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Der Handel von Produktbündeln (Bundle Trading) auf Finanzmärkten kann unter anderemdurch die von Markowitz entwickelte Portfolio-Selektionstheorie sowie Optionskombinationsstrategienmotiviert werden. In der Praxis äußert sich dies durch die Existenz innovativerelektronischer Finanzmärkte,...
Persistent link: https://www.econbiz.de/10005856167
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Persistent link: https://www.econbiz.de/10005856191
In der Vergangenheit führte die Globalisierung und Öffnung der Finanzmärkte zu größerer Kapital- und Dienstleistungsfreiheit und zur De-Regulierung des Finanzsektors. In jüngster Zeit ist jedoch eine Trendumkehr von der De-Regulierung zur Re-Regulierung zu beobachten...
Persistent link: https://www.econbiz.de/10005856976
Tukey (1960) derived via the technique of transformation of variables starting from the normal distribution a family of skewed and leptokurtic distributions. Skewness and leptokurtosis are determined by two parameters g and h. Therefore, the family was called family gh-distributions. We modify...
Persistent link: https://www.econbiz.de/10005857589
There are several proposals of adding a skewness parameter into a symmetric distribution. Most of them are combined with a certain distribution. The following working paper will present an universal method of generating an asymmetric distribution.As an application this method is used to make the...
Persistent link: https://www.econbiz.de/10005857651
On financial markets many investment decisions are taken by groups and not by individuals. The evidence, however, whether groups better than individuals, is ambigous. We analyze the portfolios of groups and individuals in an asset allocation task on an experimental market. We find that groups on...
Persistent link: https://www.econbiz.de/10005857732
Our objective is to identify the trading strategy that would allow an investor to take advantage of “excessive” stock price volatility and “sentiment” fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two classes of agents and stock prices are excessively...
Persistent link: https://www.econbiz.de/10005857774
Mitte Januar 2001 hat der Basler Ausschuss für Bankenaufsicht das Zweite Konsultationspapier Die Neue Basler Eigenkapitalvereinbarung vorgelegt, das weit reichende Änderungen des Bankenaufsichtsrechts zur Folge haben wird. Die Autoren erläutern die wesentlichen Inhaltedieses...
Persistent link: https://www.econbiz.de/10005857853
This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...
Persistent link: https://www.econbiz.de/10005857971