External Research Data: Recent submissions
Anzeige der Dokumente 141-160 von 777
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Survey_KSS_2014
For these reasons we have designed a survey method where we ask respondents to provide their own assessments of EIs for a set of household types. SpeciÖcally, we ask respondents: ìWhat is the net monthly household income ... -
Survey_KS_2012
We make a methodological contribution by solving these constrained portfolio problems applying dynamic programming. The standard approach to dynamic portfolio optimization with constraints on wealth is the so-called ... -
Survey_KP_2020
We present a model in which risk-averse arbitrageurs can advertise their private information about mispriced assets to rational investors with limited attention, and at the same time choose their portfolios to exploit the ... -
Survey_KP_2018
In the baseline model we consider an economy with a continuum of risky assets N, available in zero net supply, and a safe asset that for simplicity is assumed to pay zero interest. All assets are traded competitively by a ... -
Survey_KMM_2013
We develop a life cycle model with rational agents that can replicate empirically-observed household portfolio inertia patterns. In a dynamic consumption and portfolio framework with endogenous labor supply, we account ... -
Survey_KMM_2005
This paper presents a model of decision making that can explicitly reflect the circumstance that the DM is (subjectively) uncertain about the priors relevant to his decision. The model allows for the relaxation of P2 under ... -
Survey_KM_2008
We develop a simple model of exchange, where common trading frictions prevent investots to trade efficiently. We show that a CCP is a natural device to implement the efficient level of trade. The model features investors ... -
Survey_KM_2007
We first consider the case of two identical individuals (or firms) where there is no possibility of contamination from one individual to another and each individual has an opportunity to invest in mitigation to reduce its ... -
Survey_KM_1997
The Kaen and Michalsen list contains all crisisrelated bank announcements that were either archived by the OSE wire service or were later provided in annual reports of governmental and quasi-governmental agencies. We ... -
Survey_KK_2001
This paper utilizes a unique database consisting of all electronically registered shareholdings of Finnish stocks by more than one million individuals and institutions. These shareholdings cover more than 99.99% of the ... -
Survey_KH_2020
For symmetric di§erential games with linear constraints and a general time-separable utility function depending only on the playerís control variable, we provide an exact formula for interior symmetric Markovian-strategies. ... -
Survey_JW_2
We extend our model by considering listing decisions and OTC (Over-The-Counter) trading. We argue that vertical integration decreases the market coverage of listed securities for which firms have to be compensated by lower ... -
Survey_JSS_2003
The data set considered here contains data from all thirteen German banks that used internal models for regulatory purposes in the year 2001. The data set for each bank consists first of VaR forecasts and second, the ... -
Survey_Jobst_2002
In the course of proper asset pricing of structured finance transaction with a defined credit event, such as loan securitisation, extreme events enter very naturally, and as such, understanding the mechanism of loss ... -
Survey_HW_2009
We consider the organization of innovative activities between a supplier (firm S) and a manufacturer (firm M). Innovative activities result in new or improved inputs into M’s final product. Thereby, successful innovations ... -
Survey_HR_2005
"We depart from models of unitary households and allow each household to consist of two entities, that can be thought of either as two different people or as two ""selves"". We will call one entity the ""accountant"", who ... -
Survey_HOR_2014
Our major focus is on time series models where the number of parameters relative to the number of observations is high and thus it is computationally challenging or virtually impossible to optimize the entire log-likelihood ... -
Survey_Hoeberichts_2002
In this paper, we present a monetary policy game in which the central bank has a private forecast of supply and demand shocks. The public needs to form its inflationary expectations and can make use of central bank ... -
Survey_HMT_2009
The model focuses on two types of individuals: those that regret suboptimal decisions, type R individuals, and those that do not, type N individuals. Let d be the fraction of type R individuals in the population. Both types ...