Narrow search
Showing 1 - 10 of 425
Cover Image
Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space
Dunbar, Kwamie - 2009
underlying Modern Portfolio Theory's dynamic optimization framework. The paper derives a general outline of a stochastic … and then investigates the role of unsystematic (credit) risk in this continuous time stochastic asset allocation model …
Persistent link: https://www.econbiz.de/10009430131
Cover Image
The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach
Dunbar, Kwamie - 2009
The study investigates the role of credit risk in a continuous time stochastic asset allocation model, since the … traditional dynamic framework does not provide credit risk flexibility. The general model of the study extends the traditional … problem via a weighted volatility measure of market and credit risk. The model's optimal strategy was then compared to that …
Persistent link: https://www.econbiz.de/10009430231
Cover Image
Boom-bust cycles, imbalances and discipline in Europe : dynamics during financial stress
Alberola Ila, Enrique; Molina Sánchez, Luis; Río … - 2012
policies and markets. The empirical analysis of this paper, focused on market discipline, shows that before the crisis credit …
Persistent link: https://www.econbiz.de/10012530382
Cover Image
Liquidity Provision in the Limit Order Book - Adverse Selection, Iceberg Orders and the Opening Auction
Frey, Stefan - 2007
The dissertation highlights different topics of equity trading in limit order books using the example of Deutsche Boerse's electronic trading system XETRA. The first introductory chapter is a straight forward discussion of the profitability of exchange trading for both the exchange operator and...
Persistent link: https://www.econbiz.de/10009475366
Cover Image
Four Essays in Insurance
Sonnenholzner, Michael - 2005
This thesis contains four essays which are all from the broader field of insurance economics. The chapters can be read independently, although there is a certain connection between the articles. Chapter 2, which deals with moral hazard, and chapter 3, which is on oligopolistic models in the...
Persistent link: https://www.econbiz.de/10009451144
Cover Image
Anreize und Privatheit bei modernen Monitoring Technologien: das Beispiel der Kfz-Versicherungsvertr?ge
Filipova-Neumann, Lilia - 2008
Im Fahrzeugbau und im Verkehrswesen hat die praktische Umsetzung von Ubiquitous Computing Technologien einen hohen Grad erreicht. Unter diesem Begriff ist die Ausstattung unterschiedlicher Gegenst?nde mit Prozessoren und Sensoren zu verstehen, welche in der Lage sind, Daten ?ber ihren eigenen...
Persistent link: https://www.econbiz.de/10009482327
Cover Image
Kreditderivate. Konstruktion, Bewertung und Nutzung.
Kässbohrer, Thomas - 1998
des Marktes hindeuten:¨ Das Kreditrisiko und dessen Portfolio-orientiertes Management wird auch in Zukunft immermehr an …
Persistent link: https://www.econbiz.de/10009471811
Cover Image
Analisis Pengaruh Kredit Dan Suku Bunga Dalam Upaya Meningkatkan Pertumbuhan Ekonomi Sumatera Utara Pada PT. Bank Sumut Tahun 1989-2008
Prima, Dolly - 2011
This research titled "Analysis of Influence of Credit and Interest Rate Increase Economic Growth in Disability Sumatera … determine the influence of credit and interest rate of economic growth in 1989-2008 of North Sumatra. This research uses … that the higher credit demand, then economic growth will increase. Meanwhile, the higher the interest rate, then economic …
Persistent link: https://www.econbiz.de/10009464536
Cover Image
Macroeconomics without the LM: A Post-Keynesian Perspective
Palley, Thomas - 2008
determining short-term interest rates, which moves mainstream macroeconomics closer to Post Keynesian monetary theory. The current …
Persistent link: https://www.econbiz.de/10009467791
Cover Image
Credit Risk Management - The Importance of Correlations for the Evaluation of Credit Default Risk
Lipponer, Alexander - 2000
authorities are interested in the resultsbecause banks actually want to introduce portfolio based credit riskmodels to calculate …
Persistent link: https://www.econbiz.de/10009476196