Much of the endogenous growth literature has dwelled on evaluating the spillover effects of trade on growth, but much less efforts have been directed towards tracing and quantifying the spillover effects of foreign investments. This paper, in incorporating the effects of various types of foreign...

Portfolio selection has a long tradition in financial economics and plays an integral role in investment management. Portfolio selection provides the framework to determine optimal portfolio choice from a universe of available investments. However, the asset weightings from portfolio selection...

This paper investigates the farm level impacts of multiple peril yield and revenue insurance in an expected value-variance framework. The analysis is conducted using stochastic simulation jointly with numerical optimisation. Simulation is used to compute the means and variances of revenues as...

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...

This dissertation consists of four stand-alone research papers which investigate various aspects of hedge fund performance and optimal portfolio choice. The first chapter of this thesis deals with the problem of unobserved hedge fund returns after delisting. It is a joint work with Prof. Jens...

In der vorliegenden Arbeit werden Modelle für die Portfolio-Optimierung analysiert und implementieren. Dabei stehen quantitative Methoden der Fuzzy-Logik im Vordergrund. Zunächst wird das klassische Portfolio-Modell nach Markowitz dargestellt und dessen Resultate für einen Vergleich mit einem...

This paper proposes different investment strategies for portfolio selection based on decision-making under uncertainty, rather than the conventional Markowitz portfolio model. The results of perfectinformation and the results of investment strategies for decision-making under uncertainty are...