Dynamic conditional correlation models and portfolio risk management:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Aachen
Shaker
2011
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| Schriftenreihe: | Berichte aus der Betriebswirtschaft
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 173 S. graph. Darst. 21 cm, 260 g |
| ISBN: | 9783844002331 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804148762711425024 |
|---|---|
| adam_text | IMAGE 1
CONTENTS
LIST OF ABBREVIATIONS 7
LIST OF FIGURES 10
LIST OF TABLES 13
1. INTRODUCTION 15
1.1. COVARIANCE MODELING AND RISK ESTIMATION 17
1.2. INTENTION OF THE DISSERTATION 18
2. THE RISK MANAGEMENT PROCESS 21
2.1. RISK IDENTIFICATION 21
2.2. RISK STRATEGY 23
2.2.1. MEAN VARIANCE VS. UTILITY FUNCTION APPROACH 23
2.2.2. STATIC VS. DYNAMIC PORTFOLIO OPTIMIZATION 20
2.2.3. ALTERNATIVE RISK STRATEGIES 27
2.3. RISK ESTIMATION 29
2.3.1. FORECASTING RISK FOR PORTFOLIO MANAGEMENT 29
2.4. RISK CONTROL AND APPLIED PORTFOLIO MANAGEMENT 34
2.4.1. MODERN PORTFOLIO MANAGEMENT: THE DEMIGUEL-CHALLENGE . . .. 34
2.4.2. LITERATURE REVIEW ON PORTFOLIO MANAGEMENT AND RISK CONTROL. . 36
2.5. CONTRIBUTIONS AND STRUCTURE OF THE DISSERTATION 47
3. COVARIANCE MODELS 51
3.1. DYNAMIC CONDITIONAL CORRELATION MODELS 51
3.1.1. THE BASIC DCC MODEL 51
3.1.2. THE GDCC MODEL 52
3.1.3. THE FDCC MODEL 53
3.1.4. THE FGDCC MODEL 54
3.1.5. THE AGDCC MODEL 55
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1013997816
DIGITALISIERT DURCH
IMAGE 2
4 CONTENTS
3.1.6. GROUPING ASSETS FOR CORRELATION MODELING: THE ACC ALGORITHM 56
3.1.7. FORECASTING DCC MODELS 58
3.2. BENCHMARK COVARIANCE MODELS 58
4. TECHNICAL ASPECTS OF RISK CONTROL 61
4.1. FORECAST HORIZON AND TRADING COSTS 61
4.2. STATISTICAL TESTS 62
4.3. PORTFOLIO OPTIMIZATIONS 65
4.4. MEASURING PORTFOLIO OPTIMIZATION RESULTS 66
5. DATA DESCRIPTION 69
6. IN-SAMPLE ANALYSIS 75
6.1. IN-SAMPLE RESULTS ON DCC MODELS 75
6.2. A CLOSER LOOK ON THE FDCC MODEL 82
6.2.1. CORRELATION DYNAMICS IN THE FDCC MODEL 82
6.2.2. SIMULATIONS RESULTS 83
6.2.3. CONCLUSION 86
6.3. GRAPHICAL ANALYSIS 86
6.4. SUPPLEMENTARY FINDINGS 87
6.5. CONCLUSIONS 89
7. OUT-OF-SAMPLE ANALYSIS 91
7.1. DIEBOLD MARIANO TESTS 91
7.2. ACCURACY TESTS 95
7.3. 3-CT-ANALYSIS 96
7.4. REALIZED PORTFOLIO RISK 104
7.5. REALIZED PORTFOLIO RETURN 107
7.6. PORTFOLIO TURNOVER 112
7.7. PORTFOLIO SHARPE RATIO 116
7.8. REALIZED VERSUS PREDICTED TRACKING ERROR 120
7.9. REALIZED TRACKING ERROR 124
7.10. MODIFYING OUT-OF-SAMPLE PARAMETERS 130
7.10.1. TRADING COSTS IMPACT 130
7.10.2. PORTFOLIO MANAGER IMPACT 131
7.10.3. FORECAST HORIZON/PORTFOLIO RE-BALANCING IMPACT 131 7.11.
CONCLUSIONS AND FURTHER RESEARCH 132
IMAGE 3
CONTENTS 5
8. CONCLUSIONS 135
8.1. RESULTS ON RISK ESTIMATION AND RISK CONTROL 136
8.2. CONCLUSIONS AND OUTLOOK 138
BIBLIOGRAPHY 148
A. ADDITIONAL RESULTS 149
A.I. FDCC VS. FGDCC 149
A.2. DM-TEST OF FULL FDCC 150
A.3. DM-TEST ALTERNATIVES 151
A.4. TRADING COST IMPACT 156
A.5. PORTFOLIO MANAGER IMPACT 163
B. PARAMETER ESTIMATES AND T-STATISTICS OF DCC MODELS 171
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| bvnumber | BV039826042 |
| classification_rvk | QK 810 |
| ctrlnum | (OCoLC)775110422 (DE-599)DNB1013997816 |
| dewey-full | 332.6322 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6322 |
| dewey-search | 332.6322 |
| dewey-sort | 3332.6322 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV039826042 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:12:17Z |
| institution | BVB |
| isbn | 9783844002331 |
| language | English |
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| physical | 173 S. graph. Darst. 21 cm, 260 g |
| publishDate | 2011 |
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| publisher | Shaker |
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| series2 | Berichte aus der Betriebswirtschaft |
| spelling | Bauer, Frederik Verfasser aut Dynamic conditional correlation models and portfolio risk management Frederik Bauer Aachen Shaker 2011 173 S. graph. Darst. 21 cm, 260 g txt rdacontent n rdamedia nc rdacarrier Berichte aus der Betriebswirtschaft Zugl.: Bremen, Univ., Diss., 2010 Risikomanagement (DE-588)4121590-4 gnd rswk-swf Aktienrendite (DE-588)4126593-2 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Kovarianzmatrix (DE-588)4165403-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Aktienrendite (DE-588)4126593-2 s Kovarianzmatrix (DE-588)4165403-1 s Risikomanagement (DE-588)4121590-4 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024686063&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bauer, Frederik Dynamic conditional correlation models and portfolio risk management Risikomanagement (DE-588)4121590-4 gnd Aktienrendite (DE-588)4126593-2 gnd Portfolio Selection (DE-588)4046834-3 gnd Kovarianzmatrix (DE-588)4165403-1 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4126593-2 (DE-588)4046834-3 (DE-588)4165403-1 (DE-588)4113937-9 |
| title | Dynamic conditional correlation models and portfolio risk management |
| title_auth | Dynamic conditional correlation models and portfolio risk management |
| title_exact_search | Dynamic conditional correlation models and portfolio risk management |
| title_full | Dynamic conditional correlation models and portfolio risk management Frederik Bauer |
| title_fullStr | Dynamic conditional correlation models and portfolio risk management Frederik Bauer |
| title_full_unstemmed | Dynamic conditional correlation models and portfolio risk management Frederik Bauer |
| title_short | Dynamic conditional correlation models and portfolio risk management |
| title_sort | dynamic conditional correlation models and portfolio risk management |
| topic | Risikomanagement (DE-588)4121590-4 gnd Aktienrendite (DE-588)4126593-2 gnd Portfolio Selection (DE-588)4046834-3 gnd Kovarianzmatrix (DE-588)4165403-1 gnd |
| topic_facet | Risikomanagement Aktienrendite Portfolio Selection Kovarianzmatrix Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024686063&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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