Investors need performance measures particularly as a means for funds selection in the process of exante portfolio optimization. Unfortunately, there are various performance measures recommended for different decision situations. Since an investor may be uncertain which kind of decision problem...

Our main goal is the generalization of the approach of Jobson and Korkie(1984) for funds performance evaluation. Therefore, we consider the portfolio selection problem of an investor who faces short sales restrictions when choosing among F different investment funds and assume the investor's...

We extend the continuous Cumulative Prospect Theory (CPT) by considering piecewise con-tinuous distributions with a finite number of jump discontinuities. Such distributions are rele-vant in practice, for example, within the framework of financial engineering since cash flow distributions of...

Several attempts have been made to reduce the impact of estimation errors on the optimal portfolio composition. On the one hand, improved estimators of the necessary moments have been developed and on the other hand, heuristic methods have been generated to enhance the portfolio performance, for...

We consider investors with mean-variance-skewness preferences who aim at selecting one out of F different funds and combining it optimally with the riskless asset and direct stock holdings. Direct stock holdings are either exogenously or endogenously determined. In our theoretical section, we...

We are considering for examination an Irreversible Investment under Uncertainty, subsidized by the government. If the government announces the termination of a form of subsidization, investors may decide to realize their investment in order to obtain the subsidy. These investors might have...

Coherent measures of a bank's whole risk capital imply a structure of a bank's optimal credit portfolio that is independent of its deposits and the expected deposit rate, of expected bankruptcy costs and of expected costs of regulatory capital.

Im Rahmen des IRB-Basisansatzes sieht Basel II eine Risikominderung durch Kreditsicherheiten nur bezüglich einzelner Kredite vor. Da in der Bankpraxis durch die Sicherungszweckerklärung Kreditsicherheiten oftmals für mehrere Krediten abgestellt sind, ergibt sich ein Zuordnungsproblem, das...

Gemäß den im Juni dieses Jahres endgültig verabschiedeten Rahmenrichtlinien der neuen Baseler Kapitalstandards sind Kredite im Wesentlichen mit den unerwarteten Verlusten zu unterlegen. Für erwartete Verluste sind hingegen Rückstellungen zu bilden, wobei Differenzen zwi-schen erwarteten...