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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 649: Ökonomisches Risiko, … - 2008
Much of the industrialized world is undergoing a significant demographic 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/10005678010
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Individual Welfare Gains from Deferred Life-Annuities under Stochastic Lee-Carter Mortality
Post, Thomas - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
A deferred annuity typically includes an option-like right for the policyholder. At the end of the deferment period, he may either choose to receive annuity payouts, calculated based on a mortality table agreed to at contract inception, or receive the accumulated capital as a lump sum....
Persistent link: https://www.econbiz.de/10005784844
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Is socially responsible investing just screening? Evidence from mutual funds
Hirschberger, Markus; Steuer, Ralph E.; Utz, Sebastian; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
This paper presents the results of an empirical study concerning conventional and socially responsible mutual funds.We apply a sophisticated operations research algorithm embedded in inverse portfolio optimization on financial market data, ESG-scores and CRSP fund data. Due to our results we...
Persistent link: https://www.econbiz.de/10009652361
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When to Cross the Spread: Curve Following with Singular Control
Naujokat, Felix; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a twosided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. We...
Persistent link: https://www.econbiz.de/10009246595
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Optimal liquidation in dark pools
Gökhan Cebiro˜glu; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading in a dark pool. The unique optimal execution...
Persistent link: https://www.econbiz.de/10009278167
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Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators
Heyne, Gregor; Kupper, Michael; Mainberger, Christoph - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with generators that are jointly lower semicontinuous, bounded below by an affine function of the control variable and satisfy a specific normalization property.
Persistent link: https://www.econbiz.de/10010607152
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Representations for optimal stopping under dynamic monetary utility functionals
Krätschmer, Volker; Schoenmakers, John - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...
Persistent link: https://www.econbiz.de/10008527066
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Hidden Liquidity: Determinants and Impact
Cebiroglu, Gökhan; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the …
Persistent link: https://www.econbiz.de/10009652363
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Recursive Portfolio Selection with Decision Trees
Andriyashin, Anton; Härdle, Wolfgang; Timofeev, Roman - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
volatility variable, when included into the training sample, boosts the predictive power of the model significantly. …
Persistent link: https://www.econbiz.de/10005652774
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Arbitrage-Free Smoothing of the Implied Volatility Surface
Fengler, Matthias R. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in … the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in … algorithms of the implied volatility surface cannot guarantee the absence arbitrage. Here, we propose an approach for smoothing …
Persistent link: https://www.econbiz.de/10005677943