In einer im Mai 2010 von der WirtschaftsfördergesellschaftVorpommern mbH (WFG) in Zusammenarbeit mit kreislichen undstädtischen Wirtschaftsförderern sowie der Fachhochschule Stralsund, FachbereichWirtschaft, durchgeführten branchenübergreifenden Unternehmensbefragungzur Zufriedenheit mit...

We generalize the classical concept of a certainty equivalent to a model where an investor can trade on a capital market with several future trading dates.We show that if a riskless asset is traded and the investor has a CARA utility then our generalized certainty equivalent can be evaluated...

This paper develops a continuous-time model of liquidity provision by banks, in which customers can deposit and withdraw their funds strategically ...

This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an unconstrained trader and that the probability of extreme losses is also lower.

This paper investigates the influence of a firm's financial status on the within-firm allocation of funds, reected in its plant-level investment and exit decisions.

We examine the coexistence of banks and financial markets, studyinga credit market where the qualities of investment projects are notobservable and the investment decisions of entrepreneurs are not contractible...

This paper extends Merton’s continuous time (instantaneous) mean-varianceanalysis and the mutual fund separation theory. Given the existence of a Marko-vian state price density process, the optimal portfolios from concave utility max-imization are instantaneously mean-variance efficient...

We study in a general perspective the partial equilibrium incentives and the general equilibrium asset pricing implications of Value-at-Risk (VaR) regulation in continuous time economies with intermediate consumption, stochastic opportunity set, and heterogenous attitudes to risk. Our findings...

We present a geometric approach to discrete time multiperiod mean variance portfolio opti-mization that largely simplifies the mathematical analysis and the economic interpretation of such model settings. We show that multiperiod mean variance optimal policies can be decom-posed in an orthogonal...

This model adds to the standard neoclassical model of business fluctuations by introducing a more realistic capital structure problem, where firms have to balance the tax benefits of debt with the costs of potential financial distress. Therefore, firms solve a dynamic problem with both an...