We propose a simplified approach to mean-variance portfolio problems by changingtheir parametrisation from trading strategies to final positions. This allows us to treat,under a very mild no-arbitrage-type assumption, a whole range of quadratic optimisationproblems by simple mathematical tools...

Starting from the Merton framework for firm defaults, we provide theanalytics and robustness of the relationship between defaultprobabilities and default correlations. We show that loans with higherdefault probabilities will not only have higher variances but also highercorrelations with other...

This textbook deals with money markets and capital markets along with the management of retirement portfolios. It places a particular focus on interest rate formation, interest rate structure, interest models, and the evaluation of interest-bearing securities

The question that this paper raise in this paper is how to choose the best mix of countries to diversify internationally? They compare several methods of asset allocation from a Swiss perspective over the period 1988-2001.

The prospect theory of Kahneman and Tversky (1979) and the cumulative prospect theory of Tversky and Kahneman (1992) are descriptive models for decision making that summarize several violations of the expected utility theory. This paper gives a survey of applications of prospect theory to the...

In contrast to many active equity investment managers, corporate bond investors often omit sector rotation as a decision layer in their investment process. In this paper, we address the merits of sophisticated sector-oriented investment decisions for Euro fixed income managers by analysing the...