Search

Search results

• "Flexing the default barrier", Dorfleitner, Schneider, Veza, 2011

  Publication

  The paper introduces a Black-Cox-type structural model for credit default swaps (CDS). The existing literature on structural CDS pricing is extended...

  Publication on epub.uni-regensburg.de: "Flexing the default barrier" (external link, opens in a new window)

• "Microcredit as an Asset Class: Structured Microfinance", Dorfleitner, Leidl, Priberny, 2011

  Publication

  Publication on epub.uni-regensburg.de: "Microcredit as an Asset Class: Structured Microfinance" (external link, opens in a new window)

• "Asset-liability management under time-varying investment opportunities", Ferstl, Weissensteiner, 2011

  Publication

  Stochastic linear programming is a suitable numerical approach for solving practical asset-liability management problems. In this paper, we consider a...

  Publication on epub.uni-regensburg.de: "Asset-liability management under time-varying investment opportunities" (external link, opens in a new window)

• "Risk capital allocation for RORAC optimization", Buch, Dorfleitner, Wimmer, 2011

  Publication

  This paper considers the financial optimization problem of a firm with several sub-businesses striving for its optimal RORAC. An insightful example...

  Publication on epub.uni-regensburg.de: "Risk capital allocation for RORAC optimization" (external link, opens in a new window)

• "Kleine Kredite, große Rendite?Zur Refinanzierung von Mikrokrediten", Dorfleitner, Leidl, 2011

  Publication

  Blick in die Wissenschaft

  Publication on epub.uni-regensburg.de: "Kleine Kredite, große Rendite? Zur Refinanzierung von Mikrokrediten" (external link, opens in a new window)

• "Theory of social returns in portfolio choice with application to microfinance", Dorfleitner, Leidl, Reeder, 2012

  Publication

  We complement the Markowitz portfolio theory by adding a social dimension. Every asset is assigned a social return, which is generally modeled as...

  Publication on epub.uni-regensburg.de: "Theory of social returns in portfolio choice with application to microfinance" (external link, opens in a new window)

• "On the diversification benefits of commodities from the perspective of euro investors", Belousova, Dorfleitner, 2012

  Publication

  This paper investigates the diversification contribution of several commodities to a portfolio of traditional assets from the perspective of a euro...

  Publication on epub.uni-regensburg.de: "On the diversification benefits of commodities from the perspective of euro investors" (external link, opens in a new window)

• "The effect of the Japan 2011 disaster on nuclear and alternative energy stocks worldwide: An event study", Ferstl, Utz, Wimmer, 2012

  Publication

  This event study investigates the impact of the Japanese nuclear disaster in Fukushima-Daiichi on the daily stock prices of German, French, Japanese...

  Publication on epub.uni-regensburg.de: "The effect of the Japan 2011 disaster on nuclear and alternative energy stocks worldwide: An event study" (external link, opens in a new window)

• "Specification risk and calibration effects of a multi-factor credit portfolio model", Dorfleitner, Fischer, Geidosch, 2012

  Publication

  Journal of Fixed Income

  Publication on epub.uni-regensburg.de: "Specification risk and calibration effects of a multi-factor credit portfolio model" (external link, opens in a new window)

• "Safety first portfolio choice based on financial and sustainability returns", Dorfleitner, Utz, 2012

  Publication

  The aim of this paper is to expand the methodological spectrum of socially responsible investing by introducing stochastic sustainability returns into...

  Publication on epub.uni-regensburg.de: "Safety first portfolio choice based on financial and sustainability returns" (external link, opens in a new window)