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the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10011301159
VaR calculation that will be developed in the form of High-order kernel estimator of VaR with historical simulation method … with Historical Simulation estimation methods and the combination of high order kernels increase with increasing order … kernel estimates and tend to be larger than the Historical Simulation estimation methods. Statistical properties indicates …
Persistent link: https://www.econbiz.de/10013056260
We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...
Persistent link: https://www.econbiz.de/10014246136
This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation, i.e. bootstrap-t interval, percentile...
Persistent link: https://www.econbiz.de/10012887711
implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a …
Persistent link: https://www.econbiz.de/10010259626
. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …
Persistent link: https://www.econbiz.de/10011505854
We gauge the return-generating potential of four investment strategies: value weighted, 60/40 fixed mix, unlevered and levered risk parity. We have three main findings. First, even over periods lasting decades, the start and end dates of a backtest can have a material effect on results; second,...
Persistent link: https://www.econbiz.de/10013104083
This paper develops a novel importance sampling algorithm for estimating the probability of large portfolio losses in the conditional independence framework. In a sense we modify the algorithm of Glasserman and Li (2005) so that it can be applied in a wider variety of models, including the t...
Persistent link: https://www.econbiz.de/10013029382
Sudden jumps in the stock market have a significant impact on consumers’ wealth. A market crash, in particular, can devastate lives and destabilize the entire economy. Therefore, it would be desirable if consumers, policy makers, and financial intermediaries could better anticipate such...
Persistent link: https://www.econbiz.de/10013239109
At its core, portfolio and risk management is about gathering and processing market-related data in order to make effective investment decisions. To this end, risk and return statistics are estimated from relevant financial data and used as inputs within the investment process. It is this...
Persistent link: https://www.econbiz.de/10012893987