Publications des institutions partenaires
201 - 220 of 881
Risk preferences around the world
We present results from a large-scale international survey on risk preferences conducted in 53 countries. In all countries, we find, on average, an attitude of risk aversion in gains and of risk seeking in losses. The degree of risk aversion shows significant cross-country differences. Moreover, risk attitudes in our sample depend not only on economic conditions but also on cultural…
Institution partenaire
English / 01/01/2015
On the determinants of household debt maturity choice
This article jointly analyses a behavioural and a cultural concept to explain household debt portfolio choice. The behavioural approach explores the role of time preferences on household debt maturity in a theoretical model and a numerical analysis. We derive a positive relationship between the long-term discount factor δ and the optimal maturity of household loans. The cultural…
Institution partenaire
English / 01/01/2015
Robust estimation of shape-constrained state price density surfaces
Given a theoretical pricing model, an implied volatility can be extracted from an option’s market price. Given a set of options with the same maturity and a range of strike prices, it is possible to extract (an approximation to) the entire risk-neutral probability density without having to assume a theoretical pricing model. There are a variety of related methods to do this, but all…
Institution partenaire
English / 01/01/2015
Measuring risk with multiple eligible assets
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and continuity properties of these risk measures with respect to multiple eligible assets. Our finiteness and continuity results highlight the interplay…
Institution partenaire
English / 01/01/2015
Essays on Nonaffine Option Pricing and Random Forests in the Fields of Finance
This thesis considers two main subjects divided in four problems in the broad field of mathematical finance. The first chapter treats option pricing followed by three chapters on the application of the machine learning algorithm of Random Forests to finance, specifically to risk capital aggregation, portfolio optimization and macro stress testing. In all four chapters new…
Institution partenaire
English / 01/01/2015
Risk Assessment and Risk Communication in Theory and Practice
Institution partenaire
English / 01/01/2015
Three Essays in Real Estate and Entrepreneurial Finance
An overwhelmingly large number of research studies in corporate Finance span the basis formed by chiefly three corporate policies - Financial policy (leverage), dividend policy, and investment policy. The two most oft-cited frictions, agency issues and asymmetric information, add complexities to the nexus formed by the policies. My empirical dissertation, "Three essays in real…
Institution partenaire
English / 01/01/2015
Improved Investment Advice Through Risk Simulation
Institution partenaire
English / 01/01/2015
Essays on Arbitrage Pricing Theory and Systemic Risk Modeling
Institution partenaire
English / 01/01/2015
Three Essays on Sustainable Investing in Private Wealth Management: Barriers for Sustainable Investing in the Cognition and Decision Making Processes of Private Wealth Holders and Investment Advisors
Institution partenaire
English / 01/01/2015
Empirical Essays on Risky Assets, Asset Allocation and Emission Certificates
Institution partenaire
English / 01/01/2015
A Proximity Based Stress Testing Framework
In this a paper a non-linear macro-stress testing methodology with focus on early warning is developed. The methodology builds on a variant of Random Forests and its proximity measures. It develops a framework in which naturally defined contagion and feedback effects transfer the impact of stressing a relatively small part of the observations on the whole dataset and thus allow to…
Institution partenaire
English / 01/01/2015
A fully decentralized trust management and cooperation incentives framework for wireless user-centric networks
Wireless networks today are partially being formed by nodes (e.g. Internet access points, smartphones, femtocells) that are owned and carried by humans. In such scenarios where several strangers are expected to interact for the sake of robust data transmission, trust and cooperation incentives are of vital importance as these establish a way for the nodes involved in the system to…
Institution partenaire
English / 01/01/2015
Rapport suisse: Light vehicles à la mode suisse
Institution partenaire
English / 01/01/2015
Managing the risks of intellectual property interdependence in the age of open innovation
Institution partenaire
English / 01/01/2015
Cultural Co-Ownership: Preventing and Solving Cultural Property Claims
Institution partenaire
English / 01/01/2015
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