Publications des institutions partenaires
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Overconfidence and active management: An empirical study across Swiss pension plans
Pension plans in Switzerland favor active management over indexing to implement their strategic asset allocation. Empirical surveys show, however, that their success has been below expectations, as the median performance of Swiss pension plans in domestic and international equities is below market indices even gross of fees. The results of this paper's survey across…
Institution partenaire
English / 01/04/2009
The quality of institutions and satisfaction with democracy in Western Europe — A panel analysis
This paper analyses how institutional factors affect satisfaction with democracy (SWD). It employs a panel of observations from Eurobarometers in the time span 1990–2000, and thus is one of the first studies to consider the longitudinal dimension of the driving forces of SWD. We find that high-quality institutions like the rule of law, well-functioning regulation, low corruption, and…
Institution partenaire
English / 23/03/2009
"Jagd auf Steueroasen - ein Kampf gegen Symptome": Bankenexpertin Hirszowicz fordert Zugeständnisse bei Schweizer Rechtshilfe
Für die Zürcher Banking-Professorin Christine Hirszowicz sind die Attacken der USA und der EU gegen Steueroasen reine Symptombekämpfung. Ursache der Kapitalflucht seien zu hohe Steuertarife in den Ursprungsländern. Der Schweiz rät sie, auch bei Steuerhinterziehung Rechtshilfe zu leisten, sonst aber hart zu bleiben.
Institution partenaire
Deutsch / 12/03/2009
Evaluating the density of ratios of noncentral quadratic forms in normal variables
Two computable expressions for the exact density of a ratio of quadratic forms in Gaussian random vectors are derived, one of which is restricted to special cases of the problem. Ratios of this type are ubiquitous in econometrics, but their density, unlike the corresponding cumulative distribution function, has not received much attention to date. The new algorithms complement those…
Institution partenaire
English / 15/02/2009
Finanzgeschäfte bestehen nicht nur aus Mathematik
Institution partenaire
Deutsch / 03/02/2009
Chance zur Erneuerung
Eine seriöse Aufarbeitung der globalen Finanzkrise ist sehr wichtig, damit nicht in der Hektik des Tagesgeschehens die falschen Schlüsse gezogen werden.
Institution partenaire
Deutsch / 31/01/2009
The leverage effect without leverage
We use experimental stock markets to add more evidence that Black's [1976. Proceedings of the 1976 Meeting of the Business and Economic Statistics Section. American Statistical Association, pp. 177–181] leverage effect in financial markets does not necessarily stem from the financial leverage of the firm. We surprisingly find a large number of markets in which the leverage…
Institution partenaire
English / 27/01/2009
Asymmetric multivariate normal mixture GARCH
An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided. In an application to stock market…
Institution partenaire
English / 09/01/2009
Young measure flow as a model for damage
Models for hysteresis in continuum mechanics are studied that rely on a time-discretised quasi-static evolution of Young measures akin to a gradient flow. The main feature of this approach is that it allows for local, rather than global minimisation. In particular, the case of a non-coercive elastic energy density of Lennard-Jones type is investigated. The approach is used to…
Institution partenaire
English / 01/01/2009
Look-ahead benchmark bias in portfolio performance evaluation
Performance of investment managers is predominantly evaluated against targeted benchmarks, such as stock, bond or commodity indices. However, most professional databases
do not retain timeseries for companies that disappeared, and do not necessarily track the change of constitution in these benchmarks. Consequently, standard tests of performance suffer from the “look-ahead…
Institution partenaire
English / 01/01/2009
Cash sub-additive risk measures and interest rate ambiguity
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of the current reserve amounts and future positions. Consequently, cash sub-additive risk…
Institution partenaire
English / 01/01/2009
What Legal Framework for Promoting the Cross-Border Flow of Intellectual Assets (Trade Secrets and Music)? A View from Europe towards Asia (China and Japan)
In the information age, intellectual assets (such as trade secrets and music) are flowing across borders and between continents. However, legal hurdles may still negatively affect and prevent the smooth flow of these intellectual assets, as shown in the article. Even though the article analyses the issue from a European perspective with a view towards Asia (China and Japan), the…
Institution partenaire
English / 01/01/2009
Fighting against biopiracy : does the obligation to disclose in patent applications truly help ?
In the global fight against biopiracy, one of the key issues is to prevent the grant and exploitation of patents on traditional knowledge and genetic resources by requiring that patent applicants for inventions involving traditional knowledge and genetic resources disclose the source of those resources and provide evidence that the prior informed consent of the local owners of such…
Institution partenaire
English / 01/01/2009
Des marques et des contrats : la marque d'agent et l'action en cession de marque
Institution partenaire
Français / 01/01/2009
La loi sur la fusion et la propriété intellectuelle
Institution partenaire
Français / 01/01/2009
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