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This paper studies a consumption-portfolio problem where money enters the agent's utility function. We solve the corresponding Hamilton-Jacobi-Bellman equation and provide closed-form solutions for the optimal consumption and portfolio strategy both in an infinite- and finite-horizon setting. For the infinite-horizon problem, the optimal stock demand is one particular root of a polynomial. In the finite-horizon case, the optimal stock demand is given by the inverse of the solution to an ordinary differential equation that can be solved explicitly. We also prove verification results showing that the solution to the Bellman equation is indeed the value function of the problem. From an economic point of view, we find that in the finite-horizon case the optimal stock demand is typically decreasing in age, which is in line with rules of thumb given by financial advisers and also with recent empirical evidence.
We analyze the market reaction to the sentiment of the CEO speech at the Annual General Meeting (AGM). As the AGM is typically preceded by several information disclosures, the CEO speech may be expected to contribute only marginally to investors’ decision making. Surprisingly, however, we observe from the transcripts of 338 CEO speeches of German corporates between 2008 and 2016 that their sentiment is significantly related to abnormal stock returns and trading volume around the AGM. By adapting a finance-specific German dictionary based on Loughran and McDonald (2011), we find a negative association of the post-AGM returns with the speeches’ negativity and a positive association with the speeches’ relative positivity (i.e. positivity relative to negativity). Relative positivity moreover corresponds with a lower trading volume around the AGM. Investors hence seem to perceive the sentiment of CEO speeches at AGMs as a valuable indicator of future firm performance. Our results are robust against different weighting schemes and our dictionary appears to be better suited to grasp the sentiment of German business documents compared to general dictionaries.
The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles, but its intricate structure presents a challenge for econometric analysis. This paper proposes a two-step indirect inference approach that disentangles the estimation of the model's macro-economic dynamics and the investor's preference parameters. A Monte Carlo study explores the feasibility and efficiency of the estimation strategy. We apply the method to recent U.S.\data and provide a critical re-assessment of the long-run risk model's ability to reconcile the real economy and financial markets. This two-step indirect inference approach is potentially useful for the econometric analysis of other prominent consumption-based asset pricing models that are equally difficult to estimate.
On 22 May 2017, the suicide bomber Salman Abedi killed 22 people and injured many more after an Ariana Grande concert in the Manchester Arena. On 9 September 2017, the Manchester Arena was reopened with a benefit show labelled as a “We Are Manchester” concert. The concert’s aim was to raise money for a place of memorial for the victims of the attack. “We Are Manchester” is only one of the many peaceful responses to the attacks: In contrast to the heated debates on increasing security, they reveal different ways of standing together for a liberal and diverse society against the fear caused by terrorism...
In recent years, Ontological Security Theory (OST) has been established as a new theory in the field of International Relations. The theory seeks to explain state behavior, and offers a new perspective on the security dilemma and the persistence of conflicts. It has proven itself helpful in explaining seemingly irrational state behavior such as an aggressive foreign policy by weak states or the provision of humanitarian aid by powerful nations. OST further allows scholars to analyze norm-violating behavior of states, for instance the use of torture at the hands of Americans in the War on Terror. If you have not engaged with the theory before, you might want to learn about its core arguments as well as its potential and limitations in the following. For those who know the theory well, let me show you how the theory was key to gaining new insights in my research.
On the 28th of July, a 26 year old man, Ahmad A. launched a knife attack in a supermarket in the Barmbek area of Hamburg, wounding four people and killing one. He fled the scene of the attack before being forcefully apprehended by some bystanders. The attacker, a rejected asylum seeker, was understood by the police to have been recently religiously radicalised. Hamburg’s Interior Minister Andy Grote explained that he was known to the police as an “Islamist but not a jihadist” and was suspected of having psychological problems. Prosecutors have asserted that he had no known connections with any organized radical network or group and that he had planned on dying as a martyr...
Digitale Technologien und ihre vielfältige Nutzung verändern normative Ordnungen auf politischer, rechtlicher und gesellschaftlicher Ebene. Das Internet bietet neue gesellschaftliche Räume, die soziale Interaktion strukturieren. Diese sind jedoch nur halb-öffentliche Räume, in denen die Dienstleistungsanbieter mit Verweis auf ihre AGBs die Möglichkeit haben, etwa politische Äußerungen zu zensieren oder gar zu löschen. Darüber hinaus kooperieren manche private Unternehmen auch mit Staaten in der Strafverfolgung, und treffen Entscheidungen darüber welche Daten sie weitergeben. Welche Normen stoßen im Rahmen der Digitalisierung aufeinander und inwieweit sollten und könnten diese per Gesetz reguliert werden? Können die Grundrechte der Nutzer/innen noch umfassend gewährleistet werden? Mit diesen hochaktuellen Fragen befasste sich am 06. und 07. Juli die interdisziplinäre Konferenz “Normative Orders of the Digital“ am Exzellenzcluster Normative Ordnungen der Goethe-Universität Frankfurt.
Atheism remains one of the most extreme taboos in Saudi Arabia. It is a red line that no one can cross. Atheists in Saudi Arabia have been suffering from imprisonment, maginalisation, slander, ostracisation and even execution. Indeed, atheists in Saudi are considered terrorists. Efforts for normalisation between those who believe and those who don’t remain bleak in the kingdom.
Despite constant warnings of Saudi religious authorities of “the danger of atheism”, which is, according to them, “equal to disbelieving in God”, many citizens in the kingdom are turning their back on Islam. Perhaps inter alia the Saudi dehumanising strict laws in the name of Islam, easy access to information and mass communication are the primary driving forces pushing Saudis to leave religion. Unfortunately, those who explicitly do, find themselves harshly punished or forced to live dual lives.
Ransomware wie WannaCry und Petya/NotPetya versetzten weltweit Unternehmen in Sorge und verursachen erheblichen Schaden. Dabei sind sie nur der sichtbare Teil einer unzureichenden Sicherheitskultur, die dringend ein Update benötigt.
Ransomware, auch Kryptotrojaner genannt, sind kein neues Phänomen, sondern die zunehmend sichtbare Begleiterscheinung kollektiver IT-Unsicherheit. Die Ransomware WannaCry infizierte Mitte Mai weltweit mindestens 220.000 Windows Rechner. Dabei verschaffte sich der Trojaner Zugang zu den Dateien der Computer und verschlüsseln diese um eine Lösegeldzahlung zu erpressen. Dies war möglich über die als EternalBlue bekannte Lücke, die seit dem Betriebssystem Windwos XP auftrat und erst in diesem Jahr im Februar durch Microsoft geschlossen wurde. EternalBlue war für eine unbekannte Zeit in den Händen der NSA bis sie Anfang dieses Jahres durch eine Hackergruppe namens Shadow Brokers von der NSA „gestohlen“ und veröffentlicht wurde. Und obwohl Microsoft eiligst einen Patch veröffentlichte, offenbarten die bisher folgenreichsten bekannte Kryptowurm das Dilemma, in dem sich die Cyber-Sicherheitskultur aktuell befindet: Es ist eine Kultur des Schweigens, die dazu führt, dass das Sammeln und der Missbrauch von Sicherheitslücken gefördert statt verhindert wird....