Download or read book Three Essays on Financial Economics and Risk Managment written by Zhaowei Wang and published by . This book was released on 2014 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation mainly focuses on asset pricing and risk management in financial markets"--Abstract.

Download or read book Three Essays in Financial Economics written by Hilal Yilmaz and published by . This book was released on 2006 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis aims to develop techniques for improving portfolio optimization. The second chapter presents an improved covariance matrix estimator in the mean-variance optimization setting. Sample covariance matrix can be singular when the number of observations is less than the number of assets, and nearly singular when the number of observations exceeds the number of assets. Since the sample covariance matrix is not well-conditioned, using it as an input in mean-variance optimization can result in unreasonable "optimal" portfolios and badly biased estimates of Sharpe ratios. We address this problem by imposing constraints on the Sharpe ratio, asset return variances, and the variance of the global minimum variance portfolio. Our simulations show that the Constrained Maximum Likelihood Estimator (CMLE) performs better than the sample covariance matrix. Moreover, when the shrinkage approach is applied to the CMLE and single index covariance matrix, it performs better than the shrinkage of the sample covariance matrix and the single index covariance matrix of Ledoit and Wolf (2004). During the last two decades Value-at-Risk (VaR) has become the most commonly used measure of market risk due to its ease of calculation and simple interpretation. However, VaR has some undesirable mathematical characteristics such as lack of subadditivity and convexity. Conditional Value-at-Risk (CVaR), defined as the expected loss conditional on a loss larger than the VaR is an intuitively appealing coherent risk measure (Artzner et al. (1999)). However, tractable methods to optimize portfolios based on CVaR are not readily available. In the third chapter, we use the volatility dispersion trading strategy to illustrate that the quantile regression approach developed by Bassett et al. (2004) to risk management with CVaR allows for the easy solution of this otherwise difficult hedging and optimization problem. Credit risk is more difficult to model than market risk because the loss distribution is asymmetric and "fat-tailed" relative to the normal distribution. In the fourth chapter, we use a standard bond portfolio to demonstrate that credit risk optimization can be carried out using the quantile regression approach to compute CVaR developed by Bassett et al. (2004).

Download or read book Three Essays in Financial Economics written by Biplab K. Ghosh and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in financial economics and risk management written by Lin Zou and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three essays in financial economics written by Thomas H. Noe and published by . This book was released on 1987 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Economics written by Harry Charles DeAngelo and published by . This book was released on 1977 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Economics written by Da Ke and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation examines economic determinants of household financial decisions and investor behaviors. It contains three essays. The first essay investigates whether gender norms shape intra-household financial decision making. Analyzing microdata covering more than 30 million U.S. households, I document that families with a financially sophisticated husband are more likely to participate in the stock market than those with a wife of equal financial sophistication. Consistent with the gender norm hypothesis, the baseline effect is attenuated among individuals brought up by working mothers, but becomes stronger among descendants of pre-industrial societies in which women specialized in activities within the home and households with a husband born and raised in a southern state. A randomized controlled experiment further reveals that female identity hinders idea contribution by the wife. In contrast, male identity causes men to be less open to an opposing viewpoint of their wife, even if her proposition in optimal. These things suggest that gender identity norms can have real consequences for household financial well-being. The second essay explores the impact of local agglomeration economies on stock market participation. We find that when the industry in which individuals work is locally agglomerated, they are more likely to participate in the stock market. Further, we show that this relationship is especially strong among skilled workers. We find that the local agglomeration effect is not explained by risk tolerance, worker inertia, or a preference for stocks of firms that are in the same industry as the worker. Instead, our findings are consistent with local agglomeration enhancing human capital and in turn, raising workers' optimal allocations to risky assets. More generally, our analysis underscores the role of geography in shaping human capital and household financial decisions. The third essay examines whether momentum in stock prices is induced by changes in the political environment. We find that momentum profits are concentrated among politically sensitive firms and industries. A trading strategy with a long position in winner portfolios that are politically unfavored and a short position in losers that are politically favored eliminates all momentum profits. Further, our political sensitivity based factor explains 25% (40%) of monthly stock (industry) momentum alphas. Collectively, our results suggest that investor underreaction to political information generates momentum in stock and industry returns.

Download or read book Three Essays in Financial Economics written by Andrey Dmitrievich Ukhov and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays In Financial Economics written by Benjamin Grosse Rueschkamp and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Financial Economics written by Gustavo Da Silva Cortes Goncalves and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Economics written by Rajiv Sobti and published by . This book was released on 1984 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Financial Economics written by Dexin Zhou and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Economics written by Flávio Auler and published by . This book was released on 1995 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Economics written by C. Lee and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Financial Economics written by Christian Capuano and published by . This book was released on 2005 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Economics written by Jose Vicente Martinez and published by . This book was released on 2006 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Economics written by Lily Xiaoli Qiu and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: