Zobrazeno 1 - 10
of 28
pro vyhledávání: '"Dietmar Leisen"'
Autor:
Dietmar Leisen, Eckhard Platen
Publikováno v:
SSRN Electronic Journal.
This paper bases long-term investing on a tradeable stochastic discount factor (SDF), relates it to the growth optimal portfolio and argues for a top-down method, where modeling efforts are directed at capturing its long-run dynamics in a generalized
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::79498b99bfb305831ea48af66b2bbd6f
https://doi.org/10.2139/ssrn.3778852
https://doi.org/10.2139/ssrn.3778852
Systemic Risk: History, Measurement and Regulation presents an overview of this emerging form of risk from a global perspective. Systemic risks endanger entire financial systems, not just individual financial institutions. In this volume, the authors
Autor:
Dietmar Leisen
Publikováno v:
Quantitative Finance. 17:943-958
Numerous empirical studies find pricing kernels that are not-monotonically decreasing; the findings are at odds with the pricing kernel being marginal utility of a risk-averse, so-called representative agent. We study in detail the common procedure w
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::71525b14a74071109664995feae49fd5
https://doi.org/10.1080/14697688.2016.1258486
https://doi.org/10.1080/14697688.2016.1258486
Autor:
Dietmar Leisen, Peter L. Swan
Publikováno v:
SSRN Electronic Journal.
We study the independence ratio, as well as the prestige, reputational incentives, experience, and financial expertise of independent directors for 767 U.S. banks from 2000 to 2015, to concentrate on causes of the subprime crisis: short-termism, poor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::074522d5ae3b7e413e40419f2b178b50
https://doi.org/10.2139/ssrn.3180259
https://doi.org/10.2139/ssrn.3180259
Autor:
Dietmar Leisen
Publikováno v:
The Journal of Risk. 18:95-117
The common thinking that deferring bonus payments makes an agent more risk averse isfalse. We characterize continuous-time risk taking and show that the introduction of deferralincreases risk taking at any time when the realized asset value is large
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a4e078456e7c16c892c2566fbd979382
https://doi.org/10.21314/jor.2015.315
https://doi.org/10.21314/jor.2015.315
Autor:
Eckhard Platen, Dietmar Leisen
This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized stochastic discount factor (SDF) and of the minimum price to attain targ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0d081b3cfc2a164533a04834354ad5d5
Autor:
Dietmar Leisen, Yvonne Kreis
Publikováno v:
SSRN Electronic Journal.
We study a structural model of individual bank defaults across the banking sector; banks are interconnected through their exposure to a common risk factor. The paper introduces a systemic risk measure based on the default frequency in the banking sec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::61bae2bb93bc8f84e39850164660bdcc
https://doi.org/10.2139/ssrn.2699242
https://doi.org/10.2139/ssrn.2699242
Publikováno v:
Journal of Economic Theory. 154:453-489
This paper characterizes the equilibrium demand and risk premiums in the presence of skewness risk. We extend the classical mean-variance two-fund separation theorem to a three-fund separation theorem. The additional fund is the skewness portfolio, i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2b01bec007805d5fa0e8b1233d1bc2f6
https://doi.org/10.1016/j.jet.2014.09.020
https://doi.org/10.1016/j.jet.2014.09.020
Autor:
Dietmar Leisen, Kenneth L. Judd
Publikováno v:
Journal of Economic Dynamics and Control. 34:2578-2600
This paper analyses what determines an individual investor's risk-sharing demand for options and, aggregating across investors, what the equilibrium demand for options. We find that agents trade options to achieve their desired skewness; specifically
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f72fe7943e5540448ca02481217d4ef4
https://doi.org/10.1016/j.jedc.2010.07.006
https://doi.org/10.1016/j.jedc.2010.07.006