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Asymmetries And Portfolio Choice
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Book Synopsis Asymmetries and Portfolio Choice by : Magnus Dahlquist
Download or read book Asymmetries and Portfolio Choice written by Magnus Dahlquist and published by . This book was released on 2015 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the portfolio choice of an investor with generalized disappointment aversion preferences who faces returns described by a normal-exponential model. We derive a three-fund separation strategy: the investor allocates wealth to a risk-free asset, a standard mean-variance efficient fund, and an additional fund reflecting return asymmetries. The optimal portfolio is characterized by the investor's endogenous effective risk aversion and implicit asymmetry aversion. We find that disappointment aversion is associated with much larger asymmetry aversion than are standard preferences. Our model explains patterns in popular portfolio advice and provides a reason for shifting from bonds to stocks as the investment horizon increases.
Book Synopsis Asymmetric Risk in Portfolio Choice by : A. J. King
Download or read book Asymmetric Risk in Portfolio Choice written by A. J. King and published by . This book was released on 1992 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymmetric Risk and International Portfolio Choice by : Susan Thorp
Download or read book Asymmetric Risk and International Portfolio Choice written by Susan Thorp and published by . This book was released on 2005 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymmetric Dependence in Finance by : Jamie Alcock
Download or read book Asymmetric Dependence in Finance written by Jamie Alcock and published by John Wiley & Sons. This book was released on 2018-06-05 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
Book Synopsis Portfolio Choice with Relative Considerations and Asymmetric Information by :
Download or read book Portfolio Choice with Relative Considerations and Asymmetric Information written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Portfolio Choice with Dynamic Asymmetric Correlations and Transaction Constraints by : Letian Ding
Download or read book Optimal Portfolio Choice with Dynamic Asymmetric Correlations and Transaction Constraints written by Letian Ding and published by . This book was released on 2010 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a framework for constructing portfolios with superior out-of-sample performance in the presence of estimation errors. Our framework relies on solving the classical mean-variance problem with dynamic portfolio rebalancing at a comparatively-high frequency level. With the employment of A-DCC GARCH model, we found that the usage of turnover constraints will tend to enhance the performance of the portfolios sufficiently high to overcome transaction costs in practice. For a long-only optimal portfolio based on a linear combination of two different strategies we find a return exceeding 51% per annual with annual volatility equal to 35% over the 1998-2007 period. We argue that the advantage of our framework comes from the mean-reverting nature of the stock market and the impact of the estimation errors in high frequency level. Our works indicate that one can successfully move from ordinary monthly or weekly adjusting strategies to high frequency and dynamic asset management without the significant increase of transaction costs.
Book Synopsis Asset Pricing and Portfolio Choice Theory by : Kerry Back
Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry Back and published by Oxford University Press, USA. This book was released on 2010 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the classical results on single-period, discrete-time, and continuous-time models of portfolio choice and asset pricing. It also treats asymmetric information, production models, various proposed explanations for the equity premium puzzle, and topics important for behavioral finance.
Book Synopsis Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information by :
Download or read book Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymmetric Returns by : Alexander M. Ineichen
Download or read book Asymmetric Returns written by Alexander M. Ineichen and published by John Wiley & Sons. This book was released on 2011-07-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Asymmetric Returns, financial expert Alexander Ineichen elevates the critical discussion about alpha versus beta and absolute returns versus relative returns. He argues that controlling downside volatility is a key element in asset management if sustainable positive compounding of capital and financial survival are major objectives. Achieving sustainable positive absolute returns are the result of taking and managing risk wisely, that is, an active risk management process where risk is defined in absolute terms and changes in the market place are accounted for. The result of an active risk management process-when successful-is an asymmetric return profile, that is, more and higher returns on the upside and fewer and lower returns on the downside. Ineichen claims that achieving Asymmetric Returns is the future of active asset management. Alexander M. Ineichen, CFA, CAIA, is Managing Director and Senior Investment Officer for the Alternative Investment Solutions team, a key provider within Alternative and Quantitative Investments, itself a business within UBS Global Asset Management. He is also on the Board of Directors of the Chartered Alternative Investment Analyst Association (CAIAA). Ineichen is the author of the two UBS research publications In Search of Alpha—Investing in Hedge Funds (October 2000) and The Search for Alpha Continues—Do Fund of Hedge Funds Add Value? (September 2001). As of 2006 these two reports were the most often printed research papers in the documented history of UBS. He is also author of the widely popular Absolute Returns—The Risk and Opportunities of Hedge Fund Investing, also published by John Wiley & Sons.
Book Synopsis Asset Pricing and Portfolio Choice Theory by : Kerry E. Back
Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry E. Back and published by Oxford University Press. This book was released on 2017-01-04 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.
Book Synopsis Portfolio Choice with Loss Aversion, Asymmetric Risk-taking Behavior and Segregation of Riskless Opportunities by : Martin Vlcek
Download or read book Portfolio Choice with Loss Aversion, Asymmetric Risk-taking Behavior and Segregation of Riskless Opportunities written by Martin Vlcek and published by . This book was released on 2006 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Application of the Large Deviation Technique to Optimal Portfolio Choice and Asymmetric Financial Risk Estimation by :
Download or read book Application of the Large Deviation Technique to Optimal Portfolio Choice and Asymmetric Financial Risk Estimation written by and published by . This book was released on 2004 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Information Asymmetry, Share Mispricing and the Coordination Problem by : Elena Yusupova
Download or read book Information Asymmetry, Share Mispricing and the Coordination Problem written by Elena Yusupova and published by . This book was released on 2008 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: Voucher privatization in the Czech Republic presented a natural experiment of the ability of investors to construct their portfolios under conditions of asymmetric information and the absence of stock market prices. This paper provides a theoretical model of an optimal portfolio choice made by the investors maximizing their expected return and at the same time solving a coordination problem in a non-cooperative game with other investors. The perception of share misvaluation and private information are endogenized. The model offers an interpretation and theoretical justification of earlier empirical findings and explains the crucial role of the uctioneer, different optimal strategies for different types of investors and the redundancy of legal limits constraining ownership stakes in firms. The results provide implications for the design of voucher privatization, which should lead to more efficient share distribution and price setting.
Book Synopsis The Economics of Asymmetric Information by : B. Hillier
Download or read book The Economics of Asymmetric Information written by B. Hillier and published by Bloomsbury Publishing. This book was released on 1997-04-07 with total page 199 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents recent developments in the economics of asymmetric information. The problems of selection and moral hazard, with hidden actions or hidden information, are introduced by examining how they affect the market for investment finance. The ideas are then used to analyse the market for insurance, signalling and screening models of education, efficiency wages, industrial regulation, public procurement and auctions. Coverage is thorough while avoiding excessive mathematical detail. Diagrams and verbal reasoning make the ideas accessible to intermediate level undergraduate students and beyond.
Book Synopsis Strategic Asset Allocation by : John Y. Campbell
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Book Synopsis Optimal Investment and Asymmetric Risk for a Large Portfolio by : John Knight
Download or read book Optimal Investment and Asymmetric Risk for a Large Portfolio written by John Knight and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In reality, hedge funds staffs more often than not face the problem of optimal asset allocation for large portfolios of investable stocks. In this study, we propose a new method based on the large deviations theory to select an optimal investment for a large portfolio such that the risk, which is defined as the probability that the portfolio return underperforms an investable benchmark, is minimal. As a particular case, we examine the effect of two types of asymmetric dependence; 1) asymmetry in a portfolio return distribution, and 2) asymmetric dependence between asset returns, on the optimal portfolio invested in two risky assets. Furthermore, since our analysis is based on a parametric framework, this allows us to formulate a close-form relationship between the measures of correlation and the optimal portfolio. Finally, we calibrate our method with equity data, namely Samp;P 500 and Bangkok SET. The empirical evidence confirms that there is a significant impact of asymmetric dependence on optimal portfolio and risk.
Book Synopsis Empirical Asset Pricing by : Wayne Ferson
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
