because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables … size and book-to-market ratio capture the cross-sectional variation of US stock returns better than other combinations of …/French for US stock returns is almost the best one in Germany. The book-to-market-ratio turns out to be the variable with highest …

returns are significantly smaller than returns measured for the remaining days of the week calls the efficiency hypothesis for … returns in the period 1960-79. Within two subsamples obtained from the period 1980-97 the evidence in favour of such effects …

model to two series of FX daily returns on DEM/USD and GBP/USD. …

nondegeneracy condition on the conditional variances of asset returns, we prove the existence of a locally risk-minimizing strategy … incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a … under the inclusion of transaction costs: The preceding strategy which is locally risk-minimizing inclusive of transaction …

We determine the increase of the maximum risk over the minimax risk in the case that the optimally robust estimator for … the relative risk is minimized in the case that the radius is known only to belong to some interval [pr, l'/p] " The … effect of increasing parameter dimension is studied for these models. The minimax increase of relative risk in ease p = 0 …

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or …. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk …