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University of Zurich » Center for Portfolio Management, Department of Banking and Finance » Research » Master Theses
Center for Portfolio Management, Department of Banking and Finance
Master Theses 2017 Non-Parametric Estimation of State Price Densities Daniel Grosshans Emerging Market Monetary Policy and the Carry Trade Rasia Naidoo Exiting Quantitative Easing: Are there Spillover Effects? Ermir Binakaj Optimal Delta Hedging Frequency for Equity Options Michael Schnetzer The introduction of GDP-linked bonds and the potential effects on some selected European countries Xavier Schuwey Rental Home Backed Securities (RBS) An Alternative Investment Opportunity in Switzerland? Nicola Della Morte Investment Mistakes Drivers of Private Banking Clients Janis M. Heibel Can the Carry Trade Strategy be improved by adding Value and Momentum? Jonas Fässler Alternative Portfolio Optimization - Monetizing Volatility Risk with Variance Swaps Florian Vetters Sell in May and Go Away - But Remember to Come Back in November Dino Giuliani 2016 Commodity prices as a signal for currency carry trades Michel Alain Guillet Value Equities in Carry Currencies Thormas Karg Strategic Allocation to Return Factors Silvan Scheerer Forecasting Long-Term Expected Returns Based on Earnings - An Analysis of a Financial Industry Approach Samuel Annen Capital Investment and Stock Returns: The European Evidence Quoc Fu Ha Determinants of the Issuance and Pricing of Insurance-Linked Securities Philipp Handler Cross Section of Stock Returns: On the Empirical Comparison of Investor Sentiment Indexes Hasan Karahan Preisblasen auf dem Schweizerischen Wohnimmobilienmarkt Sara Steinmann Empirische Performance unterschiedlicher Optionspreismodelle Stefan Betschart Saisonalität auf europäischen Aktienmärkten: eine branchenspezifische Analyse Jan Hunziker The Pricing of VIX Derivatives: Theory and Empirical Performance Florian Sutter 2015 Are Convertible Bonds Redundant? Cyril Charrabé The Impact of Restricted Trading Hours on Trading Performance: An Experimental Study Silvan Camenzind Gibt es die Konsensusfalle bei Analystenempfehlungen? Gabriel Meyer Economic Cycles and Value Investing Remo Kyburz Analysis of Smart Beta ETFs Christoph Buxtorf Determinants of Swiss Money Market Debt Register Claim Yields Sandro L. Galli How Green Buildings Mitigate Risk Constantin Kempf The Performance of the *-Strategy under New Stock Listings and Delistings Backtested on Swiss Stock Market Data Qian Cao Growth vs. Value Investing: What is the difference? Alexander Thoma Oil Price Indicators & Scoring Model Comparison Sebastian Kollár Momentum or Contrarian? Identifying the Determinants of Investor Beliefs Sandra Petrovic Timing Models for Factor Investing Ueli Hofstetter 2014 How Consistent are Ratings and Default Rates? Alexander Gartmann Die Auswirkungen der UCITS-Regulierungen auf Fonds-Performance und -Risiko Adrian Kunz Value Investing in European Stock Markets - An Application of Fundamental Analysis on Liquid Stores Marc Geissbühler An Analysis of Price Development in the Real Estate Market in Switzerland Patrick Stump Rohstoffpreise als Ursache für Krisen und Konflikte Marco Guldener Implications of SP/A Theory on Optimal Portfollio Choice, Dominique Schwestermann Investigating the relationship between the housing risks, the social security coverture and their impact on the home ownership rates in Switzerland and England Adrien Walther Retail investor trading behavior and profitability with regard to trading volume, past returns and news Marko Milivojevic Einfluss von Subventionen auf die Bautätigkeit energieeffizienter Gebäude in der Schweiz Juerg Syz, Caroline Rutz Can the attractiveness of Contingent Convertible bonds be explained by investors exhibiting systematic behavioral biases? Tamara Nielsen The Consequences of Environmental Policies on the Optimization of the German Energy Portfolio - A Quadratically Constrained Programming Model Andrea Staudacher The Chinese Renminbi on its Way to a Convertible and International Currency Raffael Willi Global vs. regional value investing Tim Glaus Predicting Stock Price Correlations - An ROC Curve Based Classifier Performance Analysis Sven C. Steude, Martin Castrischer What is risk? How do private investors understand risk? Laura Anzoni Explaining co-movement with co-mentions in financial media Mateusz Wroblewski Dynamische Interaktion zwischen Value und Momentum Michael Iten Presentation Forms and Risk-Taking Behavior of Investors Svea Ludwig Robot Advisory: Ein Fluch oder doch ein Segen? Dominic Hinny Learning and Stability in an Evolutionary Finance Model Cao Qian 2013 Die Auswirkung von Credit Default Swaps auf die Finanzstabilität Benjamin Mösch Volatility Trading David Weber The US dollar during the financial crisis: an intraday analysis Angelo Ranaldo, Rocco Fedele Verzerrungen bei der Wahl von Autoversicherungen Christian Hardegger Correlation 2.0: News and Social Media Predicting Stock Correlations Michael Bonifazi Tracking Error Berechnung bei ETFs Hans-Jörg Morath Technical Analysis and Investment Strategies: An Empirical Study Brian Buchmann Market and Liquidity Risk in the Corporate Bond Market Eliane Eberle Modelling Deleveraging Stefan Nef Determinants of Swiss Porperty Rents - Evidence from Swiss Residential Markets Philipp Dillinger The Effect of Credit Rating Changes on Asset Prices Ugur Aksoy Welfare Effects of a Proportional Tax on Financial Transactions Biljana Meiske-Radovanovic Decision Heuristic or Utility Driver? On the robustness of the impact of gain and loss probabilities in risky choice (How important are the overall probabilities of gaining and losing in decisions under risk?) Julian T. Gabrisch Price Predictability in an Evolutionary Financial Model Ferdinand Langnickel Rohstoffdrehscheibe Schweiz – Entwicklung und Perspektiven Selim Ardüser Impact of regulatory transparency notifications on stock prices Viktor Dinevski The Application of urban economics to Hong Kong’s property market Severin Tobler 2012 The response of Swiss real estate funds to macroeconomic factors Rebecca Merkli Die jüngere Entwicklung des Private Banking in der Schweiz (ab 1985) Stefanie Meyer Ist Newstrading erfolgreich? Remo Spühler Marktexperimente in der Finanzwirtschaft: Überblick und Übertragbarkeit auf reale Märkte Reto Gurtner Value Investing in Commodities Philipp Struwe Neurofinance and Risk Tolerance, André Schiesser The influence of news sentiment on correlations between commodity returns Michal Dzielinski, Marcel Fischli The impact of stock market crashes on the pricing kernel Christian Reichlin, Tino Schmid Value Investing Patrick Rüegger Information Dynamics in Financial Markets Fabienne Locher The trading behavior and profitability of retail investors with regard to news Maik Panter Green Premium - Analyse am Beispiel des Immobilienmarkts des Kantons Zürich Marco Rutz 2011 The Risk Profile and Performance of Environmental Hedge Funds Dijana Skoric The Impact of Market Conditions on the Performance of Different Option Pricing Models Jean-Marc Meier The Risk Profile and Predictability of Hedge Fund Returns: Implications for Asset Management Andreas Schranz Hedge Funds placement - current situation and possible developments Joel Rossier Information Spillover Effects between the Commodity and the Stock Markets Sven C. Steude, Timo Wassmer Back-testing of news-based strategies on stock markets Michal Dzielinski, Christoph Bischofberger Real estate in an asset allocation: an optimized portfolio through resampling Mihnea Constantinescu, Philipp Langenegger Expectations Implied in Option Prices: An Equilibrium Approach Christian Reichlin, Sandro Caluori Kulturelle Unterschiede im Fehlverhalten bei finanziellen Entscheidungen Sébastien Brühwiler Analysis and Timing of Managed Futures Strategies Michal Dzielinski, Peter Gilles How important are loss probabilities in repeated investment decisions? Lukas Meier Speculative Bubbles in a Production Economy with Innovation Alexander Tobler Alpha Opportunity Barometer Reto Schläpfer