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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

used by portfolio managers in portfolio construction: the marginal VaR and the marginal AVaR. We illustrate the proposed …

Persistent link: https://www.econbiz.de/10009576319

Testing for an omitted multiplicative long-term component in GARCH models

Conrad, Christian; Schienle, Melanie - 2019 - This draft: May 20, 2018

We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...

Persistent link: https://www.econbiz.de/10011958200

Detecting structural differences in tail dependence of financial time series

Bormann, Carsten; Schienle, Melanie - 2019

An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for risk management and portfolio allocation. We propose a new test procedure for detecting the full extent of such structural differences in the dependence of bivariate extreme returns. We decompose the...

Persistent link: https://www.econbiz.de/10011958215

Picking winners : managerial ability and capital allocation

Benz, Andreas; Demerjian, Peter R.; Hoang, Daniel; … - 2024 - This Version: November 14, 2023

We examine how division managers' human capital affects internal capital allocation using a hand-collected data set of … divisional managers at S&P 1,500 firms. Based on a novel measure of division-manager ability, we show that more able division … managers receive substantially larger capital allocations. This effect is robust to controlling for the possibility of …

Persistent link: https://www.econbiz.de/10014476579