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Game theory and portfolio selection: a proposed adjustment to the minimax model and application to the Brazilian stock market
Farias, Christiano Alves; Vieira, Wilson da Cruz; … - 2004
The objective of this paper was to compare and to analyze three portfolio selection models: Mean-Variance, Minimax and Minimax Weighted. These models were evaluated using historical data (September 1999 to August 2000, January 2001 to December 2001 and February 2002 to January 2003) obtained...
Persistent link: https://www.econbiz.de/10009445890
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Real Estate Asset Allocation auf Basis des Black-Litterman-Ansatzes. Ein Modell zur gleichgewichtsorientierten Portfoliodiversifikation an zyklischen Immobilienm?rkten
Zankl, Stephan - 2009
Kern der vorliegenden Arbeit ist die Entwicklung eines Black-Litterman-Modells zur Allokation von Immobilienportfolios. Motiviert durch die global zunehmende Bedeutung des Immobilien-Portfoliomanagements und die begrenzte Eignung der Markowitz?schen Portfolio-Selektionstheorie in der Praxis wird...
Persistent link: https://www.econbiz.de/10009484812
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Asset Pricing bei heterogenen Erwartungen : Analyse der Auswirkungen von heterogenen Erwartungen auf Wertpapierpreise und Wertpapierpreisbewegungen
Schnelle, Pascal - 2009
Die neoklassische Kapitalmarkttheorie und die ihr zugeordneten Standard-Asset-Pricing-Modelle gehen grundsätzlich von … neoklassischen Kapitalmarkttheorie erscheint es als logische Konsequenz, dass sich in einigen Bereichen der Kapitalmarktforschung … wissenschaftlichen Schrifttum aber an einem Rahmenwerk, welches sich dem gesamten Forschungsbereich Kapitalmarkttheorie bei …
Persistent link: https://www.econbiz.de/10009448906
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Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E.; Shephard, Neil - 2001
and extending powerful results from probability theory for applications in statistical analysis. Their power is … processes, and we study these models in relation to financial data and theory. …
Persistent link: https://www.econbiz.de/10009441451
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Essays on the financial governance of firms
Wilson, Linus; Roberts, Kevin W. S. - 2007
Four essays, or chapters, model the capital structure, governance, and investment decisions as part of a sequential game. Each chapter is separate in its context, assumptions, and conclusions. The titles of the chapters are below.Abstracts of each essay or chapter can be found at the beginning...
Persistent link: https://www.econbiz.de/10009441487
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Fiscal renaissance in a democratic South Africa
Ajam, Tania; Aron, Janine - 2007
South Africa has overcome adverse initial conditions to achieve a remarkable fiscaltransformation since the 1994 democratic elections, held amid uncertainty about its ability to maintain the rule of law and resist populist spending pressures. Constitutionally-based, durable and credible fiscal...
Persistent link: https://www.econbiz.de/10009441494
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Review of monetary policy in South Africa since 1994
Aron, Janine; Muellbauer, John - 2006
This paper reviews the design and performance of monetary policy in South Africa (SA) during 1994-2004. Quantitative indexes of transparency reveal a strong rise in the transparency and accountability of monetary policy between 1994 and 2004. Inflation and interest rate expectations data and...
Persistent link: https://www.econbiz.de/10009441502
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Do high interest rates defend currencies during speculative attacks?: New evidence
Goderis, Benedikt; Ioannidou, Vasso P. - 2006
A recent paper by Kraay (2003) documents the lack of any systematic associationbetween monetary policy and the outcome of a speculative attack. This paper extendsKraay’s work by introducing an improved measure of monetary policy and an additionalcountry-specific fundamental, short-term...
Persistent link: https://www.econbiz.de/10009441503
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Reputation and credit without collateral in Africa's formal banking
Nkurunziza, Janvier Désiré - 2005
The analysis of reputation as a contract enforcement instrument where legal institutions, especially commercial courts, fail to enforce commercial contracts has focused on informal credit markets. The literature centres on the argument that lenders or co-borrowers in group lending can easily...
Persistent link: https://www.econbiz.de/10009441507
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Revised estimates of personal sector wealth for South Africa
Aron, Janine; Muellbauer, John - 2004
In common with many emerging market countries, South Africa’s government does not publish balance sheet wealth estimates on a market value basis, as produced in the U.S., U.K., Japan, and elsewhere. Yet without information on the market values of liquid and illiquid personal sector wealth, it...
Persistent link: https://www.econbiz.de/10009441510