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Barrier Option Hedging under Constraints : A Viscosity Approach

Bentahar, Imen; Bouchard, Bruno - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constraint to lie in a closed convex domain...

Persistent link: https://www.econbiz.de/10005854711

The Impact of Individual Investment Behavior for Retirement Welfare: Evidence from the United States and Germany

Post, Thomas; Gründl, Helmut; Schmit, Joan; Zimmer, Anja - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

Much of the industrialized world is undergoing a significantdemographic shift, placing strain on public pension systems. Policymakers are responding with pension system reforms that put more weight on privately managed retirement funds. One concern with these changes is the effect on individual...

Persistent link: https://www.econbiz.de/10005860528

Recursive Portfolio Selection with Decision Trees

Andriyashin, Anton; Härdle, Wolfgang; Timofeev, Roman - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

A great proportion of stock dynamics can be explained using publicly availableinformation. The relationship between dynamics and public information may be ofnonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Persistent link: https://www.econbiz.de/10005860747

Portfolio Value at Risk Based on Independent Components Analysis

Chen, Ying; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...

Persistent link: https://www.econbiz.de/10005861845

On Local Times of Ranked Continuous Semimartingales; Application to PortfolioGenerating Functions

Ghomrasni, Raouf - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

We derive the decomposition of the ranked continuous semimartingales i.e. order-statistics processes. We apply it to portfolios generated by functions of the ranked market weights. Thus we generalize recent results of Fernholz.

Persistent link: https://www.econbiz.de/10005861882

CDO Pricing with Copulae

Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

Modeling the portfolio credit risk is one of the crucial issues of the last yearsin the financial problems. We propose the valuation model of Collateralized DebtObligations based on a one- and two-parameter copula and default intensities estimatedfrom market data. The presented method is used to...

Persistent link: https://www.econbiz.de/10005865449

Combination ofmultivariate volatilityforecasts

Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...

Persistent link: https://www.econbiz.de/10005865451

The Impact of International Outsourcing on Labour Market Dynamics in Germany

Bachmann, Ronald; Braun, Sebastian - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

investigate how workers' labour market transitions are affected by international outsourcing. In order to do so, we estimate … out of the labour force. Outsourcing is found to have no significant impact on job stability in the manufacturing sector … effect of outsourcing varies across skill levels. An analysis of the different labour market flows shows that labour market …

Persistent link: https://www.econbiz.de/10005860576

Risiken infolge von Technologie-Outsourcing?

Stephan, Michael - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

Unternehmen zunehmend Wertschöpfungsleistungen an externen Zulieferer abgegeben. Unter Schlagworten wie Outsourcing … (Telekommunikation), der Computerindustrie oder im Maschinen- und Anlagenbau, ist dieser Trend zum Outsourcing zu beobachten. Das …

Persistent link: https://www.econbiz.de/10005860988

A Note on the Effect of Outsourcing on Union Wages

Braun, Sebastian; Scheffel, Juliane - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

We analyze the effect of outsourcing on union wages in a simple two-stage game between a firm and a union. In contrast …

Persistent link: https://www.econbiz.de/10005861011