This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...

In this contribution, we present a model that retailers engaged in e-commerce (e-tailers)can use for determining the optimal mix of customer segments within a customer portfolio froman integrated risk and return perspective....

Real options theory applies techniques known from finance theory to the valuation of capital investments. The present paper investigates further into this analogy, considering the case of a portfolio of real options. An implementation of real option models in practice will mostly be concerned...

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...

This paper presents a new approach to incorporate estimation risk into mean-variance portfolio selection. The key contribution of our analysis is that we model the estimation risk as a second, independent source of risk.

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 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.

This paper anwers the question if the euro and accompanying measures of financial integration had a discernable impact on the degree of diversification of European investors?