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Economic and Social Security in the Twenty-First Century, with Attention to Europe.

Dreze, J.H. - Center for Operations Research and Econometrics (CORE), … - 2000

A partly heuristic attempt at exploring long-run policies aimed at a second-best compromis between ex ante risk … advocated, together with imposed risk sharing between capital and labour, between generations and between countries belonging to …

Persistent link: https://www.econbiz.de/10005634224

A Simple Measure of Risk Aversion in the Large and an Application.

Chander, P. - Center for Operations Research and Econometrics (CORE), … - 2000

We introduce a simple measure of risk aversion in the large. Besides satisfying properties which are conceptually … analogous to the usual properties of the Arrow-Pratt measure, the index of risk aversion in the large leads to a stronger … concept of decreasing risk aversion, which necessarily imp lies decreasing absolute risk aversion but not necessarily non …

Persistent link: https://www.econbiz.de/10005634228

Optimal Diversification Within Multi-Asset Portfolio Using a Conditional Heteroscedasticity Approach: Evidence from the US and the UK.

Giliberto, M.; Hamelink, F.; Hoesli, M.; Macgregor, B. - Geneva School of Economics and Management, Université … - 1996

In this paper portfolio allocation strategies based onn a recently developed autoregressive conditional heteroscedasticity model (QTARCH) are constructed for the US and the UK and compared with strategies relying on the conventional Markowitz approach.

Persistent link: https://www.econbiz.de/10005634275

A FOUNDATION OF BAYESIAN STATISTICS (HOW TO DEAL WITH FEARS?).

KAST, R. - Groupement de Recherche en Économie Quantitative … - 1990

Persistent link: https://www.econbiz.de/10005634326

THE LAW OF LARGE (SMALL?) NUMBERS AND THE DEMAND FOR INSURANCE.

EECKHOUDT, L.; BAUWENS, L.; BRIYS, E.; SCARMURE, P. - Groupement de Recherche en Économie Quantitative … - 1990

Persistent link: https://www.econbiz.de/10005634352

Deposit Insurance and Moral Hazard: Does the Counterfactual Matter?

Gropp, R.; Vesala, J. - Quebec a Montreal - Recherche en gestion - 2001

The paper analyses the relationship between deposit insurance, debt-holder monitoring, bank charter, and risk taking …

Persistent link: https://www.econbiz.de/10005634481

Asset Market Linkages in Crisis Periods.

Hartmann, P.; Straetmans, S.; De Vries, C.G. - Quebec a Montreal - Recherche en gestion - 2001

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships. Our estimates for the G-5 countries...

Persistent link: https://www.econbiz.de/10005634482

Is It True that Insurers Benefit from a Catastrophic Event? Market Reactions to the 1995 Hanshin-Awaji Earthquake.

Yamori, N.; Kobayashi, T. - Economisch Institut voor het Midden en Kleinbedrijf- - 1999

Previous studies, investigating how the market in general viewed the impact of a big earthquake (e.g. the 1989 Loma Prieta earthquake in the San Francisco Bay Area) on insurance firm values, found a positive reaction of insurers' stock prices. This "gaining from loss" may be caused by the...

Persistent link: https://www.econbiz.de/10005634496

Die Empfänger von Innovationsförderung: Ergebnisse einer Unternehmensbefragung in Niedersachsen

Mertins, Verena - Volkswirtschaftliches Seminar, … - 2008

In diesem Diskussionspapier werden die Ergebnisse einer im Mai/Juni 2007 durchgeführten Unternehmensbefragung im Raum Niedersachsen vorgestellt in Bezug auf die Fragestellung, ob sich Unternehmen, die In-novationsförderung erhalten, von nicht geförderten Unternehmen in Bezug auf generelle...

Persistent link: https://www.econbiz.de/10005635344

Home bias in global bond and equity markets: the role of real exchange rate volatility

Fidora, Michael; Fratzscher, Marcel; Thimann, Christian - European Central Bank - 2006

This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across financial assets. We present a Markowitz-type portfolio selection model in which real exchange rate volatility induces a...

Persistent link: https://www.econbiz.de/10005222376