Pubblicazioni delle istituzioni partner

rss

Analysis of Kelly-optimal portfolios Laureti, Paolo;Medo, Matúš;Zhang, Yi-Cheng

Istituzione partner

Université de Fribourg

Testo completo(Inglese) - 2015

Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior Lachapelle, David Morton de;Challet, Damien

Despite the availability of very detailed data on financial markets, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-based models, which are thus reverse-engineering attempts. This work is a contribution towards building a set of stylized facts about the traders themselves. Using the client database of Swissquote...

Istituzione partner

Université de Fribourg

Testo completo(Inglese) - 2015

How to quantify the influence of correlations on investment diversification Medo, Matúš;Yeung, Chi Ho;Zhang, Yi-Cheng

When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity—the effective portfolio size—is proposed and investigated in both artificial and real situations. We show that in most cases, the effective portfolio size is much smaller than the actual number of assets in the portfolio and that it...

Istituzione partner

Université de Fribourg

Testo completo(Inglese) - 2015

Encyclical Letter "Caritas in Veritate": An Economist's Reading Dembinski, Paul H.

On the 29 of June 2009, the Pope Benedict XVIth published Caritas in Veritate, his third encyclical letter. It was addressed to the clergy but also to "lay faithful and all people of good will”. In the two papers assembled here under one single title, the author enters in dialogue with the Papal encyclical from the perspective of an economist interested in ethical issues related specially to...

Istituzione partner

Université de Fribourg

Testo completo(Inglese) - 2015

Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability Isakov, Dušan;Marti, Didier

This paper extends the literature on the profitability of technical analysis in three directions. First, we investigate the performance of complex trading rules based on moving averages computed over longer periods than those usually considered. Different trading rules are simulated on daily prices of the Standard & Poor's 500 index and we find that trading rules are more profitable when signals...

Istituzione partner

Université de Fribourg

Testo completo(Inglese) - 2015

Une analyse critique de la composition des exportations du canton du Tessin et une appréciation des risques d'une revalorisation du franc suisse Massonnet, Jonathan

Afin d'apprécier les risques d'une revalorisation du taux de change du franc suisse pour l'économie du canton du Tessin, cet article débute par une analyse critique de la structure de ses exportations, selon une méthodologie que nous avons développée dans un article connexe relatif à l'économie fribourgeoise (Massonnet, 2011). Après avoir brièvement exposé la structure économique du...

Istituzione partner

Université de Fribourg

Testo completo(Francese) - 2015

L'économie fribourgeoise: une analyse critique de son extraversion internationale et une appréciation des risques d'une revalorisation du franc suisse Massonnet, Jonathan

Cet article a pour objectifs d'apprécier les risques d'une revalorisation du franc suisse pour l'économie du canton de Fribourg et de mener une analyse critique de l'extraversion internationale de cette dernière. Après avoir souligné les implications au niveau théorique d'une augmentation du taux de change de sa monnaie pour l'économie nationale et l'importance de la demande extérieure,...

Istituzione partner

Université de Fribourg

Testo completo(Francese) - 2015

The determinants of stock returns in a small open economy Cauchie, Séverine;Hoesli, Martin;Isakov, Dušan

This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions. Both a statistical and a macroeconomic implementation of the model are performed for the period 1986-2002 with monthly returns...

Istituzione partner

Université de Fribourg

Testo completo(Inglese) - 2015

Application of simple technical trading rules to Swiss stock prices Isakov, Dušan;Hollistein, Marc

Istituzione partner

Université de Fribourg

Testo completo(Inglese) - 2015

Successful diversification strategies of electricity companies: An explorative empirical study on the success of different diversification strategies of German electricity companies in the wake of the European market liberalization Müller, Ralf;Steinert, Martin;Teufel, Stephanie

Based on the EC directive 96/92, the liberalization of electricity markets is forcing electricity companies, to rethink their product and market strategy. However, neither the level of the initiated diversification efforts of former monopolies, nor their direction or their success are known or have been analyzed before. Therefore, Müller [2006. Diversifikationsstrategien von...

Istituzione partner

Université de Fribourg

Testo completo(Inglese) - 2015

Regionales Clustering im Ausschüttungsverhalten von Sparkassen Wallmeier, Martin;Rathgeber, Andreas

Istituzione partner

Université de Fribourg

Testo completo(Tedesco) - 2015

Is beta still alive? Isakov, Dušan

Recent evidence by Fama and French (1992,1996) and others shows that betas and returns are not related empirically. They interpret this as evidence against the validity of the capital asset pricing model and they conclude that the beta is not a good measure of risk. This paper claims that usual tests do not leave much opportunity for beta to appear as a useful variable capable of explaining...

Istituzione partner

Université de Fribourg

Testo completo(Inglese) - 2015

Quantifying Optimal Growth Policy Grossmann, Volker;Steger, Thomas M.;Trimborn, Timo

The optimal mix of growth policies is determined within a comprehensive endogenous growth model. The analysis captures important elements of the tax-transfer system and accounts for transitional dynamics. Currently, for calculating corporate taxable income US firms are allowed to deduct approximately all oft heircapital and R&D costs from sales revenue. Our analysis suggests that this policy...

Istituzione partner

Université de Fribourg

Testo completo(Inglese) - 2015

Does High-Skilled Migration Affect Publicly Financed Investments ? Grossmann, Volker;Stadelmann, David

This paper analyzes the interaction between migration of high-skilled labor and publicly financed investment. We develop a theoretical model with multiple, ex ante identical jurisdictions where individuals decide on education and subsequent emigration. Migration decisions are based on differences in net income across jurisdictions which endogenously may occur. The interaction between income...

Istituzione partner

Université de Fribourg

Testo completo(Inglese) - 2015

Strategie unter Unsicherheit Rohe, Anna;Grünig, Rudolf

Unsicherheit und Wandel sind heute beinahe Selbstverständlichkeiten. Trotzdem stellen sie die Unternehmen vor grosse Herausforderungen. Insbesondere die langfristige strategische Ausrichtung ist im Kontext von Unsicherheit und Wandel eine anspruchsvolle Aufgabenstellung. Das vorliegende Working Paper basiert auf zwei Artikeln zu Unsicherheit, Branchenwandel und strategischem Verhalten. Es setzt...

Istituzione partner

Université de Fribourg

Testo completo(Tedesco) - 2015

Privatisation des Industries de Réseaux et développement durable: le cas du Cameroun Biwolé Fouda, Jean

L'objectif de cet article est de décrire les réformes engagées dans les industries de réseaux au Cameroun et de les analyser par rapport à l'approche néo-institutionnelle. Il apparait que ces mutations ont connu des formes spécifiques dans ce contexte, au point de faire courir un risque sur le développement durable de ces industries, notamment dans les segments non concurrentiels. Nous...

Istituzione partner

Université de Fribourg

Testo completo(Francese) - 2015

Les rachats d'actions en Suisse. Objectifs, conséquences et pratiques Isakov, Dušan;Dumont, Pierre-André

Les rachats d'actions sont autorisés depuis plus de quinze ans en Suisse. Cet article propose une analyse des rachats dans le contexte institutionnel, fiscal et juridique helvétique. Après avoir décrit les principales techniques de rachat à disposition des entreprises et les objectifs visés par une telle opération, ce travail analyse l'effet des rachats sur les ratios financiers et la...

Istituzione partner

Université de Fribourg

Testo completo(Francese) - 2015

Plateforme de crowdfunding pour inventeurs Bernardi, Cosima;Fragnière, Emmanuel

Ce travail de Master a pour but de présenter un service inexistant sur internet : une plateforme de crowdfunding spécialement conçue pour les inventeurs. Grâce à cette plateforme les inventeurs pourront lever des fonds afin de breveter ou produire leurs inventions. Elle aura aussi comme but la mise en relation afin que les inventeurs puissent trouver des partenariats dans des secteurs...

Istituzione partner

Geneva School of Business Administration

Testo completo(Francese) - 2015

Émissions sportives télévisées : quel traitement pour demain ? Carillo, Marc (économiste);Moresino, Francesco;Fragnière, Emmanuel

Ce travail se penche sur les conditions de production à l'oeuvre dans les médias et plus particulièrement celles des émissions sportives télévisées. En effet, si le sport est un sujet de plus en plus médiatisé, pratiquement aucune recherche en sciences des Services ne s'est véritablement penchée sur les caractéristiques d'une telle prestation et les dynamiques à l'oeuvre dans cet...

Istituzione partner

Geneva School of Business Administration

Testo completo(Francese) - 2015

Energy consumption behaviors Uwase Turin, Nathalie;Fragnière, Emmanuel

This paper focuses on end-user energy consumption behaviors with the objective to gather information in order to give more explicit knowledge about demand side. The author chose to adopt a qualitative method for the first part so as to collect an in depth comprehension of energy consumption behavior. Semi-directive interviews addressed different energetic topics such as water, heating,...

Istituzione partner

Geneva School of Business Administration

Testo completo(Inglese) - 2015


Risultati 1 - 20 di 20