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Arne Westerkamp

Vienna University of Economics and Business - Department of Accounting and Finance

Nordbergstraße 15, Bauteil B, 6. Stock

Wien 1090

Austria

  • Vienna University of Economics and Business - Department of Accounting and Finance

SCHOLARLY PAPERS

9

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2,451

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5

Scholarly Papers (9)

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1.

Making Parametric Portfolio Policies Work

Number of pages: 32 Posted: 10 Dec 2017 Last Revised: 18 Apr 2019
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 730 (86,804)

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portfolio policy, expected utility, risk aversion, prospect theory

2.

Snow and Leverage

Downloads 616 (109,339)
Citation 4

Snow and Leverage

Number of pages: 38 Posted: 24 Nov 2010 Last Revised: 13 May 2014
Holger M. Mueller, Xavier Giroud, Alex Stomper and Arne Westerkamp
New York University (NYU) - Department of Finance, Columbia University - Columbia Business School, Finance, Humboldt University of Berlin - School of Business and Economics and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 403 (180,012)

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Debt Overhang, Debt Restructuring, Debt Renegiotiation

Snow and Leverage

NBER Working Paper No. w16497
Number of pages: 39 Posted: 01 Nov 2010 Last Revised: 29 Jan 2023
Xavier Giroud, Holger M. Mueller, Alex Stomper and Arne Westerkamp
Columbia University - Columbia Business School, Finance, New York University (NYU) - Department of Finance, Humboldt University of Berlin - School of Business and Economics and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 207 (369,637)
Citation 1

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Snow and Leverage

CEPR Discussion Paper No. DP8148
Number of pages: 49 Posted: 27 Dec 2010
Xavier Giroud, Holger M. Mueller, Alex Stomper and Arne Westerkamp
Columbia University - Columbia Business School, Finance, New York University (NYU) - Department of Finance, Humboldt University of Berlin - School of Business and Economics and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 6 (1,646,315)
Citation 3

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Debt Forgiveness, Debt Overhang, Debt Renegotiation, Debt Restructuring

3.

Selection vs. Averaging of Logistic Credit Risk Models

Number of pages: 11 Posted: 12 Dec 2010 Last Revised: 14 Dec 2011
Evelyn Hayden, Alex Stomper and Arne Westerkamp
Raiffeisen Bank International, Humboldt University of Berlin - School of Business and Economics and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 231 (333,232)
Citation 1

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Credit Risk Models, Logistic Models, Stepwise Model Selection, Bayesian Model Averaging

4.

The Cross-Section and Time Series of Corporate Bond Returns

Number of pages: 3 Posted: 17 Aug 2010
Arne Westerkamp and Josef Zechner
Vienna University of Economics and Business - Department of Accounting and Finance and Vienna University of Economics and Business
Downloads 192 (403,391)

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Corporate bond pricing, asset pricing

5.

Online-Appendix to: Making Parametric Portfolio Policies Work

Number of pages: 102 Posted: 06 Mar 2018 Last Revised: 18 Apr 2019
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 183 (413,774)

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portfolio policy, expected utility, risk aversion, prospect theory

6.

Extending the Demand System Approach to Asset Pricing

Number of pages: 80 Posted: 11 Dec 2022
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 179 (424,491)

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parametric portfolio policy, expected utility, risk aversion

7.

Performance of Characteristics-Based Portfolio Choice

Number of pages: 62 Posted: 01 Oct 2020
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 158 (477,517)

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portfolio policy, expected utility, risk aversion, simulated data

8.

Equilibrium Policy Portfolios When Some Assets are Non-Tradable

Number of pages: 35 Posted: 09 Jan 2019 Last Revised: 31 Jan 2019
Otto Randl, Arne Westerkamp and Josef Zechner
Vienna University of Economics and Business, Vienna University of Economics and Business - Department of Accounting and Finance and Vienna University of Economics and Business
Downloads 158 (477,517)

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asset allocation, policy portfolios, non-tradable assets

9.

Making Parametric Portfolio Policies Work

CEPR Discussion Paper No. DP13193
Number of pages: 28 Posted: 24 Sep 2018
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 4 (1,575,921)

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expected utility, portfolio policy, prospect theory, risk aversion