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    <link>https://hdl.handle.net/10419/40167</link>
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        <rdf:li rdf:resource="https://hdl.handle.net/10419/57178" />
        <rdf:li rdf:resource="https://hdl.handle.net/10419/57931" />
        <rdf:li rdf:resource="https://hdl.handle.net/10419/55526" />
        <rdf:li rdf:resource="https://hdl.handle.net/10419/55527" />
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    <dc:date>2026-04-29T05:30:59Z</dc:date>
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  <item rdf:about="https://hdl.handle.net/10419/57178">
    <title>The impact of network inhomogeneities on contagion and system stability</title>
    <link>https://hdl.handle.net/10419/57178</link>
    <description>Title: The impact of network inhomogeneities on contagion and system stability
Authors: Hübsch, Arnd; Walther, Ursula
Abstract: This work extends the contagion model introduced by Nier et al. (2007) to inhomogeneous networks. We preserve the convenient description of a financial system by a sparsely parameterized random graph but add several relevant inhomogeneities, namely well-connected banks, financial institutions with disproportionately large interbank assets, and big banks focusing on wholesale and retail customers. These extensions significantly enhance the model's generality as they reflect inhomogeneities as found in reality with a potentially decisive impact on system stability. Whereas well-connected banks and big retail banks have only a surprisingly modest impact, we find a significantly enhanced contagion risk in networks containing institutions with disproportionately large interbank assets. Moreover, we show that these effects can be partly compensated by a suitable regulatory response which demands additional net worth buffers for banks with above average volume of interbank assets. The stabilising effect is most notably achieved by a pure redistribution of equity capital without increasing its total amount.</description>
    <dc:date>2012-01-01T00:00:00Z</dc:date>
  </item>
  <item rdf:about="https://hdl.handle.net/10419/57931">
    <title>Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?</title>
    <link>https://hdl.handle.net/10419/57931</link>
    <description>Title: Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?
Authors: Schmidt, Wolfgang M.
Abstract: Das Geschäft mit Derivaten und strukturierten Finanzprodukten ist verstärkter Kritik ausgesetzt. Ziel des Aufsatzes ist die kritische Auseinandersetzung mit den Thesen der Kritiker und der Rolle der Bank bei den genannten Geschäften.</description>
    <dc:date>2012-01-01T00:00:00Z</dc:date>
  </item>
  <item rdf:about="https://hdl.handle.net/10419/55526">
    <title>Size matters! How position sizing determines risk and return of technical timing strategies</title>
    <link>https://hdl.handle.net/10419/55526</link>
    <description>Title: Size matters! How position sizing determines risk and return of technical timing strategies
Authors: Scholz, Peter
Abstract: The application of a technical trading rule, which just provides long and short signals, requires the investor to decide upon the exposure to stake in each trade. Although this position sizing (or money management) crucially affects the risk and return characteristics, recent academic literature has largely ignored this effect, leaving reported results incomparable. This work systematically analyzes the impact of position sizing on timing strategies and clarifies the relation to the Kelly criterion, which proposes to bet relative fractions from the remaining gambling budget. Both erratic as well as different relative positions, i.e. fixed proportions of the remaining portfolio value, are compared for simple moving average trading rules. The simulation of parametrized return series allows systematically varying those asset price properties, which are most in uential on timing results: drift, volatility, and autocorrelation. The study reveals that the introduction of relative position sizing has a severe impact on trading results compared to erratic positions. In contrast to a standard Kelly framework, however, an optimal position size does not exist. Interestingly, smaller trading fractions deliver the highest risk-adjusted returns in most scenarios.</description>
    <dc:date>2012-01-01T00:00:00Z</dc:date>
  </item>
  <item rdf:about="https://hdl.handle.net/10419/55527">
    <title>Volatilität als Investment: Diversifikationseigenschaften von Volatilitätsstrategien</title>
    <link>https://hdl.handle.net/10419/55527</link>
    <description>Title: Volatilität als Investment: Diversifikationseigenschaften von Volatilitätsstrategien
Authors: Detering, Nils; Zhou, Qixiang; Wystup, Uwe
Abstract: In Zeiten stark schwankender Finanzmarkte liegt der Fokus von Investoren insbesondere auf dem mit einer Anlage verbundenen Risiko. Gerade in diesen Marktphasen suchen Investoren nach Moglichkeiten, ihr bestehendes Portfolio weiter zu diversifizieren. Volatilitätsinvestments bieten durch ihre negative Korrelation zu traditionellen Assetklassen diese Möglichkeit.</description>
    <dc:date>2012-01-01T00:00:00Z</dc:date>
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