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Prospect Theory and Higher Moments
Ågren, Martin - 2006
The paper relates cumulative prospect theory to the moments of returns distributions, e.g. skewness and kurtosis … investor's utility is inverse hump-shape related to the kurtosis. Consequences for portfolio choice issues are studied. The …
Persistent link: https://www.econbiz.de/10010321576
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Stable mixture GARCH models
Broda, Simon A.; Haas, Markus; Krause, Jochen; … - 2011
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10009313940
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Risk spillovers in international equity portfolios
Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012
We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...
Persistent link: https://www.econbiz.de/10010407672
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Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions
Zoia, Maria Grazia; Vacca, Gianmarco; Barbieri, Laura - In: Risks : open access journal 8 (2020) 4/123, pp. 1-21
measures the increase in kurtosis due to the polynomial expansion, can be estimated so as to make the resulting distribution … capable of describing the empirical kurtosis found in the data. An application of the Gram-Charlier-like expansions to a set …
Persistent link: https://www.econbiz.de/10012390846
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The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
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Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...
Persistent link: https://www.econbiz.de/10013403261
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Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...
Persistent link: https://www.econbiz.de/10013405318
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A Mixture of Gaussians Approach to Mathematical Portfolio Oversight : The EF3M Algorithm
Lopez de Prado, Marcos - 2013
An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, mutating its investment style. A...
Persistent link: https://www.econbiz.de/10013092381
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Portfolio Oversight : An Evolutionary Approach
Lopez de Prado, Marcos - 2014
An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, with several co-existing...
Persistent link: https://www.econbiz.de/10013065107
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Modelling dynamic portfolio risk using risk drivers of elliptical processes
Schmidt, Rafael; Schmieder, Christian - 2007
The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...
Persistent link: https://www.econbiz.de/10010295926