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When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia

Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010

equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …

Persistent link: https://www.econbiz.de/10009305103

Stabilität der Korrelationen bedeutender Anlageklassen

Auckenthaler, Christoph; Skaanes, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2003

Seit Begründung der modernen Portfoliotheorie ist bekannt, daß die Portfoliovolatilität im Fall niedriger Korrelationen zwischen den Anlageklassen bei sonst gleich bleibenden Parametern ohne Renditeeinbuße reduziert wird...

Persistent link: https://www.econbiz.de/10005856981

Correlation Risk and Optimal Portfolio Choice

Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007

In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the … simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an … optimal portfolio demand for hedging correlation risk. We calibrate the model and find that the optimal demand to hedge …

Persistent link: https://www.econbiz.de/10005858523

Who Tames the Celtic Tiger? Portfolio Implications from aMultivariate Markov Switching Model

Guidolin, Massimo; Hyde, Stuart - Manchester Business School - 2006

We use multivariate regime switching vector autoregressive models to characterize the time-varyinglinkages among the Irish stock market, one of the top world performers of the 1990s, and the US andUK stock markets. We ¯nd that two regimes, characterized as bear and bull states, are required...

Persistent link: https://www.econbiz.de/10005869997

‘When There is no Place to Hide’: Correlation Riskand the Cross-Section of Hedge Fund Returns

Buraschi, Andrea; Kosowski, Robert; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010

This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework … exposures to correlation risk explain cross-sectional differences in hedge fundexcess returns. Third, correlation risk is the …

Persistent link: https://www.econbiz.de/10009248845

Die Performance deutscher AktienfondsLassen sich Selektions- und Timingfähigkeiten nachweisen und hat dieWahl des Performancemaßes einen Einfluss auf die Beurteilung?

Rottmann, Horst; Franz, Thomas - Hochschule für Angewandte Wissenschaften <Amberg - 2008

Neben den klassischen Performancemaßen, wie der Sharpe-Ratio, der Treynor-Ratio und dem Jensen-Alpha wurden in den letzten Jahrzehnten weiterführende Ansätze für die Analyse und Bewertung vonKapitalanlagen entwickelt. Die moderneren Performancemaße verlangen keine Konstanz derRisikomaße...

Persistent link: https://www.econbiz.de/10005866098

Portfolioselektion mit Shortfallrisikomaßen

Albrecht, Peter - 2001

Die klassische, von Markowitz entwickelte, Portfoliotheorie basiert auf spezifischen Risikomaßen, der Renditevarianz bzw. der Renditestandardabweichung. Diese Risikomaße messen primär die Volatilität der Renditeentwicklung...

Persistent link: https://www.econbiz.de/10005842338

A Heuristic Approach to Portfolio Optimization

Kellezi, Evis; Gilli, Manfred - 2000

The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems.

Persistent link: https://www.econbiz.de/10005843226

Optimal Dynamic Trading Strategies with Risk Limits

Couco, Domenico; He, Hua; Issaenko, Sergei - 2001

This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an unconstrained trader and that the probability of extreme losses is also lower.

Persistent link: https://www.econbiz.de/10005843396

Are Correlations Constant Over Time? Application of the CC-TRIGt-test to ReturnSeries from Different Asset Classes.

Fischer, Matthias - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

A new test for constant correlation is proposed. Based on the bivariate Student-t distribution, this test is derived as … & Rouwenhorst, 2005) specify the unknown correlations as piecewise constant, our model-setup for the correlation coefficient is …

Persistent link: https://www.econbiz.de/10005861181