We analyze the asset allocation decisions of different investor groups and investigate how their investmentbehavior changes with macroeconomic conditions. Using a new data set that includes themonthly portfolio holdings of private, commercial, and institutional investors deposited with...

Current discussions about public and private pension plans often include a statement that thestock market is less risky in the long run than in the short run. Pension plans with their ratherlong planning horizon are therefore asked to increase their allocation to the stock market.These...

This paper originates in an email sent by the second author wondering whether the first author knewabout Bronzin’s booklet on option pricing, dating back almost a century and containing formulas whichappear rather similar to those developed by Black-Scholes. The scepticism of the first author...

Untersuchungsgegenstand des Projekts sind die Übertragungsmechanismen (contagion) derRisiken in Finanzsystemen durch Verhaltenssymmetrien (z.B. durch Risikomodelle und ihre regulierteUmsetzung), Intransparenz (z.B. über Beteiligungsgesellschaften etwa im Bereich PrivateEquity) und Moral Hazard...