Publications des institutions partenaires
Economies of scale, density and scope in Swiss Post’s Mail Delivery
Institution partenaire
English / 01/01/2006
Choosing (and reneging on) exchange rate regimes
Institution partenaire
English / 01/01/2006
Value-at-risk prediction: A comparison of alternative strategies
Institution partenaire
English / 01/01/2006
Accurate value-at-risk forecasting based on the Normal-GARCH model
A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and, except for having to choose a window length L for the bias-correction step, fully data...
Institution partenaire
English / 01/01/2006
Modeling and predicting market risk with Laplace-Gaussian mixture distributions
Institution partenaire
English / 01/01/2006
Reply to 'Asset Trading Volume in Innite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment'
In a comment, Peter Bossaerts and William R. Zame [2006. Finance Research Letters. This issue] claim that the main result of our paper [Judd, K.L., Kubler, F., Schmedders, K., 2003. The Journal of Finance 58, 2203–2217], namely the no-trade theorem for the dynamic Lucas infinite horizon economy with heterogeneous agents, is an artifact of the assumption that asset dividends and...
Institution partenaire
English / 01/01/2006
Characterisations of function spaces of generalized smoothness
Institution partenaire
English / 01/01/2006
Disclosure, investment and regulation
This paper provides a framework to analyze voluntary and mandatory disclosure. Since improved disclosure reduces the entrepreneur's ability to extract private benefits, it secures funding for new investments, but also provides existing claimholders with a windfall gain. As a result, the entrepreneur may choose to forgo investment in favor of extracting more private benefits. A...
Institution partenaire
English / 01/01/2006
Equilibrium impact of value-at-risk regulation
Institution partenaire
English / 01/01/2006
The economic benefit of powerful credit scoring
Institution partenaire
English / 01/01/2006
Optimal credit limit management under different information regimes
Institution partenaire
English / 01/01/2006
Governance, innovation, and strategies in deregulated postal markets
Institution partenaire
English / 01/01/2006
Optimal Product Design: A CAPM Approach
We study properties of structured financial products optimizing a utility functional of a customer. The conventional method may have the disadvantage that the a priori restriction to a certain number of assets could make it impossible to find the optimal portfolio. So instead of optimizing the distribution of given assets, we impose only the price constraint as given by the CAPM and...
Institution partenaire
English / 01/01/2006
Modelling Alpha-Opportunities Within the CAPM
We consider a simple CAPM with heterogenous expectations on assets mean returns while keeping the assumption of homogenous expectations on the covariance of returns. Our first result derives the security market line as an aggregation result without using the two-fund-separation property. In particular every investor can hold optimal portfolios that are underdiversified.In our model...
Institution partenaire
English / 01/01/2006
Market Selection in an Evolutionary Market with Creation and Disappearance of Assets
Identifying investment strategies that will survive in the long run is a main endeavor in the eld of evolutionary nance. The evolutionary perspective on the nancial market considers rather long time horizons, making the creation and disappearance of rms a highly relevant factor in determining such strategies. However, this factor has not been examined in existing research. This paper...
Institution partenaire
English / 01/01/2006
Wirkungssteuerung von Universitäten. Erfolg oder Misserfolg? Eine ex post Analyse
Institution partenaire
Deutsch / 01/01/2006
Accountability: Berichten wir uns zu Tode? Auf dem Weg in die "Audit Society"?
Institution partenaire
Deutsch / 01/01/2006
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