The presumably most important function of a corporation is the establishment and management of connections to customers, suppliers, investors, debtors and competitors. All these connections may produce profits or bear risks. Hence, the isolated inspection of a corporation (or also a sovereign)...

I analyze company news from Reuters with the 'General Inquirer' and relate measures of positive sentiment, negative sentiment and disagreement to abnormal stock returns, stock and option trading volume, the volatility spread and the CDS spread. I test hypotheses derived from market...

All HARA-utility investors with the same exponent invest in a single risky fund and the risk-free asset. In a continuous time-model stock proportions are proportional to the inverse local relative risk aversion of the investor (1/γ-rule). This paper analyses the conditions under which the...

In the continuous time-Merton-model the instantaneous stock proportions are inversely proportional to the investor’s local relative risk aversion γ. This paper analyses the conditions under which a HARA-investor can use this 1/γ-rule to approximate her optimal portfolio in a finite time...

HARA-utility investors allocate their money to a risk-free fund and to a risky fund (two fund separation). The paper shows that under weak conditions, the risky fund can be approximated by the risky fund derived from exponential utility, without material effects on the certainty equivalent of...

The paper ”Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion” aims on extending the restrictive Black-Scholes model by allowing volatility to evolve randomly. These models are used to price exotic derivatives and certificates. The first stochastic...