Blättern Wirtschaftswissenschaftliche Fakultät nach "Korn, Olaf Prof. Dr." Betreuer
Anzeige 1-12 von 12
-
On the Determinants of Premiums in Financial Markets
(2023-08-24)This dissertation analyzes the pricing, exposures as well as information content of options. It aims to fill research gaps in the existing options-literature in the research fields of volatility-related pricing, option-exposures ... -
Trading Strategies and Return Patterns in Commodity Futures Markets
(2022-06-16)This thesis analyzes commodity futures pricing, trading activities in commodity futures contracts and their use for investment strategies. The aim of this thesis is to fill important gaps in the research field of commodity ... -
Moment Risk Premiums in Option Markets: On Measurement, Structure, and Investment Implications
(2021-11-16)Rational investors are in general risk averse. An important implication of this risk aversion is that investors may demand compensation for certain risks they take – risk premiums. Moment risk premiums are an example of ... -
Firm Risk and Ambiguity: The Role of Management and the Board
(2021-07-27)This dissertation is fundamentally concerned with the question of how management and the board of directors influence the uncertainty—that is, both risk and ambiguity—of a corporation. Interest in this question stems from ... -
Path-dependent Risk Measures - Theory and Applications
(2021-01-22)This dissertation addresses various key aspects in risk measurement with path-dependent risk measures. In contrast to most classical risk measures like value-at-risk, (semi-)variance, expected shortfall, or lower partial ... -
Analysis of option returns in perfect and imperfect markets
(2020-05-20)The thesis studies index and equity option returns in perfect and imperfect markets to explain parts of the option mispricing puzzle. Perfect markets exist under informational efficiency, market completeness and frictionless ... -
Portfolio Strategies with Classical and Alternative Benchmarks
(2018-07-19)This dissertation addresses different key elements in portfolio management. It intends to improve and analyze influences on portfolio strategies and their performance. Likewise, it aims at the systematization and extension ... -
Liquiditätszusammenhänge zwischen Kassa- und Derivatemärkten
(2016-06-08)This dissertation develops a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory of Cho and Engle (1999). The model shows that spot market illiquidity does not ... -
On the role of financial derivatives for the genesis and analysis of volatility in commodity markets
(2016-04-27)Food price volatility has re-emerged as an important topic of political discussion since the food price crisis of 2007/08. Not only the observation of increasing price levels but also their apparent increased volatility ... -
Accounting and Equity-Based Compensation
(2014-04-03)Executive compensation is still at the forefront of not only academic research, but also policy initiatives, news stories, and nationwide discussions. Much of the intensity of the discussion has been caused by the steep ... -
Risks and Risk Premiums in Commodity Markets
(2014-02-21)This PhD thesis investigates risks and risk premiums in commodities markets. Two chapters discuss the risks premium in interconnected electricity markets. One chapter develops a model for price spikes, and the risks of ... -
Asset Allokationsentscheidungen auf Basis höherer Momente und impliziter Informationen
(2014-02-20)Modern portfolio theory, which goes back to the seminal work by Markowitz (1952), focuses on the question of how an investor should allocate her wealth among different assets . Theory suggests that an investor should build ...