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Contributions published at Financial Economics (Thorsten Hens)

Contribution
Johannes Weiss, Aktuelle Entwicklungen von Internet und Social Media auf die Finanzintermediation - ein Überblick, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis) null
Samuel Portmann, Informationsdynamik zwischen Sozial Media und Aktienmärkten, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis) null
Stefanie Meyer, Die jüngste Entwicklung des Private Banking in der Schweiz (ab 1985), University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Master's Thesis) null
Rebecca Merkli, The response of Swiss real estate funds to macroeconomic factors, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Master's Thesis) null
Alexander Tlili, Gibt es im Wechselkurs CHF/EUR eine längerfristige Tendenz zur Kaufkraftparität und welches sind die treibenden Kräfte in der kurzen Zeit?, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis) null
Laura Anzoni, Konjunkturabhängigkeit systematischer Risikofaktoren in der Schweiz, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis) null
Thorsten Hens, János Mayer, Cumulative prospect theory and mean variance analysis. A rigorous comparison, In: NCCR FINRISK Working Paper, No. 792, 2012. (Working Paper) We compare asset allocations derived for cumulative prospect theory(CPT) based on two different methods: Maximizing CPT along the mean–variance efficient frontier and maximizing it without that restriction. We find that with normally distributed returns the difference is negligible. However, using standard asset allocation data of pension funds the difference is considerable. Moreover, with derivatives like call options the restriction to the mean-variance efficient frontier results in a sizable loss of e.g. expected return and expected utility.
Thorsten Hens, Wann Monumentum, wann Value?, In: Finanz und Wirtschaft, 53, p. 16, 1 July 2012. (Newspaper Article)
Thorsten Hens, Michal Dzielinski, Wie die Medien Teil des Systems sind, In: Finanz und Wirtschaft, 51, p. 16, 27 June 2012. (Newspaper Article)
Thorsten Hens, Auch der Kopf kann sich irren, In: Finanz und Wirtschaft, 49, p. 18, 20 June 2012. (Newspaper Article)
Thorsten Hens, Vom Risikoprofil zum Anlagemix, In: Finanz und Wirtschaft, 47, p. 16, 13 June 2012. (Newspaper Article)
Thorsten Hens, Welcher Risikotyp bin ich?, In: Finanz und Wirtschaft, p. 18, 6 June 2012. (Newspaper Article)
Sabine Elmiger, Asset Pricing with Labor Income and Rare Disasters, In: European Workshop of General Equilibrium Theory. 2012. (Conference Presentation) null
Thorsten Hens, Wie Kultur die Anleger beeinflusst, In: Finanz und Wirtschaft, 43, p. 16, 30 May 2012. (Newspaper Article)
Thorsten Hens, Behavioural Biases - Vorsicht, Falle!, In: Finanz und Wirtschaft, p. 16, 25 May 2012. (Newspaper Article)
Thorsten Hens, Die Psychologie des Investierens FuW-Serie - Wie Finanzmärkte funktionieren - Dem Wesen der Anleger und der Vermögensberater auf der Spur, In: Finanz und Wirtschaft, 39, p. 18, 16 May 2012. (Newspaper Article)
Peter Gilles, Analysis and Timing of Managed Futures Strategies, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Master's Thesis) null
Thorsten Hens, Kremena Bachmann, Die Risikowahrnehmung der privaten Anleger im Beratungsprozess, In: Private, p. 40, 22 March 2012. (Newspaper Article) Die gängigen Beratungsprozesse der Finanzinstitute berücksichtigen die Risikofähigkeit und die Risikobereitschaft der Anlagekunden. Aber nur die Beratungsprozesse, die auch die Risikowahrnehmung des Kunden mit einbeziehen, machen diesen wirklich sicherer in seinen Anlageentscheiden. Die verhaltensbasierte Finanztheorie (Behavioural Finance) liefert nützliche Einsichten dazu.
Ramazan Gençay, Yi Xue, Trading Frequency and Volatility Clustering, Journal of Banking and Finance, Vol. 36 (3), 2012. (Journal Article) Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. This paper presents a market microstructure model, that is able to generate volatility clustering with hyperbolic autocorrelations through traders with multiple trading frequencies using Bayesian information updating in an incomplete market. The model illustrates that signal extraction, which is induced by multiple trading frequency, can increase the persistence of the volatility of returns. Furthermore, we show that the local temporal memory of the underlying time series of returns and their volatility varies greatly varies with the number of traders in the market.
Lukas Meier, How Important is the Overall Probability of a Loss in Repeated Investment Decisions?, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Master's Thesis) null

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