Asymetric Dependence in Finance : Diversification, Correlation and Portfolio Management in Market Downturns

Cover -- Title Page -- Copyright -- Contents -- About the Editors -- Introduction -- Chapter 1: Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence -- 1.1 Introduction -- 1.2 From Skiadas Preferences to Asset Prices -- 1.3 Consistently Measuring Asymmetric Dependence -- 1.3.1 The Adjusted J Statistic -- 1.4 Summary -- References -- Further Reading -- Chapter 2: The Size of the CTA Market and the Role of Asymmetric Dependence -- 2.1 Introduction -- 2.2 Market Model -- 2.2.1 Equilibrium Prices and Portfolios -- 2.3 Computation of Moments -- 2.3.1 Option and Stock -- 2.3.2 Comparison with Black-Scholes Delta -- 2.3.3 The Sign of 21 -- 2.4 Example Distributions -- 2.4.1 Uniform Prices -- 2.4.2 Symmetric Distributions with k = -- 2.4.3 Normal Distribution -- 2.4.4 Scale Gamma -- 2.4.5 Pareto -- 2.5 Heterogeneity and CTA Market Size -- 2.5.1 Institutional Demands -- 2.5.2 Size of the Option Market -- 2.6 Empirical Examples -- 2.7 Conclusions -- References -- Chapter 3: The Price of Asymmetric Dependence -- 3.1 Introduction -- 3.2 The Asymmetric Dependence Risk Premium -- 3.2.1 Empirical Design -- 3.2.2 Data -- 3.2.3 Factor Correlations -- 3.2.4 Distribution of JAdj -- 3.2.5 Conditional Dependence Patterns -- 3.2.6 In-Sample Regression Results -- 3.2.7 Out-of-Sample Regressions -- 3.2.8 Time-Varying Risk -- 3.3 Conclusion -- References -- Further Reading -- Chapter 4: Misspecification in an Asymmetrically Dependent World: Implications for Volatility Forecasting -- 4.1 Introduction -- 4.2 Literature Survey -- 4.3 Model Specifications -- 4.3.1 Existence of Moments -- 4.4 Estimating 'True' Parameter Values -- 4.4.1 US Equity Returns -- 4.4.2 US 10yr Bond Returns -- 4.5 Evaluating Forecasting Performance -- 4.6 Simulation Method and Results -- 4.6.1 Results -- 4.7 Conclusion -- References