin, Joel - 2010
gauge the impact of price volatility on both the input and output sides and to account for the extended nature of the … were developed. Finally, the variability of returns as measured by the coefficient of variability show less volatility in …
Persistent link: https://www.econbiz.de/10009464013
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Four Essays on Measuring Financial Risks
Chiriac, Roxana-Mihaela - 2010
Diese Dissertation untersucht die Messung finanzieller Risiken und besteht aus vier eigenständigen Forschungspapieren über die Analyse, Modellierung und Vorhersage solcher Risiken in verschiedenen wirtschaftlichen Szenarien. Die gegenwärtigen Risikomaße ignorieren größtenteils das...
Persistent link: https://www.econbiz.de/10009471737
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Farm Level Risk Assessment Using Downside Risk Measures
Berg, Ernst; Starp, Michael - 2006
Recent and presumable future developments tend to increase the risk associated with farming activities. This causes an increasing importance of risk management. Farmers have a wide variety of possibilities to influence the risk exposure of their operations. Among them are the choice of the...
Persistent link: https://www.econbiz.de/10009483581
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Generalized Volatility Model And Calculating VaR Using A New Semiparametric Model
Guo, Haiming - 2005
The first part of the dissertation concerns financial volatility models. Financial volatility has some stylized facts …, such as excess kurtosis, volatility clustering and leverage effects. A good volatility model should be able to capture all … these stylized facts. Among the volatility models, ARCH, GARCH, EGARCH and stochastic volatility models are the most …
Persistent link: https://www.econbiz.de/10009450634
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Cooperative Risk Management: Rationale and Effectiveness
Manfredo, Mark R.; Richards, Timothy J. - 2003
Agricultural cooperatives tend to be riskier than investor-oriented firms, both in a business and financial sense. However, cooperative managers are often reluctant to actively manage risk. Although the “risk management irrelevance proposition” suggests that cooperative managers should be...
Persistent link: https://www.econbiz.de/10009444150
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An Insurance Approach to Risk Management in the Ethanol Industry
Paulson, Nicholas D.; Babcock, Bruce A.; Hart, Chad E.; … - 2008
The vast majority of crop and revenue insurance policies sold in the United States are single-crop policies that insure against low yields or revenues for each crop grown on the farm. But, increasingly, producer income is based more on the value of crops that have been converted into a...
Persistent link: https://www.econbiz.de/10009445759
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Trading Systems, Volatility, and the Regulation of Stock Markets: An Investigation of the Microstructure of the Warsaw Stock Exchange
Henke, Harald - 2004
into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …
Persistent link: https://www.econbiz.de/10009460735
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Regulation of International Financial Markets by Transactions Taxes: The Effect of the Tobin Tax on Trade Volume und Exchange Rate Volatility
Haberer, Markus - 2006
volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …
Persistent link: https://www.econbiz.de/10009471738
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Strategic Opportunity Management
Junge, Philip - 2009
Today we live in a world that is characterized by a constantly changing environment. During the last decade, this highly volatile environment forced companies to implement strategies that identify, track and minimise the risks that entrepreneurial activity entails. Unfortunately, risks only...
Persistent link: https://www.econbiz.de/10009460982