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Investment and portfolio decisions with uncertainty and market frictions: theory and application to microfinance

Reeder, Johannes J. (2010) Investment and portfolio decisions with uncertainty and market frictions: theory and application to microfinance. PhD, Universität Regensburg.

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Date of publication of this fulltext: 10 May 2010 12:57

Abstract (English)

The thesis covers three broad areas in the realm of the theory of financial markets. The first is treated in Chapter 2 and presents a model of the credit market incorporating the market friction of asymmetric information. In a simple version of the classical Stiglitz and Weiss (1981) model with two firm types and hidden information, we introduce aggregate risk arising from the correlation of the ...

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Translation of the abstract (German)

Die Dissertation bearbeitet drei Teilgebiete der Kapitalmarkttheorie. Im ersten geht es in Kapitel 2 um ein Modell des Kreditmarktes, das asymmetrische Information als Marktunvollkommenheit annimmt. In einer einfachen Version des klassischen Modells von Stiglitz und Weiss (1981) mit nur zwei Risikoklassen und versteckten Eigenschaften werden aggregierte Risiken eingeführt, die sich auf die ...

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Item type:Thesis of the University of Regensburg (PhD)
Date:10 May 2010
Referee:Prof. Dr. Lutz Arnold and Prof. Ph.D. Sven Rady
Date of exam:12 April 2010
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Theoretische Volkswirtschaft (Prof. Dr. Lutz Arnold)
Keywords:Asymmetric Information, enforcement problems, equilibrium credit rationing, aggregate risk, group lending, social sanctions, social returns, portfolio choice, separation properties
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:14382
Owner only: item control page

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