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Finance and Efficiency: Do Bank Branching Regulations Matter?
Acharya, Viral V.; Imbs, Jean; Sturgess, Jason - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States … that financial development has important consequences for efficiency and specialization (or diversification) of investments …
Persistent link: https://www.econbiz.de/10005858336
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The Evolutionary Virtue of Diversification
Schenk-Hoppé, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich> - 2004
This note shows that an investor who does not hold positive amounts of all available assets is eventually overtaken by a completely diversified rival investor.
Persistent link: https://www.econbiz.de/10005858925
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How to diversify internationally?A comparison of conditional and unconditional asset allocation methods
Barras, Laurent; Isakov, Dusan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
o obtain the maximum benefits from diversification, financial theory suggests that investors should invest …
Persistent link: https://www.econbiz.de/10005859126
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An Entropy Approach to the Stein/Stein model with correlation
Rheinlaender, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We outline a martingale duality method for determining the minimal entropy martingale measure in a general continuous …
Persistent link: https://www.econbiz.de/10005858499
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Financial Market Equilibria with Cumulative Prospect Theory
de Giorgio, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2009
The paper rst shows that nancial market equilibria need not to exist if agents possesscumulative prospect theory … preferences with piecewise-power value functions. This is due tothe boundary behavior of the cumulative prospect theory value …-negativity constraints on nal wealth are imposed andthere is a continuum of agents in the market. However, if the original prospect theory …
Persistent link: https://www.econbiz.de/10009354077
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Will investors adapt their investment behavior whenfaced with a change in information feedback and investmentflexibility?
Zeisberger, Stefan; Langer, Thomas; Weber, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2011
Assuming investors are loss averse, repeated risky investments are less attractive inmyopic evaluation. A theoretical foundation for this effect is given by the behavioralconcept of myopic loss aversion (MLA). The consequences of MLA have been confirmedin several between-subject experimental...
Persistent link: https://www.econbiz.de/10009354101
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The dark side of the moon: structured products from the customer's perspective
Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2008
Structured financial products have gained more and more popularity in recent years, but nevertheless has their success so far notthoroughly been analyzed. In this article we develop a theoreticalframework for the design of optimal structured products and analyzethe maximal utility gain for an...
Persistent link: https://www.econbiz.de/10005857733
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Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
Eric Jondeau - Institut für Schweizerisches Bankwesen <Zürich> - 2008
It is well known that the class of strong (Generalized) AutoRegressive Conditional Heteroskedasticity (or GARCH) processes is not closed under contemporaneous aggregation. This paper provides the dynamics followed by the aggregate process when the individual persistence parameters are drawn from...
Persistent link: https://www.econbiz.de/10005857736
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CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
Broda, Simon A.; Paolella, Marc S. - Institut für Schweizerisches Bankwesen <Zürich> - 2008
The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysiscan be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...
Persistent link: https://www.econbiz.de/10005857739
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Technical Trading Revisited: Persistence Tests, Transaction Costs, and False Discoveries
Bajgrowicz, Pierre; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones index. First, we use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it is more powerful and not restricted only to the best...
Persistent link: https://www.econbiz.de/10005857744