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Two essays on general equilibrium foundation of finance

Siwik, Thomas - 2002

The thesis consists of two essays: "The CAPM -- A General Equilibrium Foundation" and "The Foreign Exchange Rate in … Financial Markets".The Capital Asset Pricing Model (CAPM) is one of the most successful models for portfolio selection. The … advantages are the simple risk measure and the quite applicable properties of CAPM-equilibria: The Mutual Fund Theorem, the Beta …

Persistent link: https://www.econbiz.de/10009452580

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

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

Case-Based Decision Theory and Financial Markets

Guerdjikova, Ani Vladimirova - 2004

Die Dissertation wendet die fallgestützte Entscheidungstheorie (Case-Based Decision Theory) vorgeschlagen von Gilboa and Schmeidler (1995) auf Entscheidungen in Finanzmärkten an. Betrachtet werden sowohl das individuelle Portfoliowahlproblem eines Investors, wie auch Märkte, in denen...

Persistent link: https://www.econbiz.de/10009476229

Die Risikopolitik von Private Equity- und Venture Capital Gesellschaften

Fabjani, Wilfrid - 2005

Die Möglichkeiten einer Private Equity- oder Venture Capital Gesellschaft Risikopolitik zu betreiben, wurden bisher in der wissenschaftlichen Literatur noch nicht hinreichend untersucht. Diese Arbeit analysiert die Möglichkeiten, welche für Private Equity- und Venture Capital Gesellschaften...

Persistent link: https://www.econbiz.de/10009480930

Portfolio-Modelle mit unscharfen Parametern. Ein theoretischer und empirischer Vergleich mit dem klassischen Modell nach Markowitz.

Duan, Li - 2011

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...

Persistent link: https://www.econbiz.de/10009449728

Estimation of Expected Returns, Time Consistency of A Stock Return Model, and Their Application to Portfolio Selection

Ma, Huaqiang - 2010

Longer horizon returns are modeled by two approaches, which have different impact on skewness and excess kurtosis. The Levy approach, which considers the random variable at longer horizon as the cumulants of i.i.d random variables from shorter horizons, tends to decrease skewness and excess...

Persistent link: https://www.econbiz.de/10009450698

Comparison of decision-making under uncertainty investment strategies with the money market

Groenewald, Madeleine E; Pretorius, Philip D - 2010

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...

Persistent link: https://www.econbiz.de/10009456018

Portfolio optimization with risk constraints

Gandy, Ralf - 2005

In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...

Persistent link: https://www.econbiz.de/10009462193

Hedge Funds : Alternative Investment Strategies and Portfolio Models

Mader, Wolfgang - 2005

The work covers a variety of aspects, with the four main chapters combining qualitative and quantitative information on the hedge fund industry. Generally speaking, Chapters 2, 3, and the first part of Chapter 4 provide qualitative hedge fund research while quantitative aspects are discussed in...

Persistent link: https://www.econbiz.de/10009482318