In this paper we have developed a financial model of the non-life insurer to provide assistance for the management of the insurance company in making decisions on product, investment and reinsurance mix. The model is based on portfolio theory and recognizes the stochastic nature of and the...

The solution to dynamic portfolio choice models can be formulated in terms of a value function by the Bellman principle of optimality, which reduces the multi-period optimal policy choice problem to a sequence of one-period maximization problems. For two adjacent periods, economists compute the...

This paper examines the life-cycle impact of preference factors as experience, loss aversion, and narrow framing on explaining the empirical low stock market participation, low stock share conditional on participation, and positive relationships between financial wealth and participation as well...

Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the state vector prevents or at least severely impedes their...

Der vorliegende Beitrag zeigt verschiedene Möglichkeiten auf, um repräsentative Renditen für die Anlageklasse Immobilien berechnen zu können. Betrachtet werden Indizes auf der Basis (i) von regelmäßig bewerteter Immobilienportefeuilles, (ii) auf Basis von Markttransaktionen in Immobilien...

The present paper considers a retiree of a certain age with an initial endowment of investable wealth facing the following alternative investment opportunities. One possibility is to buy a single premium immediate annuity-contract...

Die vorliegende Arbeit analysiert den Cost - Average Effekt , beruhend auf einer strukturierten Vorgehensweise eines Finanzinvestments, der Cost Average- bzw. Durchschnittspreis-Methode.

In this paper, we study the benefits derived from international diversification of stock portfoliosfrom Hungarian as well as German point of view. The Hungarian Stock Exchange is anemerging market in contrast to the German capital market which is one of the largest marketsin the world. In an ex...