Download or read book Essays on Risk and Portfolio Management written by Babak Eftekhari and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Portfolio Management and Credit Risk written by Andriy Demchuk and published by . This book was released on 2003 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Risk Assessment and Risk Management written by Thomas Rolf Althaus and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three singled-authored essays which examine topics in risk assessment and risk management in three distinct fields. The first essay, presented in chapter 1, analyzes the risk dynamics of hedge funds by introducing new risk factors which are used to assess the risk of hedge funds. The second essay, presented in chapter 2, investigates the performance of a set of modern risk models at predicting different risk measures across static as well as dynamic indices. The third essay, presented in chapter 3, examines if common portfolio insurance strategies are beneficial in the context of managing the investment risk in a pension fund setting.
Download or read book Essays on Private Equity written by Daniel Schmidt and published by . This book was released on 2004 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Robust and Data Driven Risk Management written by Elcin Cetinkaya and published by . This book was released on 2014 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the sixth chapter (Log-Robust Portfolio Management with Factor Model), we investigate robust optimization models that address uncertainty for asset pricing and portfolio management. We use factor model to predict asset returns and treat randomness by a budget of uncertainty. We obtain a tractable robust model to maximize the wealth and gain theoretical insights into the optimal investment strategies.
Download or read book Essays on Market Efficiency and Delegated Portfolio Management written by Philipp Doering and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Risk Management written by Amiyatosh Kumar Purnanandam and published by . This book was released on 2005 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Portfolio Construction Measurement and Efficiency written by John B. Guerard, Jr. and published by Springer. This book was released on 2016-09-23 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market? Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics. This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.
Download or read book Essays in Credit Portfolio Management written by June Ho Kim and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Banks often seek to reduce the default risk exposure associated with their corporate loan portfolios by entering into credit derivative positions. Asset managers seek additional yield through single and multi-name credit derivatives, and must also manage their credit exposures according to disciplined and systematic risk-return analysis. This thesis explores the portfolio selection and risk measurement problem for credit sensitive financial instruments. In comparison to its equity counterpart, the fixed-income portfolio problem presents unique challenges: the risk of issuer default induces skewed return distributions, the correlation of defaults influences the tail of the portfolio return distribution, and credit derivative positions have complex risk-return implications. The first part of this dissertation addresses the static selection problem for a fixed-income portfolio of credit sensitive securities. We optimize the total mark-to-market value of the portfolio at the investment horizon. This value incorporates the intermediate premium and default cash flows of long and short cash and derivative positions, and the survival-contingent market value of these positions at the horizon. The selection problem is cast as a polynomial goal program that involves a two-stage constrained optimization of preference weighted moments of the portfolio mark-to-market. The decision variable is the vector of contract notionals. A capital constraint guarantees the solvency of the investor. The multi-moment formulation addresses the non-Gaussian distribution of the portfolio mark-to-market. It is also computationally tractable, because we obtain analytical expressions for the moments of the portfolio mark-to-market, which are given in terms of nested expectations under risk-neutral and actual probability measures. The expressions are valid for a broad class of intensity-based, doubly-stochastic models of correlated default timing that are widely used in portfolio credit risk and derivatives pricing. Numerical results illustrate the implications for portfolio selection of idiosyncratic default risk and default correlation. They also indicate the robustness of the optimal policies with respect to estimation errors. Although higher moments provide important characterizations of the portfolio risk profile, investment managers often need to compute specific tail percentiles of the profit and loss distribution. In the second part of the thesis we develop an analytical approximation for this distribution. The approximation is based on a small-time expansion of a transform of the portfolio value. The analytical characterization permits tractable computations of Value-at-Risk, and Value-at-risk constrained optimal portfolio selections.
Download or read book Essays on Portfolio Choice and Risk Management written by Yi-Chin Hsin and published by . This book was released on 2016 with total page 87 pages. Available in PDF, EPUB and Kindle. Book excerpt: Globalization increases the access to financial markets and provides expanding opportunities for investors to diversify internationally. As suggested by the Modern Portfolio Theory (Markowiz, 1952), rational investors should use one of the following two strategies to achieve portfolio diversification: (1) Investing in asset classes thought to have low correlations or (2) increasing the sizes of their portfolios in multiple markets. In the early 1970s, diversification was referred to as the “free lunch” in investment. However, French and Poterba (1991) show that investors still tend to hold a disproportionate part of domestic equities in their portfolios. This phenomenon is called “the equity home bias,” which is still puzzling in the international finance literature. These essays investigate what drives individuals to hold inefficient portfolios and forgo the benefits of international diversification. The first chapter of this study explains the equity home bias among international portfolios by analyzing the relationship between the sizes of portfolio required and the investor’s perception about risk. A flexible three-parameter distribution developed by Hueng and Yau (2006) to model the measures of risk for stock returns is extended here. Conclusions reveal that there is a trade-off between the desirable reduction of variance and the undesirable increase of negative skewness of diversifying international portfolios. This trade-off relationship may give an explanation to the equity home bias phenomenon in reality. The second chapter further examines the same question from the correlation perspective. Through numerical analysis, this chapter presents the evolution of U.S. equity home bias in the context of dynamic correlations between developed and emerging markets. The results imply that the persistent high correlations between the developed European and North American markets induced a high U.S. home bias; while on the other hand, the developed Pacific Asian and emerging markets have been relatively less correlated with that of the North American market and has led to a lower U.S. home bias. As future correlations are steadily increasing, investors may seek newly open markets for diversification benefits in the present. Yet over the long run, the benefits of international diversification can be very few. The home bias in the future will be rationalized by the equilibrium correlations between international markets. The third chapter uses micro data to analyze the portfolio choices in risky assets over the working-age of the single individual and the retired segments that are exposed to health and medical expense risk. Single retirees respond to changes in medical expenses by altering their portfolio toward risky assets, while no evidence is found in the changes of single working people’s portfolios. This result is in contrast to theoretical prediction, which assumes that the elders tend to hold riskless assets.
Download or read book Retire Worry Free Essays on Risk and Money Management written by Andras Nagy and published by Lulu.com. This book was released on 2006-05 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nearly 8 trillion dollars were lost after the dot.com bubble and the ensuing stock market sell-off between 2000 and 2002. This bubble caused life-style changes for pre-retirees and caused 10 Wall-street broker firms to pay off 1.4 billion to unhappy investors in settlements. It has become clear that one must manage one's financial affairs and try to do a better job doing it. Personal application of Modern Portfolio Theory and unique Money Management ideas in this book will help the reader to plan better. The book also explains in detail the long hidden secret of success of the famous Turtle Trading.
Download or read book Essays in Credit Portfolio Management written by Vikrant Tyagi and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current financial crisis has lessons for three areas of credit portfolio management. First, the credit crisis has highlighted the need to manage the funding risk of a bank. Second, it has highlighted the need to manage the underwriting risk of debt syndications. Finally, it has suggested the need to understand the drivers of relationship banking. The first paper in this dissertation develops an empirically grounded model to manage the funding risk of a bank. The second paper develops an option pricing framework to manage the underwriting risk in debt syndications. The last paper in this dissertation uses a proprietary dataset to study the empirical determinants of relationship banking benefits.
Download or read book Essays on Asset and Portfolio Management written by Hagen Wittig and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation comprises three articles which are covering various aspects in the area of dynamic asset allocation, i.e., how to control an investor's portfolio composition over time in light of changing market conditions and various asset classes with differing return and risk profiles. In the first article, we propose the advancement of the traditional value-based rebalancing framework by setting the bandwidth weights in a non-static manner depending on current market characteristics, namely the relative price and volatility levels. The empirical analysis reveals significant excess returns in comparison to a buy and hold strategy, an idealized SAA strategy, as well as a rebalancing strategy with static bandwidths but otherwise comparable characteristics. The proposed approach also proves to be robust in various subsamples. In the second and third article, we break new ground by explicitly incorporating the risk dimension in the dynamic asset allocation process. In the second article, we present a rebalancing approach which applies the various asset classes' risk contributions to control the rebalancing process during the investment period. In strong contrast to traditional value-based rebalancing strategies, the resulting risk contribution strategies are capable of triggering rebalancing procedures based on deviations in an asset class's stand-alone volatility or correlation to the portfolio's remaining asset classes. Thus, this method lets investors closely maintain the asset classes' initial risk contributions. In the third article, we develop another approach which applies the loadings of the investor's portfolio on various key risk factors as indicators for triggering the rebalancing process. We implement the approach by monitoring the loadings on the risk factors interest rate, term spread, credit risk, equity premium, and volatility. We further define bandwidths for every risk factor loading. Once the effective loading.
Download or read book Portfolio Risk Analysis written by Gregory Connor and published by Princeton University Press. This book was released on 2010-03-15 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.
Download or read book Essays in Quantitative Finance on Risk Management and Credit Portfolio Optimisation written by Zhi Wang and published by . This book was released on 2011 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis discusses three topics in the area of quantitative finance in relation to risk and credit portfolio management. Chapter 2 investigates the issue of estimating and testing the goodness-of-fit of a model for a dependence break. The dependence is modelled by copulas and an unknown break of dependence structure is allowed for by including a dummy variable in the copula. The model is selected by minimizing the Akaike Information Criterion (AIC) of each candidate breaking point. The candidate models are estimated by a well-established two-step Maximum Likelihood (ML) approach, namely "Inference Function for Margin" (IFM). Moreover, we examine 5 single-factor copulas and compare them to each other by AIC criteria. A parametric bootstrap goodness-of-fit test is also proposed. Empirically, the dependence structures of stock indices between the US-UK and US-Japan markets during the Subprime crisis are examined. We found breaks in both dependence structures. In Chapter 3, a new general approach is developed for optimizing a credit portfolio by minimizing the default risk of a whole credit portfolio subject to a certain target premium. The approach is rooted in concepts from Modem Portfolio Theory. The default risk is measured by a quadratic form of weights and a matrix containing information about default correlations between any two single-names and default intensities of each single-name. The default correlation and the default intensities are modelled by a new binomial intensity model. A Genetic Algorithm (GA) approach is also introduced to optimize a credit portfolio with the purpose of overcoming limitations of the analytical method and the traditional numerical method based on the first order condition. Empirically, the approach is applied to optimize Credit Default Swap (CDS) portfolios consisting of members of iTraxx and CDX indices. In Chapter 4, we focus on modelling counterparty risks of two important financial instruments: the Interest Rate Swap (IRS) and the CDS. Analytical solutions are derived for the theoretical fair prices of the IRS and the CDS under various assumptions of defaults of counterparties. Also a Monte Carlo approach is proposed as a numerical solution for the fair prices. Numerical experiments are designed to study the effects of various factors on the fair price. Empirically, we examine the counterparty risk of a CDS portfolio, composed of randomly selected single-names from iTraxx series 10.
Download or read book Essays in Risk and Asset Management written by Philipp Johannes Kremer and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Quantitative Risk and Portfolio Management written by Kenneth Winston and published by Cambridge University Press. This book was released on 2023-09-30 with total page 647 pages. Available in PDF, EPUB and Kindle. Book excerpt: A book combining the rigour of academic finance with the pragmatism of hands-on finance.
