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From preferences to Cobb-Douglas utility
Voorneveld, Mark - 2008
We provide characterizations of preferences representable by a Cobb-Douglas utility function. …
Persistent link: https://www.econbiz.de/10010281260
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Outer measure and utility
Voorneveld, Mark; Weibull, Jörgen W. - 2008
In most economics textbooks there is a gap between the non-existence of utility functions and the existence of … continuous utility functions, although upper semi-continuity is sufficient for many purposes. Starting from a simple constructive … the existence of upper semi-continuous utility functions on a wide class of domains. Although links between utility theory …
Persistent link: https://www.econbiz.de/10010281322
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Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios
Kamp, Andreas; Pfingsten, Andreas; Porath, Daniel - 2005
Theory of financial intermediation gives contradicting answers to the question whether banks should diversify or focus their loan portfolios. Our aim is to find out which of the two strategies is predominant in the German banking market. To this end we measure diversification for all German...
Persistent link: https://www.econbiz.de/10010295896
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Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks
Behr, Andreas; Kamp, Andreas; Memmel, Christoph; … - 2007
Banks face a tradeoff between diversifying and focusing their loan portfolio. In this paper we carry out an empirical study for the German market to shed light on the question whether or not the benefits of risk sharing outweigh those of specialization. We use data from the Bundesbank's...
Persistent link: https://www.econbiz.de/10010295924
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A renewal theoretic result in portfolio theory under transaction costs with multiple risky assets
Irle, Albrecht; Prelle, Claas - 2008
We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon....
Persistent link: https://www.econbiz.de/10010263520
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Climate risk and farming systems in rural Cameroon
Witt, Rudolf; Waibel, Hermann - 2009
Climate risk is particularly burdensome to small-scale farmers in developing countries due to heavy dependence on natural resources, limited and erratic rainfall with high inter- and intra-annual variability, and other natural calamities. Numerous studies on climate change suggest that climate...
Persistent link: https://www.econbiz.de/10010270047
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A Concave Security Market Line
De Giorgi, Enrico G.; Post, Thierry; Yalcin, Atakan - 2012
We provide theoretical and empirical arguments in favor of a concave shape for the security market line, or a diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, different investors generally hold different sets of risky securities....
Persistent link: https://www.econbiz.de/10010500211
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Efficient electricity portfolios for the United States and Switzerland: An investor view
Krey, Boris; Zweifel, Peter - 2008
This study applies financial portfolio theory to determine efficient electricity-generating technology portfolios for the United States and Switzerland, adopting an investor point of view. Expected returns are defined by the rate of decrease of power generation cost (with external costs...
Persistent link: https://www.econbiz.de/10010315486
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Efficient electricity portfolios for Switzerland and the United States
Krey, Boris; Zweifel, Peter - 2006
This study applies financial portfolio theory to determine efficient electricity-generating technology mixes for Switzerland and the United States. Expected returns are given by the (negative of the) rate of increase of power generation cost. Volatility of returns relates to the standard...
Persistent link: https://www.econbiz.de/10010315522
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Correlated risks: A conflict of interest between insurers and consumers and its resolution
Eugster, Patrick; Zweifel, Peter - 2006
This contribution starts out by noting a conflict of interest between consumers and insurers. Consumers face positive correlation in their assets (health, wealth, wisdom, i.e. skills), causing them to demand a great deal of insurance coverage. Insurers on the other hand eschew positively...
Persistent link: https://www.econbiz.de/10010315580