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Why Does Implied Risk Aversion Smile?
Ziegler, Alexandre - 2002
This paper shows that preferences alone cannot explain the patterns reported in the literature.
Persistent link: https://www.econbiz.de/10005843337
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"Risikobegrenzende" Aktienfonds? Zugleich ein Beitrag zum Einsatz von Finanzderivaten bei Investmentfonds
Büschgen, Hans E. - Institut für Bankwirtschaft und Bankrecht an der … - 1996
Betrachtet man das Anlageverhalten deutscher Kapitalanleger, so kanndieses durch eine ausgeprägte Risikoscheu bzw. den …
Persistent link: https://www.econbiz.de/10005844768
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Risk Attitudes of Bond Investors
Kellerhals, B. Philipp; Schöbel, Rainer - 2001
In this paper the authors measure the risk attitudes of bond investors which can be revealed from settled market prices. They present an equilibrium model which focuses on the stochastic behavior of tastes in addition to the dynamics of investor beliefs.
Persistent link: https://www.econbiz.de/10005846139
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LIQUIDITÄT, RISIKOEINSTELLUNG DES KAPITALMARKTES UNDKONJUNKTURERWARTUNG ALS PREISDETERMINANTEN VONCOLLATERALIZED DEBT OBLIGATIONS (CDOS)
GANN, PHILIPP - Universität <München> / Fakultät für Betriebswirtschaft - 2009
Gegenstand der vorliegenden Arbeit ist die Analyse des Einflusses der Faktoren Konjunkturerwartung,Risikoaversion des …, dass die Marktwerte von CDOs wesentlich durch dasmakroökonomische Umfeld determiniert werden. Die explizite Konjunktur … Risikoaversion des Kapitalmarktes auf die Marktwerte von CDOs verschiedener Senioritätanalysiert.... …
Persistent link: https://www.econbiz.de/10009418808
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The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange
Skjeltorp, Johannes A.; Ødegaard, Bernt Arne - Universitetet <Stavanger> / School of Business … - 2009
We investigate the information content of aggregate stock market liquidity and askwhether it may be a useful realtime indicator, both for nancial stress, and real economicactivity in Norway. We describe the development in a set of liquidity proxies at the OsloStock Exchange (OSE) for the period...
Persistent link: https://www.econbiz.de/10009305195
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Existence and uniqueness of equilibria in the CAPM with a riskless asset
Hens, Thorsten; Löffler, Andreas - Institut für Bank- und Finanzwirtschaft <Berlin> - 1996
In the standard CAPM with a riskless asset we give a simple proof of existence of equilibria without assuming concavity of the investor's utility functions. Moreover, we give a uniqueness result using assumptions on the risk aversion of investors.
Persistent link: https://www.econbiz.de/10005840237
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On uniqueness of equilibria in the CAPM
Löffler, Andreas; Hens, Thorsten; Laitenberger, Jörg - 2000
In the standard CAPM with a riskless asset we give a sufficient condition for uniqueness. This condition is a joint restriction on the agents´ endowments and their preferences which is compatible with non-increasing absolute risk aversion and which is inparticular satisfied with constant...
Persistent link: https://www.econbiz.de/10005840916
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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
Chacko, George; Viceira, Luis M. - 1999
This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets.
Persistent link: https://www.econbiz.de/10005843149
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Do Fixed Income Securities Also Show Asymmetric Effects in Conditional Second Moments?
Cappiello, Lorenzo - 2000
This paper estimates a trivariate two-factor conditional version of the Intertemporal CAPM of Merton (1973).
Persistent link: https://www.econbiz.de/10005843151
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The Demand for Enhanced Annuities
Schumacher, Petra - Universität <München> / Fakultät für Betriebswirtschaft - 2008
In enhanced annuities, the annuity payment depends on one's state ofhealth at some contracted date while in "standard annuities", it does not.The focus of this paper is on an annuity market where "standard" and en-hanced annuities are oered simultaneously. When all insured know equallywell on...
Persistent link: https://www.econbiz.de/10009418812