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Value-at-Risk Bounds with Variance Constraints
Bernard, Carole - 2015
Recent literature deals with bounds on the Value-at-Risk (VaR) of risky portfolios when only the marginal distributions of the components are known. In this paper we study Value-at-Risk bounds when the variance of the portfolio sum is also known, a situation that is of considerable interest in...
Persistent link: https://www.econbiz.de/10013034868
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Tail Hedging Strategies
Strub, Issam S. - 2018
adjusts the exposure level based on a measure of tail risk obtained by applying Extreme Value Theory (EVT) to estimate …
Persistent link: https://www.econbiz.de/10012938485
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Expected Returns Independent Allocations
Susinno, Gabriele - 2015
Present market instabilities have prompted great interest on the characteristics of specific portfolios such as minimum variance and equally- weighted risk contribution portfolios as these portfolios do not rely on the estimate of expected returns. Indeed, in turmoil periods traditional market...
Persistent link: https://www.econbiz.de/10013018612
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Demystifying Rebalancing Premium : A Methodological Path to Risk Premia Engineering
Dubikovsky, Vladislav - 2015
Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio … framework that encompasses various investment styles and portfolio construction methodologies. Modern Portfolio Theory is a one … theory. We show that Markowitz portfolios and Warren Buffett's investment style are valid special cases of optimal growth …
Persistent link: https://www.econbiz.de/10013018815
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Portfolio choice with path-dependent preferences
Kritzman, Mark; Li, Ding; Qiu, Grace; Turkington, David - 2020 - This version: May 21, 2020
Many sophisticated investors rely on scenario analysis to select a portfolio. These investors define prospective economic scenarios, assign probabilities to them, translate the scenarios into expected asset class returns, and select the portfolio with the highest expected return or expected...
Persistent link: https://www.econbiz.de/10012245036
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The Price of Risk : From Modern Portfolio Theory to Leveraged Portfolio Theory
Le Marois, Olivier - 2019
The Modern Portfolio Theory (MPT) has been the cornerstone of the asset allocation for over 40 years. In the past …, such as the recent sub-prime crisis. The proposed Leveraged Portfolio Theory (LPT) removes the most fundamental axiom of …
Persistent link: https://www.econbiz.de/10012905661
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Evaluation of Investment Strategies
Vilcek, Igor - 2017
The paper is focused on an ex-post investment performance analysis. Firstly, we create a suite of return, risk, return to risk and benchmark related measures with immediate real life applications in mind. We define and describe these measures and provide real data examples where appropriate....
Persistent link: https://www.econbiz.de/10012966013
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New Development on the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors with Application in Risk Management
Chan, Raymond Honfu - 2020
This paper develops new financial theory to link the third order stochastic dominance for risk-averse and risk …
Persistent link: https://www.econbiz.de/10012850629
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Dynamic Credit Portfolio Management : Linking Credit Risk Systems, Securitization and Standardised Credit Indices
Garcia, Joao; Goossens, Serge; Lamoot, Jeroen - 2008
In this paper we give a resume of the correlation concept that underlies the models for credit risk measurement, for the rating of structured products, for the pricing of (tranches of) structured products, and for Basel II capital charges. We discuss how securitization has changed the risk...
Persistent link: https://www.econbiz.de/10014214336
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Equity Machine Factor Models
Noguer i Alonso, Miquel; Zoonekynd, Vincent - 2022
We examine in this paper the training and test set performance of several equity factor models with a dataset of 20 years of data, 1,200 stocks and 100 factors. First, we examine several models to forecast expected returns, which can be used as baselines for more complex models: linear...
Persistent link: https://www.econbiz.de/10014255242