Das Ziel dieses Beitrags ist es, einen Überblick über den aktuellen Stand der Forschung zu Internen Kapitalmärkten zu geben. Im Mittelpunkt steht dabei die Frage, unter welchen Bedingungen eine hierarchisch organisierte Kapitalallokation der dezentralen Marktlösung überlegen ist. Dazu...

In a continuous time, arbitrage free, non-complete market with a zero bond, we find the intertemporal price for risk to equal the standard deviation of the discounted variance opti- mal martingale measure divided by the zero bond price. We show the Hedging Numeraire to equal the Market Portfolio...

We use a simple model in which the expected returns in emerging markets depend on their systematicrisk as measured by their beta relative to the world portfolio as well as on the level ofintegration in that market. The level of integration is a time-varying variable that depends on themarket...

Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility, persistence of...