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Author : Namwon Hyung
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (254 download)
Download or read book Portfolio Diversification Effects of Downside Risk written by Namwon Hyung and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Namwon Hyung
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Portfolio Diversification Effects of Downside Risk written by Namwon Hyung and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk managers use portfolios to diversify away the unpriced risk of individual securities. In this article we compare the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat-tailed distributed returns. The downside risk of a security is decomposed into a part which is attributable to the market risk, an idiosyncratic part, and a second independent factor. We show that the fat-tailed-based downside risk, measured as value-at-risk (VaR), should decline more rapidly than the normal-based VaR. This result is confirmed empirically.
Author : Namwon Hyung
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (666 download)
Download or read book Downside Risk Portfolio Diversification Effects written by Namwon Hyung and published by . This book was released on 2004 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jamie Alcock
Publisher : John Wiley & Sons
ISBN 13 : 1119289025
Total Pages : 428 pages
Book Rating : 4.1/5 (192 download)
Download or read book Asymmetric Dependence in Finance written by Jamie Alcock and published by John Wiley & Sons. This book was released on 2018-02-13 with total page 428 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.
Author : Leyuan You
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Downside Four-Moment Tail Risk and its Effect on Financial and Commodity Diversification written by Leyuan You and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Diversification studies typically concentrate on the correlation between the return series of assets, while the measurement of risk focuses on the standard deviation. However, portfolio managers worry about large downside losses and realize that asset returns are not normally distributed. Here we examine downside risk by using skewness and kurtosis, as well as the standard deviation, to determine the potential large losses for a wide range of financial and commodity assets. Using a four-moment downside risk measure allows us to study the effects of diversification in a new light. We find that a naively diversified portfolio of individual assets is consistently superior to other portfolios, including diversified commodity indexes such as the GSCI.
Author : Hrishikesh (Rick) D. Vinod
Publisher : John Wiley & Sons
ISBN 13 : 0471686514
Total Pages : 316 pages
Book Rating : 4.4/5 (716 download)
Download or read book Preparing for the Worst written by Hrishikesh (Rick) D. Vinod and published by John Wiley & Sons. This book was released on 2004-11-11 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: A timely approach to downside risk and its role in stock market investments When dealing with the topic of risk analysis, most books on investments treat downside and upside risk equally. Preparing for the Worst takes an entirely novel approach by focusing on downside risk and explaining how to incorporate it into investment decisions. Highlighting this asymmetry of the stock market, the authors describe how existing theories miss the downside and follow with explanations of how it can be included. Various techniques for calculating downside risk are demonstrated. This book presents the latest ideas in the field from the ground up, making the discussion accessible to mathematicians and statisticians interested in applications in finance, as well as to finance professionals who may not have a mathematical background. An invaluable resource for anyone wishing to explore the critical issues of finance, portfolio management, and securities pricing, this book: Incorporates Value at Risk into the theoretical discussion Uses many examples to illustrate downside risk in U.S., international, and emerging market investments Addresses downside risk arising from fraud and corruption Includes step-by-step instructions on how to implement the methods introduced in this book Offers advice on how to avoid pitfalls in calculations and computer programming Provides software use information and tips
Author : Thierry Roncalli
Publisher : CRC Press
ISBN 13 : 1482207168
Total Pages : 430 pages
Book Rating : 4.4/5 (822 download)
Download or read book Introduction to Risk Parity and Budgeting written by Thierry Roncalli and published by CRC Press. This book was released on 2016-04-19 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina
Author : Mr.Garry J. Schinasi
Publisher : International Monetary Fund
ISBN 13 : 1451855796
Total Pages : 39 pages
Book Rating : 4.4/5 (518 download)
Download or read book Portfolio Diversification, Leverage, and Financial Contagion written by Mr.Garry J. Schinasi and published by International Monetary Fund. This book was released on 1999-10-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Models of “contagion” rely on market imperfections to explain why adverse shocks in one asset market might be associated with asset sales in many unrelated markets. This paper demonstrates that contagion can be explained with basic portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules do not have significantly different consequences for portfolio rebalancing and contagion than other rules. The paper’s main conclusion is that portfolio diversification and leverage may be sufficient to explain why investors would find it optimal to sell many higher-risk assets when a shock to one asset occurs.
Author : Kirt C. Butler
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (129 download)
Download or read book Are the Gains from International Portfolio Diversification Exaggerated? The Influence of Downside Risk in Bear Markets written by Kirt C. Butler and published by . This book was released on 2002 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fundamental rationale for international portfolio diversification is that it expands the opportunities for gains from portfolio diversification beyond those that are available through domestic securities. However, if international stock market correlations are higher than normal in bear markets, then international diversification will fail to yie ld the promised gains just when they are needed most. We evaluate the extent to which observed correlations to monthly returns in bear, calm and bull markets are captured by three popular bivariate distributions: (1) the normal, (2) the restricted GARCH(1,1) of J. P. Morgan's RiskMetrics, and (3) the Student-t with four degrees of freedom. Observed correlations during calm and bull markets are unexceptional compared to these models. In contrast, observed correlations during bear markets are significantly higher than predicted. Higher-than-normal correlations during extreme market downturns result in monthly returns to equal-weighted portfolios of domestic and international stocks that are, on average, more than two percent lower than those predicted by the normal distribution. If the extent of non-normality during bear markets persists over time, then a U.S. investor allocating assets into foreign markets might want to allocate more assets into foreign markets with near-normal correlation profiles and avoid markets with higher-than-normal bear market co-movements.
Author : David E. Allen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (94 download)
Download or read book Down-side Risk Metrics as Portfolio Diversification Strategies Across the GFC written by David E. Allen and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ojwang Omondi
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (13 download)
Download or read book Portfolio Returns written by Ojwang Omondi and published by . This book was released on 2014 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment in the financial markets is guided by the trade-off between expected returns and risk appetite of the investor. Higher risks could possibly result in higher expected return on the upside risk but the possibility of massive downside risk of loss must never escape the investor. The dynamic market condition should shape an investor's macro-economic perception with a view to taming the market but not to beat the market for the latter is a herculean and elusive task to undertake. Portfolio theory draws from the theory of the firm only that the former deals with investors both rational and irrational with a view to optimal asset mix in a diversified portfolio subject to future uncertainty. Models have been developed to analyze economic equilibrium in the face of optimizing investors including CAPM and APT an analysis of which forms the basis of this paper with a brief look on portfolio performance.
Author : Mikael Haglund
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (129 download)
Download or read book Higher Moment Diversification Benefits of Hedge Fund Strategy Allocation written by Mikael Haglund and published by . This book was released on 2011 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge funds are often used by institutional investors as a risk reduction tool in order to decrease portfolio volatility and create more stable return patterns. Normally, the portfolio construction process is utilizing a mean-variance approach and does not account for non-normal return distributions. In this paper we use higher moment betas to examine the effects on portfolio volatility, skewness and kurtosis when hedge funds are added to an equity portfolio. Results show that hedge funds in general can lower the volatility, skewness and kurtosis of the portfolio but large variations are seen between different hedge fund strategies. Convertible Arbitrage, Equity Market Neutral, Fixed Income Arbitrage, Merger Arbitrage and Macro are identified as the most attractive strategies to include in an equity portfolio for investors who care about higher moment risks and want to limit downside risk. Positive diversification effects still exists when serial correlation is accounted for but are then less pronounced.
Author : Thomas Neukirch
Publisher :
ISBN 13 :
Total Pages : 7 pages
Book Rating : 4.:/5 (129 download)
Download or read book Portfolio Optimization with Respect to Risk Diversification written by Thomas Neukirch and published by . This book was released on 2008 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditional portfolio optimization approaches suffer from the drawback of often leading to highly concentrated portfolios. We propose a new kind of optimization focusing on a homogeneous distribution of risk among the portfolio constituents. We describe the underlying ideas of the approach and propose an easy to use and intuitive implementation using volatility or downside volatility as risk together with suitable homogeneity measures. The attractiveness of the approach lies in the fact, that it can be used in the presence of constraints and that it leads to better diversified portfolios without the need of manual adjustments. The diversifying effect is illustrated by some asset allocation examples.
Author : Everest Media
Publisher : Everest Media LLC
ISBN 13 : 1669348172
Total Pages : 18 pages
Book Rating : 4.6/5 (693 download)
Download or read book Summary of Larry Swedroe & Kevin Grogan's Reducing the Risk of Black Swans written by Everest Media and published by Everest Media LLC. This book was released on 2022-02-24T19:41:00Z with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Please note: This is a companion version & not the original book. Sample Book Insights: #1 Investors who extrapolate past stock market returns into the future fail to take into account the fact that current stock market valuations have a significant impact on future returns. The Gordon Constant Growth Dividend Discount Model, for example, predicts future real stock market returns of about 4 to 5 percent. #2 The second mistake investors make is to treat the expected return of their portfolio as deterministic rather than the mean of a potentially wide dispersion of possible returns. #3 Portfolios with a high standard deviation aren’t very appealing to most investors, since they are generally risk averse. They will take on more risk to get more return, even if that means sacrificing some of the great returns in the right tail of the distribution. #4 The Capital Asset Pricing Model, or CAPM, is a mathematical equation that determines a stock’s expected return. It was created in the 1950s and is still used today. However, it has been proven time and time again to be inaccurate, and does not take into account the impact of risk.
Author : Viral V. Acharya
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.X/5 (4 download)
Download or read book The Effects of Focus and Diversification on Bank Risk and Return written by Viral V. Acharya and published by . This book was released on 2002 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Francois-Serge Lhabitant
Publisher : Elsevier
ISBN 13 : 0081017863
Total Pages : 276 pages
Book Rating : 4.0/5 (81 download)
Download or read book Portfolio Diversification written by Francois-Serge Lhabitant and published by Elsevier. This book was released on 2017-09-26 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. - Focuses on portfolio diversification across all its dimensions - Includes recent empirical material that was created and developed specifically for this book - Provides several tools to quantify and implement optimal diversification
Author : Sebastien Page
Publisher : McGraw Hill Professional
ISBN 13 : 1260474887
Total Pages : 256 pages
Book Rating : 4.2/5 (64 download)
Download or read book Beyond Diversification: What Every Investor Needs to Know About Asset Allocation written by Sebastien Page and published by McGraw Hill Professional. This book was released on 2020-11-10 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generate solid, long-term profits with a portfolio allocated for your investing needs Asset allocation is the key to investing performance. Unfortunately, no single approach works perfectly—developing the right balance requires a clear-eyed look at the many models available to you, various investing methodologies, and your or your client’s level of risk tolerance. And that’s where this important guide comes in. Written by a leading allocation expert from T. Rowe Price, Beyond Diversification provides the knowledge, insights, and approaches you need to make the best allocation decisions for your goals. This deep dive into the how’s and why’s of asset allocation is organized by the three decisive components of a successfully allocated portfolio: Return Forecasting discusses the desired return investors seek. Risk Forecasting covers the level of risk investors are prepared to assume to achieve that return. Portfolio Construction calibrates the stock-bond mix that balances the risks and returns. With examples from T. Rowe Price’s asset allocation team showing you how the process works in the real world, Beyond Diversification provides everything you need to find the asset combination that will deliver the results you seek. You’ll learn how to choose the right tradeoffs, build the most effective asset allocation combination for your needs, and dramatically increase your odds of success for the long run.
