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A risk aversion paradox and wealth dependent utility
Löffler, Andreas - 1996
optimal portfolio being riskless. We discuss a solution of that paradox in detail. (JEL D80, G11, D10). …
Persistent link: https://www.econbiz.de/10005842122
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Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment
Rau-Bredow, Hans - 2002
This paper first provides a simple but very general framework for credit portfolio modellingwhich is based on the … very large, infinitelyfine-grained portfolio. The framework contains typical models like CreditRisk+and CreditMetrics as … granularity adjustment in a"lumpy" credit portfolio. …
Persistent link: https://www.econbiz.de/10005843044
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On the Estimation of the Global Minimum Variance Portfolio
Kempf, Alexander; Memmel, Christoph - 2002
global minimum variance portfolio. The weights of this portfolio are usually estimated by replacing the true return … return parameters of this portfolio. Our contribution is to determine these distributions. The knowledge of these …In vielen Studien zur Portfoliooptimierung schneidet das global varianzminimale Portfolio alseine der besten …
Persistent link: https://www.econbiz.de/10005844933
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Net Worth, Risk Taking and Investment
Hubert, Franz - Universität <Berlin, Humboldt-Universität> / Chair … - 2000
This paper analyzes how agency problems in nancial contracting determine risk-taking andinvestment. In perfect capital markets a risk-neutral rm would invest until the expectedmarginal return equals the interest rate. However, as rms with little net-worth face agencycost in nancial contracting...
Persistent link: https://www.econbiz.de/10005841020
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Recent Trends in U.S. and German Banking:Convergence or Divergence?
Biswas, Rita; Löchel, Horst - Frankfurt School of Finance & Management - 2001
subsidiary, of commercial and investment banking. …
Persistent link: https://www.econbiz.de/10005865896
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Prices as indicators of scarcity - anexperimental study of a multistageauction
McDaniel, Tanga; Nicklisch, Andreas - Max-Planck-Institut für Ökonomik <Jena> / Abteilung … - 2004
-ridinginherent in auctions for future access provide inaccurate signalsfor investment. …
Persistent link: https://www.econbiz.de/10005866772