This article discusses the income tax attractiveness of a private investment in zero bonds under the Swiss legislation. The advantageous tax deferral effect of an investment in a zero bond for a private investor is calculated using various static interest structures and it is shown that the tax...

This article describes the neo-liberal economic policies followed by most countries of Latin America in the 1990s and compares these with the policies followed by those countries in the era of economic liberalism in the late 19th and early 20th centuries and in the times of Import Substitution...

A time series of corporate failure rates in Switzerland covering most of the 20th century (1911-2000) was built. The figures are estimations for the yearly rates of bankruptcy procedure openings of firms registered at the office of commerce. They are aggregated for the whole of Switzerland,...

The main objective of this study is to classify economic sectors using the clustering method, and to validate the classification from an economic point of view. The method is intended to create clusters, or portfolios, whose components show similar characteristics. The method also allows...

This paper explores the performance of a global minimum variance (GMV) portfolio in dependence of the structure of the covariance matrix and the type of volatility model. We investigate quantitative portfolio strategies based on patterns of the covariance matrix, especially a diagonal covariance...

This paper describes a study, in which we examine the diversification behavior of financial advisors. Learning from BENARTZI and THALER (2000) about investors' naive diversification strategies, we find evidence that the advisor's asset allocation can be described by a new behavioral portfolio...

A large body of evidence indicates that macroeconomic and financial variables are dynamically interrelated. In an international setup, we analyze the impacts of macroeconomic shocks on various sector indices of the Swiss stock market. We use a VECM model to disentangle local and foreign as well...

To obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction. The question that we raise in this paper is how to select the optimal portfolio of countries? This article synthesizes...

This study investigates the effects of dividend announcements on stock prices and trading volume in the Austrian stock market. Abnormal returns are established as the difference between actual returns and expected returns generated by the Market Model. We use the model of expected dividends such...

For plain vanilla options the martingale pricing formulae are usually expressed in terms of artificial probabilities using different numeraires. Firstly, this allows fuuml;r a concise and intuitive representation of the pricing equation. Secondly, it is of major importance for computational...