Markus Bürgi, Measuring implied default probabilities in the financial sector, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Master's Thesis)
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Ralf Ferken, Thorsten Hens, Zurück zu den Wurzeln, In: €uro, 1 July 2009. (Media Coverage)
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Angelo Ranaldo, Charlotte Christiansen, Extreme coexceedances in new EU member states' stock markets, Journal of Banking and Finance, Vol. 33 (6), 2009. (Journal Article)
We analyze the financial integration of the new European Union (EU) member states' stock markets using the negative (positive) coexceedance variable that counts the number of large negative (large positive) returns on a given day across the countries. A similar analysis is performed for the old EU countries. We use a multinomial logit model to investigate how persistence, asset classes, and volatility are related to the coexceedance variables. We find that the effects differ (a) between negative and positive coexceedance variables (b) between old and new EU member states, and (c) before and after the EU enlargement in 2004, suggesting a closer connection of new EU stock markets to those in Western Europe. |
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Pascal Pugatsch, Visualization of Portfolios, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Master's Thesis)
Visualization helps to overcome the complexity of investing. The metaphor of driving a car is chosen as practical approach to fulfill this task. First of all it is shown how the theory of efficient portfolios, the capital market line and the capital asset pricing model, in combination provide a set of potential portfolios. In a next step behavioral finance has been introduced. The prospect theory, the central message of behavioral finance, measures the risk ability and the risk prefer- ences of an investor. So both modern finance and behavioral finance provide the tools to deliver a fitting asset allocation to the investor. An application has been developed that maps the essential elements from both worlds of finance onto the metaphor. The application provides a wide range of configuration settings and shows possible scenarios of driving the assembled car under various conditions. An extended evaluation with test users was carried out that showed, that the every- day experience of driving a car was a great advantage. Through using the provided analogy, an investor could select a suiting portfolio in a much better way. |
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Thorsten Hens, Vertrauensproblem, In: Finanz und Wirtschaft, 27, p. 1, 8 April 2009. (Newspaper Article)
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Redaktion, Thorsten Hens, Ende des Homo Oeconomicus?, In: Institutional Money, 1 April 2009. (Media Coverage)
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Ramazan Gençay, Nikola Gradojevic, Dragan Kukolj, Option Pricing With Modular Neural Networks, IEEE Transactions on Neural Networks, Vol. 20 (4), 2009. (Journal Article)
This paper investigates a nonparametric modular neural network (MNN) model to price the S&P-500 European call options. The modules are based on time to maturity and moneyness of the options. The option price function of interest is homogeneous of degree one with respect to the underlying index price and the strike price. When compared to an array of parametric and nonparametric models, the MNN method consistently exerts superior out-of-sample pricing performance. We conclude that modularity improves the generalization properties of standard feedforward neural network option pricing models (with and without the homogeneity hint). |
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Rina Rosenblatt-Wisch, Klaus Reiner Schenk-Hoppe, (Un)anticipated Technological Change in an Endogenous Growth Model, Studies in nonlinear dynamics and econometrics, Vol. 13 (1), 2009. (Journal Article)
This paper examines, numerically, the impact of a negative exogenous shock to marginal productivity (such as ecological government regulation that becomes effective at some point in time) in an endogenous finite time growth model with sluggish reallocation of human capital. The policy can be anticipated or unanticipated by the economic agents, and it can also be announced but not implemented. It turns out that these frictions have very strong long-run effects on consumption and output, and on the optimal allocation of capital and labor in particular. The qualitative properties are closely related to those found in homogenous labor models with positive productivity shocks. The numerical optimization method employed here proved very successful in qualitatively similar problems in engineering but has not yet found its way into macroeconomic models of growth. |
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Tobias Binz, A cross-sectional analysis of excess volatility, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Bachelor's Thesis)
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Marion Nager, The Impact of the Credit Market on the Development of the Real Estate Market in Connection with the Subprime Crisis, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Bachelor's Thesis)
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Michael Schwarz, Portfoliooptimierungsmodelle mit Hedge Funds, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Bachelor's Thesis)
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Thorsten Hens, Chance zur Erneuerung, In: Finanz und Wirtschaft, 8, p. 1, 31 January 2009. (Newspaper Article)
Eine seriöse Aufarbeitung der globalen Finanzkrise ist sehr wichtig, damit nicht in der Hektik des Tagesgeschehens die falschen Schlüsse gezogen werden. |
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Thorsten Hens, Sven Christian Steude, The leverage effect without leverage, Finance Research Letters, Vol. 6 (2), 2009. (Journal Article)
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 effect is observed although the underlying asset does not exhibit any financial leverage at all. |
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Thorsten Hens, Incomplete-Market Equilibria Solved Recursivly on an Event Tree, In: Research Seminar, Dauphine Université. 2009. (Conference Presentation)
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Enrico De Giorgi, T Post, Loss Aversion with a State-Dependent Reference Point , In: North American Winter Meeting of the Econometric Society. 2009. (Conference Presentation)
This study investigates reference-dependent choice with a stochastic, state-dependent reference point. The optimal reference-dependent solution equals the optimal consumption solution (no loss aversion) if the reference point is selected fully endogenously. Given that loss aversion is widespread, we conclude that the reference point generally includes an important exogenously fixed component. We develop a choice model in which adjustment costs can cause stickiness relative to an initial, exogenous reference point. Using historical US investment benchmark data, we show that this model is consistent with diversification across bonds and stocks for a wide range of evaluation horizons, despite the historically high risk premium of stocks compared to bonds. |
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Andreas Tupak, Essays in Numerical Evolutionary Finance, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Dissertation)
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Brigitte Fünfgeld, Financial Behaviour of Individual Investors in Switzerland: Empirical Evidence, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Dissertation)
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Alexandre Ziegler, The Return Properties of Inverse and Levered ETFs , 2009. (Other Publication)
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Handbook of Financial Markets: Dynamics and Evolution, Edited by: Thorsten Hens, Klaus Reiner Schenk-Hoppé, Elsevier (North-Holland), Amsterdam, 2009. (Edited Scientific Work)
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Thorsten Hens, Igor V Evstigneev, Rabah Amir, Le Xu, Evolutionary Finance and Dynamic Games, In: Swiss Finance Institute Research Paper, No. 09-49, 2009. (Working Paper)
The paper examines a game-theoretic evolutionary model of an asset market with endogenous equilibrium asset prices. Assets pay dividends that are partially consumed and partially reinvested. The investors use general, adaptive strategies (portfolio rules), distributing their wealth between assets, depending on the exogenous states of the world and the observed history of the game. The main goal is to identify strategies, allowing an investor to "survive," i.e. to possess a positive, bounded away from zero, share of market wealth over the whole infinite time horizon. This work brings together recent studies on evolutionary finance with the classical topic of non-cooperative market games. |
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