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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

Estimation Risk and Portfolio Selection

Kempf, Alexander; Kreuzberg, Klaus; Memmel, Christoph - 2001

This paper presents a new approach to incorporate estimation risk into mean-variance portfolio selection. The key contribution of our analysis is that we model the estimation risk as a second, independent source of risk.

Persistent link: https://www.econbiz.de/10005840708

Default Probabilities and Default Correlations

Erlenmaier, Ulrich; Gersbach, Hans - 2001

Starting from the Merton framework for firm defaults, we provide theanalytics and robustness of the relationship between defaultprobabilities and default correlations. We show that loans with higherdefault probabilities will not only have higher variances but also highercorrelations with other...

Persistent link: https://www.econbiz.de/10005843735

Risikosteuerung in Krisenzeiten

Hölscher, Reinhold; Kremers, Markus - Technische Universität <Kaiserslautern> / Lehrstuhl … - 2009

Instrumentell betrachtet ist die Finanzmarktkrise darauf zurückzuführen, dass zunächst eine Reihe von Kreditinstituten in Finanzinstrumente investiert hatten, deren Funktionsweise sie nicht vollständig verstanden hatten und deren Risiken sie nicht korrekt bewerten konnten. Als die ersten...

Persistent link: https://www.econbiz.de/10009486866

Time-Consistent Mean-Variance Portfolio Selection inDiscrete and Continuous Time

Czichowsky, Christoph - National Centre of Competence in Research - Financial … - 2010

It is well known that mean-variance portfolio selection is a time-inconsistent optimalcontrol problem in the sense that it does not satisfy Bellman’s optimalityprinciple and therefore the usual dynamic programming approach fails. We developa time-consistent formulation of this problem, which...

Persistent link: https://www.econbiz.de/10009486998

Risky Business and the Politics of Risk: Is the Insurance Industry Promoting Itself?

Swift, Jonathan - Chartered Insurance Institute - 2009

CII Introduction: The UK insurance sector lies at a critical juncture in its long and eventful history. On the one hand, insurers are feeling the recessionary pinch in the form of a capital squeeze and a hardening market, but they can still benefit from escaping the contagion in the global...

Persistent link: https://www.econbiz.de/10005870005

Correlation Products and Risk Management Issues

Mahoney, James - Federal Reserve Bank <New York, NY> - 1995

This article defines correlation products andexplores the problems they raise for risk management systemsin financial institutions. It explains the difficulties ofanalyzing nonseparable risk in one type of correlation product,the differential (diff) swap, and describes the much simpler...

Persistent link: https://www.econbiz.de/10005870345

On Portfolio Optimization: Imposing the Right Constraints

Behr, Patrick; Güttler, André; Miebs, Felix - Universität <Frankfurt, Main> / Lehrstuhl für … - 2010

We develop a shrinkage theory based framework for determining optimal port-folio weight constraints for minimum-variance portfolios in presence of parameteruncertainty. We propose to impose the set of constraints that yields the opti-mal trade-o between sampling error reduction and bias for the...

Persistent link: https://www.econbiz.de/10005870641

The insurance industry and climate change - Contribution to the global debate

Liedtke, Patrick M. - International Association for the Study of Insurance … - 2009

At the General Assembly of the Geneva Association held 28-31 May 2008 in Hamilton, Bermuda, the CEOs of the world's leading insurance and reinsurance companies decided to launch a new research project on climate change and its economic impact on insurance (CC+I). This initiative reflects one of...

Persistent link: https://www.econbiz.de/10005871215