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...

In the dissertation, we study the statistical evaluation of treatment comparisons by evaluating the relative comparison of survival experiences between two treatment groups. We construct confidence interval and simultaneous confidence bands for the ratio and odds ratio of two survival functions...

Asymptotic expansions for the null distribution of thelogrank statistic and its distribution under local proportionalhazards alternatives are developed in the case of iid observations.The results, which are derived from the work of Gu (1992) andTaniguchi (1992), are easy to interpret, and...

This thesis is a collection of papers that use survey data to analyze expectations about macroeconomic variables and the way these expectations are formed. Using a new approach for modeling forecast errors in a structural way, we show that most of the individual forecasts in the Consensus survey...

This study examines whether investor reactions are sensitive to the recent direction and/orvolatility of underlying market movements. We find dividend change announcements elicit agreater change in stock price when the nature of the news (good or bad) goes against the grain ofthe recent market...

The development of free floating exchange rates can hardly be explained by macroeconomic fundamentals as supposed by traditional economic theories. Therefore, prominent economists yet conclude that there exists an ‘exchange rate disconnect puzzle’ (see Obstfeld and Rogoff [2000]). The...

This paper is a deductive theoretical enquiry into the flow of effects from the geometry of price bubbles/busts, to price indices, to pricing behaviours of sellers and buyers, and back to price bubbles/busts. The intent of the analysis is to suggest analytical approaches to identify the...

This paper provides an adaptive learning algorithm for linear stochastic models with expectational leads in which forecasts for an arbitrary period ahead of the current state feed back into the economic system. The concept of an unbiased forecasting rule with generates rational expectations...