Publications des institutions partenaires
Neuregelung der Rechnungslegung: erste Eindrücke
Institution partenaire
Deutsch / 01/01/2008
Réforme et gouverne en santé: L'attrait pour une managérialisation de l'action publique
Institution partenaire
Français / 01/01/2008
Anticipating critique and occasional reason: Modes of reasoning in the face of a radically open future
Institution partenaire
English / 01/01/2008
Verfahrenswahl bei Risiko
This paper analyzes the choice among alternative fixed and variable cost structures under demand uncertainty. We show that the standard decision rules for the choice among cost structures under certainty continue to hold if the decision maker is risk neutral. If the decision maker is risk averse, the optimal cost structure depends on the decision model. With cost-based decision...
Institution partenaire
Deutsch / 01/01/2008
Risiken und Nebenwirkungen der Offenlegungspflicht von Vorstandsbezügen, Individual- vs. Kollektivausweis
Institution partenaire
Deutsch / 01/01/2008
Ökonomische Konsequenzen einer verstärkten Regulierung von Managergehältern
Institution partenaire
Deutsch / 01/01/2008
Ökonomische Konsequenzen einer verstärkten Regulierung von Managergehältern
Institution partenaire
Deutsch / 01/01/2008
Deutsche Abgeltungsteuer: absoluter Kapitalschutz ohne Steuernachteil
Institution partenaire
Deutsch / 01/10/2007
Weiterbildung - eine Win-Win-Situation für Unternehmen und Mitarbeitende
Institution partenaire
Deutsch / 01/10/2007
Legal and economic aspects of best execution in the context of the Markets in Financial Instruments Directive (MiFID)
This paper explores the implications for investment firms and clients that arise out of an interpretation of the Market in Financial Instruments Directive (MiFID) best execution requirements from a law and economics perspective. While best execution is often framed as a matter of investor protection, research on market microstructure suggests that there is, in fact, an efficiency...
Institution partenaire
English / 01/07/2007
Computational aspects of prospect theory with asset pricing applications
We develop an algorithm to compute asset allocations for Kahneman and Tversky’s (Econometrica, 47(2), 263–291, 1979) prospect theory. An application to benchmark data as in Fama and French (Journal of Financial Economics, 47(2), 427–465, 1992) shows that the equity premium puzzle is resolved for parameter values similar to those found in the laboratory experiments of Kahneman and...
Institution partenaire
English / 01/05/2007
Strategic asset allocation and market timing: a reinforcement learning approach
We apply the recurrent reinforcement learning method of Moody, Wu, Liao, and Saffell (1998) in the context of the strategic asset allocation computed for sample data from US, UK, Germany, and Japan. It is found that the optimal asset allocation deviates substantially from the fixed-mix rule. The investor actively times the market and he is able to outperform it consistently over the...
Institution partenaire
English / 01/05/2007
Bias-adjusted estimation in the ARX(1) model
A new point estimator for the AR(1) coefficient in the linear regression model with arbitrary exogenous regressors and stationary AR(1) disturbances is developed. Its construction parallels that of the median--unbiased estimator, but uses the mode as a measure of central tendency. The mean--adjusted estimator is also considered, and saddlepoint approximations are used to lower the...
Institution partenaire
English / 01/04/2007
Saddlepoint approximations for the doubly noncentral t distribution
Closed-form approximations for the density and cumulative distribution function of the doubly noncentral t distribution are developed based on saddlepoint methods. They exhibit remarkable accuracy throughout the entire support of the distribution and are vastly superior to existing approximations. An application in finance is considered which capitalizes on the enormous increase in...
Institution partenaire
English / 01/03/2007
Trend derivatives: pricing, hedging, and application to executive stock options
Both institutional and private investors often have only limited flexibility in timing their investment decision. They look for investments that will ideally be independent of the timing decision. In this article, a new class of derivative products whose payoff is linked to the trend of the underlying instrument is introduced. By linking the trend to the payoff, the timing of the...
Institution partenaire
English / 01/02/2007
Corporate financial reporting and disclosure. A behavioral finance perspective
Managers' information disclosure to firm's outsiders plays an essential role for mitigating information asymmetry and agency problems. The main objective of this thesis is to analyze the managers' reporting incentives in a broader context, while considering the preferences of behavioural investors and the active role of financial analysts as target setters in...
Institution partenaire
English / 01/01/2007
Shinseidoha ni yoru: Soshiki-nyumon - shijou, Soshiki, Soshikikan kankei heno apurochi
Institution partenaire
Autre / 01/01/2007
Improving product quality in the German Bundesliga: evidence from a representative consumer approach
Institution partenaire
English / 01/01/2007
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