Vorliegendes Arbeitspapier analysiert die Einflüsse intertemporaler Renditezusammenhänge und fester Startwerte in Vektorautoregressions-(VAR-) Modellen für stetige Renditen anhand des Vergleichs mit einem statischen Random-Walk-Modell.

The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems.

This paper studies the impact of EMU on portfolio diversification opportunities.

This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.

This paper solves the intertemporal investment problem of an investor holding a portfolio of default-free and defaultable bonds.

This paper shows optimal asset allocation during these two phases must be different.

This paper deals with the country allocation provides benefits over industry allocation in a sample of European country and industry indexes.