Angesichts der Individualisierung des Konsumentenverhaltens und der damit verbundenen Fragmentierung der Märkte nimmt die Mehrmarkenstrategie in vielen Branchen eine bedeutende Stellung ein. Neben vielfältigen Chancen offenbart eine parallele Führung mehrerer selbständiger Marken im gleichen...

This paper studies a consumption-portfolio problem where money enters the agent's utility function. We solve the corresponding Hamilton-Jacobi-Bellman equation and provide closed-form solutions for the optimal consumption and portfolio strategy both in an infinite- and finite-horizon setting....

We develop a model that reproduces the return and volatility spread between sin and non-sin stocks, where investors trade off dividends with the ethical assessment of companies. We relax the assumption of boycott behaviour and investigate the role played by the dividend share of sin stocks on...

This article shows that it can take a long period of time until research knowledge finds its application in practice and get disseminated as innovation trend. Factor-based investing is such an example. Having its developing roots in the nineties, it took more than two decades until this approach...

Large companies need to give focus on their cost components related to their information technology. Business growths is supported by their IT and hundreds or thousands of applications worldwide. Top level management needs to focus more on their information strategy and the applications they...

A four period game between two firms and two hackers is analyzed. The firms first defend and the hackers thereafter attack and share information. Each hacker seeks financial gain, beneficial information exchange, and reputation gain. The two hackers’ attacks and the firms’ defenses are...

With hindsight the debate over whether Europe constitutes an optimal currency area overlooked the elephant in the room. Following Robert Mundell’s considerations, the expert debate in the 1990s focused on the question of whether Europe’s capital and labor markets were sufficiently integrated...

Pressure from institutional money managers to generate profits in the short run is often blamed for corporate myopia. Theoretical research suggests that money managers' short term focus stems from their career concerns and greater fund transparency can amplify these concerns. Using a...

This paper examines the effect of gainsharing provisions on the selection of a discount rate for a defined benefit pension plan. The paper uses a traditional actuarial approach of discounting liabilities using the expected return of the associated pension fund. A stochastic Excel model was...

This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk and dispersion of risk objectives in a...

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented...

Accumulated imbalances in the economy and on the markets cause specific financial market dynamics that have formed characteristic patterns kept throughout long financial history. In 2008 Authors presented their expectations of key macroeconomic and selected asset class markets developments for...

Die vorliegende Arbeit hat zwei wesentliche Ziele. Auf der einen Seite soll sie existierende Konzepte zum systematischen Faktorinvestieren erweitern, mögliche Problemstellungen aufdecken und Verbesserungen vorschlagen. Zweitens, untersucht diese Arbeit eine neue Form von FinTech Innovationen:...