Risk and Capital: Proceedings of the 2nd Summer Workshop on Risk and Capital Held at the University of Ulm, West Germany, June 20-24, 1983Günter Bamberg, Klaus Spremann This volume invites young scientists and doctoral students in the fields of capital market theory, informational economics, and mana gement science to visualize the many different ways to arrive at a thorough understanding of risk and capital. Rather than focusing on one subject only, the sample of papers collected may be viewed as a representative choice of various aspects. Some contributions have more the character of surveys on the state of the art while others stress original research. We fou~d it proper to group the papers under two main themes. Part I covers information, risk aversion, and capital market theory. Part II is devoted to management, policy, and empirical evidence. Two contributions, we think, deserved to break this allocation and to be placed in a prologue. The ideas expressed by Jost B. Walther, although meant as opening address, draw interesting parallels for risk and capital in genetics and evolution. An old, fundamental pro blem was asked and solved by Martin J. Beckmann: how does risk affect saving? The wise answer (Martin's 60th birthday is in July 1984) is both smart and simple, although the proof requires sophisticated dynamic programming. As always, such a work must be the result of a special occasion. |
Contents
Jost B Walther | 1 |
Günter Bamberg | 15 |
Michael J Brennan Allan Kraus | 33 |
Copyright | |
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agent Analysis assume assumption Bamberg bankruptcy proceedings Berlin Heidelberg 1984 capital market CAPM claims collateral constraints contracts convex Corporate costs covariance customer area debt demand derivative assets dividend earnings empirical equilibrium equivalent estimation expected factor Figure firm flow transshipment model given increasing information asymmetry insolvency interest rate investment decision investors Journal of Financial Keynesian labour linear program market efficiency maximize means monopolistic MRPL multivariate node normally distributed optimal parameters Pareto optimal payoff functions period portfolio positive primary assets probability distribution problem productivity profit random variables random walk hypothesis rationing reorganization Risk and Capital risk aversion risky asset SAN DIEGO secured creditors security agreements shares signalling solution Spremann Stiglitz stochastic dominance Stochastic Programming strategy spaces syndicate systematic risk Theorem theory tion uncertainty univariate UNIVERSITY utility function V₁ variance vector wealth zero