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Author

  • Harald Schoen (2)
  • Andreas Jungherr (1)
  • Björn-Christopher Witte (1)
  • Christian Suchan (1)
  • Marcus Maurer (1)
  • Matthias Muck (1)
  • Pascal Jürgens (1)

Year of publication

  • 2010 (5) (remove)

Document Type

  • Artikel in einer Zeitschrift / Postprint (5) (remove)

Language

  • English (3)
  • German (2)

Keywords

  • Derivatives (1)
  • Jumps (1)
  • Portfolio choice (1)
  • Trading strategies (1)

Institute

  • Lehrstuhl für Politikwissenschaft, insbesondere Politische Soziologie (3)
  • Lehrstuhl für Betriebswirtschaftslehre, insbesondere Banking und Finanzcontrolling (1)
  • Lehrstuhl für Volkswirtschaftslehre, insbesondere Finanzwissenschaft (1)

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Decision Support in Financial Markets Using System Dynamics (2010)
Björn-Christopher Witte Christian Suchan
Show/Hide Abstract Trading Strategies with Partial Access to the Derivatives Market (2010)
Matthias Muck
This research analyzes tradingstrategies with derivatives when there are several assets and risk factors. We investigate portfolio improvement if investors have full and partialaccess to the derivativesmarkets, i.e. situations in which derivatives are written on some but not all stocks or risk factors traded on the market. The focus is on markets with jump risk. In these markets the choice of optimal exposures to jump and diffusion risk is linked. In a numerical application we study the potential benefit from adding derivatives to the market. It turns out that e.g. diffusion correlation and volatility or jump sizes may have a significant impact on the benefit of a new derivative product even if market prices of risk remain unchanged. Given the structure of risk investors may have different preferences for making risk factors tradable. Utility gains provided by new derivatives may be both increasing or decreasing depending on the type of contract added.
The political click : political participation through e-petitions in Germany (2010)
Andreas Jungherr Pascal Jürgens
Ein Bericht von der Heimatfront: Bürger, Politiker und der Afghanistaneinsatz der Bundeswehr (2010)
Harald Schoen
Der mediale Attraktivitätsbonus. Zum Einfluss der Attraktivität von Wahlkreiskandidaten auf die Medienberichterstattung (2010)
Marcus Maurer Harald Schoen

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