In almost every financial market crisis we can observe widening credit spreads, especially in the last years during the subprime and sovereign debt crisis. But what exactly drives the credit spread? This paper will outline static components, i.e. default risk, liquidity, risk and the relative...

In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors' methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989 - 1998 and...

Exchange-traded funds (ETFs) exist for stock, bond and commodity markets. In most cases the underlying feature of an ETF is an index. Fund management today uses the active and the passive way to construct a portfolio. ETFs can be used for passive portfolio management, for which ETFs with...

Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...

In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors' methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989 - 1998 and...

In almost every financial market crisis we can observe widening credit spreads, especially in the last years during the subprime and sovereign debt crisis. But what exactly drives the credit spread? This paper will outline static components, i.e. default risk, liquidity, risk and the relative...

We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our model accommodates inventory shocks following an arbitrary compound Poisson process, and allows us to link the optimal policy to the moment-generating...

Exchange-traded funds (ETFs) exist for stock, bond and commodity markets. In most cases the underlying feature of an ETF is an index. Fund management today uses the active and the passive way to construct a portfolio. ETFs can be used for passive portfolio management, for which ETFs with...

We examine the performance of the buy-write option strategy (BWS) on the Australian Stock Exchange and analyse whether such an investment opportunity violates the efficient market hypothesis on the basis of its risk and returns. This study investigates the relationship between buy-write...

Based on case studies of leading, high-impact investors and asset managers, we develop a new framework for portfolio management in pursuit of social and environmental impact: Total Portfolio Activation (TPA). By identifying four key areas of impact investment activity, the framework helps...