Universitätspublikationen
33 search hits
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Master of Science in Management (MSM) : Leitfaden
(2009)
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Master of Science in Management (MSM) : Leitfaden für das Wintersemester 2009/2010
(2009)
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Ordnung der Johann Wolfgang Goethe-Universität, Frankfurt am Main für den Bachelorstudiengang "Wirtschaftspädagogik" mit dem Abschlussgrad "Bachelor of Science" vom 17.10.2007 geändert am 02.07.2008 und am 01.07.2009 : genehmigt vom Präsidium der Johann Wolfgang Goethe-Universität am 06.10.2009
(2009)
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Ordnung des Fachbereichs Wirtschaftswissenschaften an der Johann Wolfgang Goethe-Universität, Frankfurt am Main für die Nebenfächer Volkswirtschaftslehre und Betriebswirtschaftslehre vom 04.12.2007 in der Fassung vom 01.07.2009 : genehmigt vom Präsidium der Johann Wolfgang Goethe-Universität Frankfurt am Main am 04.08.2009
(2009)
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Ordnung des Fachbereichs Wirtschaftswissenschaften der Johann Wolfgang Goethe-Universität, Frankfurt am Main für den Bachelorstudiengang "Wirtschaftswissenschaften" mit dem Abschlussgrad "Bachelor of Science" vom 19. April 2007 in der Fassung vom 01.07.2009 : genehmigt vom Präsidium der Johann Wolfgang Goethe-Universität Frankfurt am Main am 04.08.2009
(2009)
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Ordnung des Fachbereichs Wirtschaftswissenschaften an der Johann Wolfgang Goethe-Universität, Frankfurt am Main für die Nebenfächer Volkswirtschaftslehre und Betriebswirtschaftslehre vom 04.12.2007 in der Fassung vom 01.07.2009 : genehmigt vom Präsidium der Johann Wolfgang Goethe-Universität Frankfurt am Main am 04.08.2009
(2009)
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Ordnung des Fachbereichs Wirtschaftswissenschaften der Johann Wolfgang Goethe-Universität, Frankfurt am Main für den Bachelorstudiengang "Wirtschaftswissenschaften" mit dem Abschlussgrad "Bachelor of Science" vom 19. April 2007 in der Fassung vom 01.07.2009 : genehmigt vom Präsidium der Johann Wolfgang Goethe-Universität Frankfurt am Main am 04.08.2009
(2009)
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Allgemeine Technologie : eine Systemtheorie der Technik
(2009)
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Günter Ropohl
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Foundations of continuous-time recursive utility : differentiability and normalization of certainty equivalents
(2009)
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Holger Kraft
Frank Thomas Seifried
- This paper relates recursive utility in continuous time to its discrete-time origins and provides a rigorous and intuitive alternative to a heuristic approach presented in [Duffie, Epstein 1992], who formally define recursive utility in continuous time via backward stochastic differential equations (stochastic differential utility). Furthermore, we show that the notion of Gâteaux differentiability of certainty equivalents used in their paper has to be replaced by a different concept. Our approach allows us to address the important issue of normalization of aggregators in non-Brownian settings. We show that normalization is always feasible if the certainty equivalent of the aggregator is of expected utility type. Conversely, we prove that in general L´evy frameworks this is essentially also necessary, i.e. aggregators that are not of expected utility type cannot be normalized in general. Besides, for these settings we clarify the relationship of our approach to stochastic differential utility and, finally, establish dynamic programming results. JEL Classifications: D81, D91, C61
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Optimal housing, consumption, and investment decisions over the life-cycle
(2009)
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Holger Kraft
Claus Munk
- We provide explicit solutions to life-cycle utility maximization problems simultaneously involving dynamic decisions on investments in stocks and bonds, consumption of perishable goods, and the rental and the ownership of residential real estate. House prices, stock prices, interest rates, and the labor income of the decision-maker follow correlated stochastic processes. The preferences of the individual are of the Epstein-Zin recursive structure and depend on consumption of both perishable goods and housing services. The explicit consumption and investment strategies are simple and intuitive and are thoroughly discussed and illustrated in the paper. For a calibrated version of the model we find, among other things, that the fairly high correlation between labor income and house prices imply much larger life-cycle variations in the desired exposure to house price risks than in the exposure to the stock and bond markets. We demonstrate that the derived closed-form strategies are still very useful if the housing positions are only reset infrequently and if the investor is restricted from borrowing against future income. Our results suggest that markets for REITs or other financial contracts facilitating the hedging of house price risks will lead to non-negligible but moderate improvements of welfare. JEL-Classification: G11, D14, D91, C6
