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  • Search: person:"Niedermayer, Daniel"
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Year of publication
Subject
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Portfolio-Management 5 Portfolio selection 4 CAPM 2 Capital-Asset-Pricing-Modell 2 Kapitaleinkommen 2 Monte-Carlo-Simulation 2 Nichtlineare Optimierung 2 Nonlinear programming 2 Roll Critique 2 USA 2 Varianzanalyse 2 asset pricing 2 critical line algorithm 2 efficient frontier 2 finance 2 market proxy 2 mean-variance analysis 2 numerical methods 2 portfolio selection 2 quadratic optimization 2 short-sale constraint 2 2001-2006 1 Aktienrendite 1 Analysis of variance 1 Anlagepolitk 1 Basel Accord 1 Basler Akkord 1 Betriebliche Liquidität 1 Capital income 1 Capital requirements 1 Corporate liquidity 1 EU countries 1 EU-Staaten 1 EU-Versicherungsrecht 1 European insurance law 1 Finanzmathematik 1 Funds 1 Insurance 1 Insurance companies 1 Insurance supervision 1
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Online availability
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Free 4 Undetermined 1
Type of publication
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Book / Working Paper 11 Article 1
Type of publication (narrower categories)
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Graue Literatur 4 Non-commercial literature 4 Working Paper 4 Arbeitspapier 3 Article in journal 1 Aufsatz in Zeitschrift 1 Hochschulschrift 1 Thesis 1
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Language
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English 9 Undetermined 3
Author
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Niedermayer, Daniel 12 Zimmermann, Heinz 5 Niedermayer, Andras 4 Mezőfi, Balázs 1 Niedermayer, Andras F. 1 Niedermayer, Andreas 1 Süli, Balázs Márton 1
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Institution
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Department Volkswirtschaftlehre, Universität Bern 2 Wirtschaftswissenschaftliches Zentrum <Basel> 2
Published in...
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Diskussionsschriften 2 Diskussionsschriften / Universität Bern, Departement Volkswirtschaftlehre 2 Insurance / Mathematics & economics 1 University of Bern Economics Working Paper 1 Universität Basel - Wirtschaftswissenschaftliches Zentrum - Abteilung Finanzmarkttheorie - Publikationen 1 WWZ Working Paper 1 WWZ Working Paper 15/07 1 WWZ working paper 1 Wirtschaftswissenschaftliches Zentrum <Basel> - working paper 1 Working Paper 1
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Source
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ECONIS (ZBW) 7 USB Cologne (business full texts) 2 RePEc 2 EconStor 1
Showing 1 - 10 of 12
Cover Image
Solvency II reporting : how to interpret funds' aggregate solvency capital requirement figures
Mezőfi, Balázs; Niedermayer, Andras; Niedermayer, Daniel - In: Insurance / Mathematics & economics 76 (2017), pp. 164-171
Persistent link: https://www.econbiz.de/10011774804
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The Cross-Section of Positively Weighted Portfolios
Niedermayer, Daniel; Zimmermann, Heinz - 2007
This paper examines properties of mean-variance inefficient proxies with respect to producing a linear relation between expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient, positively weighted proxies cause an almost perfect...
Persistent link: https://www.econbiz.de/10011390622
Saved in:
Cover Image
The cross-section of positively weighted portfolios
Niedermayer, Daniel (contributor);  … - 2007
This paper examines properties of mean-variance inefficient proxies with respect to producing a linear relation between expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient, positively weighted proxies cause an almost perfect...
Persistent link: https://www.econbiz.de/10003666366
Saved in:
Cover Image
The Cross-Section of Positively Weighted Portfolios
Niedermayer, Daniel - 2007
This paper examines properties of mean-variance inefficient proxies with respect to producing a linear relation between expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient, positively weighted proxies cause an almost perfect...
Persistent link: https://www.econbiz.de/10012730617
Saved in:
Cover Image
Applying Markowitz's Critical Line Algorithm
Niedermayer, Andras F. - 2007
We provide a Matlab quadratic optimization tool based onMarkowitz's critical line algorithm that significantly outperforms standard software packages and a recently developed operations research algorithm. As an illustration: For a 2000 asset universe our method needs less than a second to...
Persistent link: https://www.econbiz.de/10012731831
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Cover Image
Applying Markowitz's critical line algorithm
Niedermayer, Andreas (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003458402
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Applying Markowitz's critical line algorithm
Niedermayer, Andras (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003288660
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Essays on portfolio theory and computational finance
Niedermayer, Daniel - 2008
Persistent link: https://www.econbiz.de/10003841023
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Cover Image
The cross section of positively weighted portfolios
Niedermayer, Daniel; Zimmermann, Heinz - Wirtschaftswissenschaftliches Zentrum <Basel> - 2007
This paper examines properties of mean-variance inefficient proxies with respect to producing a linear relation between expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient, positively weighted proxies cause an almost perfect...
Persistent link: https://www.econbiz.de/10005862639
Saved in:
Cover Image
The Cross-Section of Positively Weighted Portfolios
Niedermayer, Daniel; Zimmermann, Heinz - Wirtschaftswissenschaftliches Zentrum <Basel> - 2007
This paper examines properties of mean-variance inefficient proxieswith respect to producing a linear relation between expected returnsand betas. The numerical results of a Monte Carlo simulation showthat in the CAPM slightly inefficient, positively weighted proxies causean almost perfect linear...
Persistent link: https://www.econbiz.de/10005867871
Saved in:
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