An empirically well-established finding is that equity portfolios are concentratedin the domestic equity market of the investor. Previous theoreticaland empirical analyses have mainly focused on institutional explanations andlargely neglected individual behavior. In this study we report the...

We model multiyear loss distributions based on credit scores and macroeconomic risk drivers. In a two-step approach, we first model future default probabilities as functions of these risk factors and, second, model processes for the risk factors themselves. As an essential extension to one-year...

In this contribution, we present a model that retailers engaged in e-commerce (e-tailers)can use for determining the optimal mix of customer segments within a customer portfolio froman integrated risk and return perspective....

By optimizing its outsourcing strategy, a company faces the opportunity to lower the overall costsof its IT project portfolio. Without considering risk and diversification effects appropriately,companies make wrong decisions about how much of a project is reasonable to outsource. In thispaper,...

Kaum ein Rechnungslegungsstandard ist in der Praxis so umstritten wie IAS 39 zu Ansatz und zur Bewertung von Finanzinstrumenten.Alle Derivate werden mit ihrem Fair Valure bilanziert. Für die traditionellen Finanzinstrumente gelten teilweise....

Eine Kernfrage der seit einigen Jahren intensiv geführten Debatte um Private Equitybeschäftigt sich damit, ob und gegebenenfalls wie Private Equity-Gesellschaften einenwertschöpfenden Einfluss auf Portfoliounternehmen ausüben können. Die vorliegendeUntersuchung leistet einen Beitrag zur...

The concept of a non-extreme-outcome-additive capacity (neo-additive capacity ) is introduced.Neo-additive capacitiesmodel optimistic and pessimistic attitudes towards uncertaintyas observed in many experimental studies. Moreover, neo-additive capacities canbe applied easily in economic...

Many papers in the litterature have adopted the expected utility paradigm to analyze insurancedecisions. Insurance companies manage policies by growing, by adding independent risks.Even if adding risks generally ultimately decreases the probability of insolvency, the impacton the insurer's...

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

The ongoing debate concerning credit concentration risk is mainly driven by the requirementson credit risk management due to Pillar 2 of Basel II since risks (e.g. concentration risk) that arenot fully captured by Pillar 1 should be adequately considered in the banks’ risk management....