Narrow search
Showing 1 - 10 of 4,197
Cover Image
Implementation of the stress test methods in the retail portfolio
Siarka, Pawel - In: Journal of applied finance & banking 2 (2012) 6, pp. 15-29
Article refers to the issue of credit risk management in commercial banks. Particular attention is paid to the problem of stress testing. In addition, methods are presented that allow prediction of the losses of the portfolio in the context of extreme events relating to the crises of financial...
Persistent link: https://www.econbiz.de/10009741563
Cover Image
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012
In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...
Persistent link: https://www.econbiz.de/10009576319
Cover Image
Spanning tests for Markowitz stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2018 - Current draft: January 2018
Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz...
Persistent link: https://www.econbiz.de/10011877232
Cover Image
Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries
Al-Hajieh, Heitham - In: Cogent economics & finance 11 (2023) 1, pp. 1-38
Since portfolio management relies on the association of portfolio diversification, analyzing the spillover between the … correlations with each other and/or the US market, global investors may benefit from diversification. This study examines the … diversification and risk management. The study calculates the effectiveness of hedging equities portfolios between markets, using the …
Persistent link: https://www.econbiz.de/10014500629
Cover Image
An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment
Leung, Pui-lam - 2016
Using the Markowitz mean-variance portfolio optimization theory, researchers have shown that the traditional estimated return greatly overestimates the theoretical optimal return, especially when the dimension to sample size ratio p/n is large. Bai, Liu, and Wong (2009) propose a...
Persistent link: https://www.econbiz.de/10013008389
Cover Image
Conditional Portfolio Choice in the U.S. Bond Market : The Role of Liquidity
Gomez, Karoll - 2014
In this paper, I estimate the non-parametric optimal bond portfolio choice of a representative agent that acts optimally with respect to his/her expected utility one period forward, provided that he/she observes the ex ante liquidity signal. Using daily observations of zero-coupon Treasury and...
Persistent link: https://www.econbiz.de/10013056037
Cover Image
Risk Taking, Diversification, and U.S. Bank Size Anomalies
Clark, Brian J. - 2020
diversification index to account for complexity, we find robust evidence consistent with mispricing among the most diversified large …
Persistent link: https://www.econbiz.de/10012839022
Cover Image
Portfolio diversification across U.S. gateway and non-gateway real estate markets
Hoesli, Martin; Johner, Louis - 2021
is useful for mixed-asset diversification purposes, with the former type of markets appearing in risky portfolios and the …
Persistent link: https://www.econbiz.de/10012800449
Cover Image
Tail behavior of the Central European Stock markets during the financial crisis
Baruník, Jozef; Vácha, Lukáš; Vošvrda, Miloslav - 2010
In the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian stock markets and compare them to the benchmark U.S. and German stock markets. We fit the data of the 4-year period from March 2005 to...
Persistent link: https://www.econbiz.de/10010322236
Cover Image
Tail behavior of the Central European Stock markets during the financial crisis
Barunik, Jozef; Vacha, Lukas; Vošvrda, Miloslav S. - 2010
In the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian stock markets and compare them to the benchmark U.S. and German stock markets. We fit the data of the 4-year period from March 2005 to...
Persistent link: https://www.econbiz.de/10003958706