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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
Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen …
Persistent link: https://www.econbiz.de/10009467496
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
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
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...
Persistent link: https://www.econbiz.de/10009463366
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...
Persistent link: https://www.econbiz.de/10009477088
retaining the multiplicative hazard rate form of the absolutely continuous model. Application of martingale arguments to the … martingale arguments. This estimator reduces to the usual hypergeometric form in the special case of testing equality of several …
Persistent link: https://www.econbiz.de/10009477091
This thesis studies a single item periodic review inventory problem with stochastic demand, random price and quotation cost. It differs from the traditional inventory model in that at the beginning of each period, a decision is made whether to pay the quotation cost to get the price information....
Persistent link: https://www.econbiz.de/10009455327
In manual order picking systems, order pickers walk or drive through a distribution warehouse in order to collect items which are requested by (internal or external) customers. In order to perform these operations efficiently, it is usually required that customer orders are combined into (more...
Persistent link: https://www.econbiz.de/10009447483
Der Begriff Realoptionen umfasst jene Investitionsrechnungsverfahren, die Handlungsoptionen mithilfe finanzmathematischer Methoden aus der Optionstheorie quantitativ bewerten. Aus der Sicht von Softwareinvestitionen sind aufgrund der Rahmenbedingungen, Flexibilität spielt hierbei eine wichtige...
Persistent link: https://www.econbiz.de/10009480891