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Portfolio optimization when risk factors are conditionally varying and heavy tailed
Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - Center for Financial Studies - 2006
Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal … portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and …-tailedness of risk factors explicitly into account, while retaining analytical tractability and ease of implementation. An …
Persistent link: https://www.econbiz.de/10010958549
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Portfolio Optimization wehn Risk Factors are Conditionally Varying and Heavy Tailed
Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - Center for Financial Studies - 2006
Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal … portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and …-tailedness of risk factors explicitly into account, while retaining analytical tractability and ease of implementation. An …
Persistent link: https://www.econbiz.de/10005600451
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Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations
Schmidt, Daniel - Center for Financial Studies - 2003
In this article, we investigate risk return characteristics and diversification benefits when private equity is used as … using bootstrap simulations. For the late 1990s we find a dramatic increase in the extent to which private equity …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 …
Persistent link: https://www.econbiz.de/10010958618
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Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations
Schmidt, Daniel - Center for Financial Studies - 2004
In this article, we investigate risk return characteristics and diversification benefits when private equity is used as … using bootstrap simulations. For the late 1990s we find a dramatic increase in the extent to which private equity …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 …
Persistent link: https://www.econbiz.de/10005022456
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Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Hautsch, Nikolaus - Center for Financial Studies - 2007
We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...
Persistent link: https://www.econbiz.de/10010958610
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The Pricing puzzle: The default term structure of collateralised loan obligations
Jobst, Andreas A. - Center for Financial Studies - 2002
Ambivalence in the regulatory definition of capital adequacy for credit risk has recently steered the financial … generated from a portfolio of bank loans in the form of tranches with different seniority. By way of modelling Merton-type risk … optimal design of loan securitisation from the perspective of credit risk in potential collateral default. We propose a …
Persistent link: https://www.econbiz.de/10010958811
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Comparative analysis of alternative credit risk models: An application on German middle market loan portfolios
Kern, Markus; Rudolph, Bernd - Center for Financial Studies - 2001
In recent years new methods and models have been developed to quantify credit risk on a portfolio basis. CreditMetrics …
Persistent link: https://www.econbiz.de/10010986454
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Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model
Hautsch, Nikolaus - Center for Financial Studies - 2007
We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...
Persistent link: https://www.econbiz.de/10005138850
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Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - Center for Financial Studies - 2014
We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...
Persistent link: https://www.econbiz.de/10010958791
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Art as an alternative asset class: Risk and return characteristics of the Middle Eastern & Northern African art markets
Kräussl, Roman - Center for Financial Studies - 2014
This chapter analyzes the risk and return characteristics of investments in artists from the Middle East and Northern …
Persistent link: https://www.econbiz.de/10011076248