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Expectiles Omega Ratios And Stochastic Ordering
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Book Synopsis Expectiles, Omega Ratios and Stochastic Ordering by : Fabio Bellini
Download or read book Expectiles, Omega Ratios and Stochastic Ordering written by Fabio Bellini and published by . This book was released on 2016 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we introduce the expectile order, defined by X leq_e Y if e_ alpha(X) leq e_ alpha(Y) for each alpha in (0,1), where e_ alpha denotes the alpha-expectile. We show that the expectile order is equivalent to the pointwise ordering of the Omega ratios, and we derive several necessary and sufficient conditions. In the case of equal means, the expectile order can be easily characterized by means of the stop-loss transform; in the more general case of different means we provide some sufficient conditions. In contrast with the more common stochastic orders such leq_{st} and leq_{cx}, the expectile order is not generated by a class of utility functions and is not closed with respect to convolutions. As an illustration, we compare the leq_{st}, leq_{icx} and leq_e orders in the family of Lomax distributions.
Book Synopsis A Note on Stochastic Dominance and the Omega Ratio by : Xu Guo
Download or read book A Note on Stochastic Dominance and the Omega Ratio written by Xu Guo and published by . This book was released on 2016 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: We first show that second-order stochastic dominance (SSD) and/or second-order risk-seeking stochastic dominance (SRSD) alone for any two prospects is not sufficient to imply the Omega ratio of one asset is always greater than that of the other one. We then extend the theory of risk measures by proving that the preference of second-order stochastic dominance implies the preference of the corresponding Omega ratios only when the return threshold is less than the mean of the higher-return asset. On the other hand, the preference of second-order risk-seeking stochastic dominance implies the preference of the corresponding Omega ratios only when the return threshold is bigger than the mean of the smaller-return asset. Nonetheless, the preference of first-order stochastic dominance does imply the preference of the corresponding Omega ratios for any return threshold.
Book Synopsis Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference by : Kathrin Glau
Download or read book Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference written by Kathrin Glau and published by World Scientific. This book was released on 2018-09-14 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017.The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance.This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner's point of view.
Book Synopsis Stochastic Dominance and Omega Ratio by : Xu Guo
Download or read book Stochastic Dominance and Omega Ratio written by Xu Guo and published by . This book was released on 2017 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both stochastic dominance and Omega ratio can be used to examine whether market is efficient, whether there is any arbitrage opportunity in the market, and whether there is any anomaly in the market. In this paper, we first study relationship between stochastic dominance and Omega ratio. We find that second-order stochastic dominance (SD) and/or second-order risk-seeking SD (RSD) alone for any two prospects is not sufficient to imply Omega-ratio dominance insofar that the Omega ratio of one asset is always greater than that of the other one. We extend the theory of risk measures by proving that the preference of second-order SD implies the preference of the corresponding Omega ratios only when the return threshold is less than the mean of the higher-return asset. On the other hand, the preference of the second-order RSD implies the preference of the corresponding Omega ratios only when the return threshold is larger than the mean of the smaller-return asset. Nonetheless, first-order SD does imply Omega-ratio dominance. Thereafter, we apply the theory developed in this paper to examine the relationship between property size and property investment in the Hong Kong real estate market. We conclude that the Hong Kong real estate market is not efficient and there are expected arbitrage opportunity and anomaly in the Hong Kong real estate market. Our findings are useful for investors and policy makers in real estate.
Book Synopsis On Consistency of the Omega Ratio with Stochastic Dominance Rules by : Bernhard Klar
Download or read book On Consistency of the Omega Ratio with Stochastic Dominance Rules written by Bernhard Klar and published by . This book was released on 2017 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Statistical Methods for Financial Engineering by : Bruno Remillard
Download or read book Statistical Methods for Financial Engineering written by Bruno Remillard and published by CRC Press. This book was released on 2016-04-19 with total page 490 pages. Available in PDF, EPUB and Kindle. Book excerpt: While many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overlooked or restricted to a few well-known cases. Statistical Methods for Financial Engineering guides current and future practitioners on implementing the most useful stochastic models used in f
Book Synopsis Innovations in Insurance, Risk- and Asset Management by : Kathrin Glau
Download or read book Innovations in Insurance, Risk- and Asset Management written by Kathrin Glau and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Vector Generalized Linear and Additive Models by : Thomas W. Yee
Download or read book Vector Generalized Linear and Additive Models written by Thomas W. Yee and published by Springer. This book was released on 2015-09-11 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a greatly enlarged statistical framework compared to generalized linear models (GLMs) with which to approach regression modelling. Comprising of about half-a-dozen major classes of statistical models, and fortified with necessary infrastructure to make the models more fully operable, the framework allows analyses based on many semi-traditional applied statistics models to be performed as a coherent whole. Since their advent in 1972, GLMs have unified important distributions under a single umbrella with enormous implications. However, GLMs are not flexible enough to cope with the demands of practical data analysis. And data-driven GLMs, in the form of generalized additive models (GAMs), are also largely confined to the exponential family. The methodology here and accompanying software (the extensive VGAM R package) are directed at these limitations and are described comprehensively for the first time in one volume. This book treats distributions and classical models as generalized regression models, and the result is a much broader application base for GLMs and GAMs. The book can be used in senior undergraduate or first-year postgraduate courses on GLMs or categorical data analysis and as a methodology resource for VGAM users. In the second part of the book, the R package VGAM allows readers to grasp immediately applications of the methodology. R code is integrated in the text, and datasets are used throughout. Potential applications include ecology, finance, biostatistics, and social sciences. The methodological contribution of this book stands alone and does not require use of the VGAM package.
Book Synopsis Mathematical Risk Analysis by : Ludger Rüschendorf
Download or read book Mathematical Risk Analysis written by Ludger Rüschendorf and published by Springer Science & Business Media. This book was released on 2013-03-12 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author's particular interest in the area of risk measures is to combine this theory with the analysis of dependence properties. The present volume gives an introduction of basic concepts and methods in mathematical risk analysis, in particular of those parts of risk theory that are of special relevance to finance and insurance. Describing the influence of dependence in multivariate stochastic models on risk vectors is the main focus of the text that presents main ideas and methods as well as their relevance to practical applications. The first part introduces basic probabilistic tools and methods of distributional analysis, and describes their use to the modeling of dependence and to the derivation of risk bounds in these models. In the second, part risk measures with a particular focus on those in the financial and insurance context are presented. The final parts are then devoted to applications relevant to optimal risk allocation, optimal portfolio problems as well as to the optimization of insurance contracts. Good knowledge of basic probability and statistics as well as of basic general mathematics is a prerequisite for comfortably reading and working with the present volume, which is intended for graduate students, practitioners and researchers and can serve as a reference resource for the main concepts and techniques.
Book Synopsis Linear and Mixed Integer Programming for Portfolio Optimization by : Renata Mansini
Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Download or read book Dependence Modeling written by Harry Joe and published by World Scientific. This book was released on 2011 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. Introduction : Dependence modeling / D. Kurowicka -- 2. Multivariate copulae / M. Fischer -- 3. Vines arise / R.M. Cooke, H. Joe and K. Aas -- 4. Sampling count variables with specified Pearson correlation : A comparison between a naive and a C-vine sampling approach / V. Erhardt and C. Czado -- 5. Micro correlations and tail dependence / R.M. Cooke, C. Kousky and H. Joe -- 6. The Copula information criterion and Its implications for the maximum pseudo-likelihood estimator / S. Gronneberg -- 7. Dependence comparisons of vine copulae with four or more variables / H. Joe -- 8. Tail dependence in vine copulae / H. Joe -- 9. Counting vines / O. Morales-Napoles -- 10. Regular vines : Generation algorithm and number of equivalence classes / H. Joe, R.M. Cooke and D. Kurowicka -- 11. Optimal truncation of vines / D. Kurowicka -- 12. Bayesian inference for D-vines : Estimation and model selection / C. Czado and A. Min -- 13. Analysis of Australian electricity loads using joint Bayesian inference of D-vines with autoregressive margins / C. Czado, F. Gartner and A. Min -- 14. Non-parametric Bayesian belief nets versus vines / A. Hanea -- 15. Modeling dependence between financial returns using pair-copula constructions / K. Aas and D. Berg -- 16. Dynamic D-vine model / A. Heinen and A. Valdesogo -- 17. Summary and future directions / D. Kurowicka
Book Synopsis Quantitative Risk Management by : Rudiger Frey
Download or read book Quantitative Risk Management written by Rudiger Frey and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Value at Risk, 3rd Ed. by : Philippe Jorion
Download or read book Value at Risk, 3rd Ed. written by Philippe Jorion and published by McGraw Hill Professional. This book was released on 2006-11-09 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include: An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.
Download or read book Pandora's Risk written by Kent Osband and published by Columbia University Press. This book was released on 2011 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Author of the acclaimed work Iceberg Risk: An Adventure in Portfolio Theory, Kent Osband argues that uncertainty is central rather than marginal to finance. Markets don't trade mainly on changes in risk. They trade on changes in beliefs about risk, and in the process, markets unite, stretch, and occasionally defy beliefs. Recognizing this truth would make a world of difference in investing. Belittling uncertainty has created a rift between financial theory and practice and within finance theory itself, misguiding regulation and stoking huge financial imbalances. Sparking a revolution in the mindset of the investment professional, Osband recasts the market as a learning machine rather than a knowledge machine. The market continually errs, corrects itself, and makes new errors. Respecting that process, without idolizing it, will promote wiser investment, trading, and regulation. With uncertainty embedded at its core, Osband's rational approach points to a finance theory worthy of twenty-first-century investing.
Book Synopsis Effective Statistical Learning Methods for Actuaries I by : Michel Denuit
Download or read book Effective Statistical Learning Methods for Actuaries I written by Michel Denuit and published by Springer Nature. This book was released on 2019-09-03 with total page 441 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book summarizes the state of the art in generalized linear models (GLMs) and their various extensions: GAMs, mixed models and credibility, and some nonlinear variants (GNMs). In order to deal with tail events, analytical tools from Extreme Value Theory are presented. Going beyond mean modeling, it considers volatility modeling (double GLMs) and the general modeling of location, scale and shape parameters (GAMLSS). Actuaries need these advanced analytical tools to turn the massive data sets now at their disposal into opportunities. The exposition alternates between methodological aspects and case studies, providing numerical illustrations using the R statistical software. The technical prerequisites are kept at a reasonable level in order to reach a broad readership. This is the first of three volumes entitled Effective Statistical Learning Methods for Actuaries. Written by actuaries for actuaries, this series offers a comprehensive overview of insurance data analytics with applications to P&C, life and health insurance. Although closely related to the other two volumes, this volume can be read independently.
Download or read book Stochastic Dominance written by Haim Levy and published by Springer Science & Business Media. This book was released on 2006-08-25 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.
Book Synopsis Bayesian Smoothing and Regression for Longitudinal, Spatial and Event History Data by : Ludwig Fahrmeir
Download or read book Bayesian Smoothing and Regression for Longitudinal, Spatial and Event History Data written by Ludwig Fahrmeir and published by OUP Oxford. This book was released on 2011-04-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bringing together recent advances in smoothing and semiparametric regression from a Bayesian perspective, this book demonstrates, with worked examples, the application of these statistical methods to a variety of fields including forestry, development economics, medicine and marketing.
