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Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization

Guigues, Vincent - In: Statistics & Decisions 26 (2008) 2, pp. 109-143

Abstract We introduce an adaptive algorithm to estimate the uncertain parameter of a stochastic optimization problem. The procedure estimates the one-step-ahead means, variances and covariances of a random process in a distribution-free and multidimensional framework when these means, variances...

Persistent link: https://www.econbiz.de/10014621362

Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50

Brechmann, Eike Christain; Czado, Claudia - In: Statistics & Risk Modeling 30 (2013) 4, pp. 307-342

. Vine copulas can fill this gap by benefiting from the rich class of existing bivariate parametric copula families …. Exploiting this in combination with GARCH models for the margins, we develop a regular vine copula based factor model for asset … of specific stocks, and we explicitly discuss how vine copula models can be employed for active and passive portfolio …

Persistent link: https://www.econbiz.de/10014622242

Portfolio Value at Risk Based on Independent Components Analysis

Chen, Ying; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...

Persistent link: https://www.econbiz.de/10005861845

Sicherheits-orientiertes Portfoliomanagement

Müller, Sebastian; Müller, Gerhard - Hochschule <Wismar> / Fachbereich Wirtschaft - 2005

Ende der 90er Jahre schien eine intensive Auswahl der Investments kaum notwendig, da fast jede Aktienanlage deutliche Kursgewinne versprach. Nachdem jähen Absturz an den Börsen haben die Anleger einen beträchtlichen Teilihres Aktienvermögens verloren. Damit rücken wieder verstärkt...

Persistent link: https://www.econbiz.de/10005863391

Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps

Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance & Management - 2007

Within the last decade, credit risk management of financial institutions has been subject to major changes due to the development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their credit portfolio by either approving or refusing a...

Persistent link: https://www.econbiz.de/10005865666

Financing the Embedded Value of Life Insurance Portfolios

Hölscher, Luise; Harding, Perham; Becker, Gernot M. - Frankfurt School of Finance & Management - 2005

In May 2004 the CFO Forum harmonized the various efforts of reporting the embedded valueof life insurance companies by issuing the European Embedded Value (EEV) Principles.In this working paper a methodology is proposed to derive a maximum lending amountfrom EEV figures without much additional...

Persistent link: https://www.econbiz.de/10005865779

Risikomanagement in Versicherungen und Pensionskassen

Fachhochschule des BFI Wien - 2007

Die vorliegende sechste Ausgabe unserer Schriftenreihe "Wirtschaft und Management" widmet sich dem Forschungsschwerpunkt Risikomanagement in Verischerungen und Pensionskassen. Ergänzend dazu wird in einem Beitrag das Nachbesetzungsrisiko von Fach- und Führungskräften als wichtiges HRM-Thema...

Persistent link: https://www.econbiz.de/10005867531

Discrete-Time Implementationof Continuous-Time Portfolio Strategies

Branger, Nicole; Breuer, Beate; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2006

Since trading cannot take place continuously, the optimal portfolio calculated ina continuous-time model cannot be held, but the investor has to implement thecontinuous-time strategy in discrete time. This leads to the question how severe theresulting discretization error is. We analyze this...

Persistent link: https://www.econbiz.de/10005867622

Model Risk: A Conceptual Framework for RiskMeasurement and Hedging

Branger, Nicole; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2004

The vast majority of approaches to risk management, hedging, or portfolio planningassume that some model is given. However, under model risk, the true data gener-ating process is not known. The focus of this paper is on problems related to thehedging of derivative contracts. We explain the main...

Persistent link: https://www.econbiz.de/10005867667

Customer Portfolio Management in E-Commerce - AnAnalytical Model for Optimization

Sackmann, Stefan; Kundisch, Dennis; Ruch, Markus - Universität <Augsburg> / Research Center Finance & …

In this contribution, we present a model that retailers engaged in e-commerce (e-tailers)can use for determining the optimal mix of customer segments within a customer portfolio froman integrated risk and return perspective....

Persistent link: https://www.econbiz.de/10005868067