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A Numerical Approach to Profile Investor Preferences from Option Prices
Marzetti, Marco - 2007
This paper introduces a behavioural model and an algorithm that allow define classes of investors and draw the size each of them from financial data. The nonparametric pricing kernel estimated from stocks and options quotes allows to derive an estimate of the market utility. At the micro level...
Persistent link: https://www.econbiz.de/10009467010
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Der Wandel des Kapitalanlageverhaltens im Lebenszyklus : eine sozioökonomische Betrachtung
Schuster, Sylvia - 2010
Ziel der Diplomarbeit ist es, aufzuzeigen, welche Einflussfaktoren auf den Kapitalanleger aus ökonomischer, soziologischer und psychologischer einwirken. Unter diesen Gesichtspunkten wird der Wandel des Anlageverhaltens eines Individuums in seinem fortschreitenden Lebenszyklus betrachtet.Durch...
Persistent link: https://www.econbiz.de/10009434253
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Die Persönlichkeit als Erklärungsansatz interindividueller Unterschiede im Anlegerverhalten an der Börse
Rothkopf, Birte - 2003
. Insgesamt war der Einfluß der Persönlichkeitseigenschaften auf das Anlageverhalten jedoch relativ gering, und dabei vor allem …
Persistent link: https://www.econbiz.de/10009467423
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Anlagestrategie Behavioral Finance : die Bedeutung verhaltensorientierter Anlagestrategien in der amerikanischen und deutschen Fondsindustrie
Jaunich, Arthur Oliver - 2008
Die Dissertation befasst sich mit der praktischen Umsetzung der Behavioral-Finance-Theorie im Bereich des Asset … stabil sind, wie es die Behavioral-Finance-Theorie vermuten lässt. Die Verbreitung der nachgebildeten Anlagestrategien in der … genannten Behavioral-Finance-Fonds, bezieht sich in der Außenkommunikation auf die Behavioral-Finance-Theorie. Tatsächlich …
Persistent link: https://www.econbiz.de/10009467430
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Three Essays on High Frequency Financial Econometrics and Individual Trading Behavior
Nolte, Ingmar - 2008
In recent years high-frequency finance has become one of the most active research fields in finance and economics. The wide-spread availability of high-frequency datasets has particularly spurred research within this field and has, in turn, given birth to the rapidly expanding bridge between...
Persistent link: https://www.econbiz.de/10009471665
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Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk
Bianchi, Robert John - 2007
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...
Persistent link: https://www.econbiz.de/10009437793
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Assessing the Farm Level Impacts of Yield and Revenue Insurance: an Expected Value-Variance Approach
Berg, Ernst - 2002
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...
Persistent link: https://www.econbiz.de/10009443846
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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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Four Essays on Investments
Kolokolova, Olga - 2009
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...
Persistent link: https://www.econbiz.de/10009471779
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Case-Based Decision Theory and Financial Markets
Guerdjikova, Ani Vladimirova - 2004
Die Dissertation wendet die fallgestützte Entscheidungstheorie (Case-Based Decision Theory) vorgeschlagen von Gilboa …The dissertation applies the case-based decision theory proposed by Gilboa and Schmeidler (1995) to financial markets …
Persistent link: https://www.econbiz.de/10009476229