Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Lang
2003
|
| Schriftenreihe: | Europäische Hochschulschriften
Reihe 5, Volks- und Betriebswirtschaft ; 2984 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Zugl.: München, Univ., Diss., 2002 |
| Beschreibung: | 311 S. graph. Darst. |
| ISBN: | 0820464643 |
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| adam_text | ZSOLT ENDRE BERENYI RISK AND PERFORMANCE EVALUATION WITH SKEWNESS AND
KURTOSIS FOR CONVENTIONAL AND ALTERNATIVE INVESTMENTS PETER LANG
EUROPSISCHER VERLAG DER WISSENSCHAFTEN TABLE OF CONTENTS 1 INTRODUCTION
23 1.1 MOTIVATION OF THE WORK 23 1.2 CONTRIBUTION OF THE THESIS 27 1.3
OUTLINE : 29 2 NON-NORMAL RETURNS AND PERFORMANCE RANKINGS 31 2.P RISK
ADJUSTMENT AND PERFORMANCE EVALUATION 31 2.1.1 DEFINING PERFORMANCE:
OLD ISSUES AND NEW INSIGHTS 31 2.1.2 CLASSIFICATION OF ASSET RANKING
METHODOLOGIES 36 2.1.3 THE RISK-REWARD FRAMEWORK 38 2.1.3.1 SYSTEMATIC
RISK MEASURES 40 2.1.3.2 DISTRIBUTIONAL RISK MEASURES 41 2.1.4
PERFORMANCE MEASURES BUILDING ON THE RISK-REWARD METHODOLOGY 43 2.1.4.1
CAPM-BASED PERFORMANCE MEASURES 44 2.1.4.2 PERFORMANCE MEASURES BASED ON
DOWNSIDE RISK MEASURES 46 2.1.4.3 NON-RISK-VALUE PERFORMANCE MEASURES 47
2.2 NON-NORMALITY IN FINANCIAL RETURNS 49 2.2.1 FORMS OF NON-NORMALITY
OF RETURNS 50 2.2.2 NON-NORMALITY IN FINANCIAL RETURNS: EVIDENCE 53
2.2.3 NON-NORMALITY IN FINANCIAL RETURNS: CAUSES 56 6 2.2.3.1 OPTIONS,
LEVERAGE AND DYNAMIC PORTFOLIO STRATEGIES 58 2.2.3.2 ASSET
CHARACTERISTICS 60 2.3 RISK AND PERFORMANCE ASSESSMENT FOR NON-NORMAL
RETURN DISTRIBUTIONS 67 2.3.1 LITERATURE SURVEY ABOUT PERFORMANCE
EVALUATION METHODS FOR NON-NORMAL RETURN DISTRIBUTIONS 67 2.3.1.1 OPTION
PORTFOLIO PERFORMANCE 67 2.3.1.2 METHODS ACCOUNTING FOR GENERAL
NON-NORMALITY OF RETURNS 68 2.3.2 CAPM-BASED PERFORMANCE MEASURES AND
NON-NORMAL RETURN DISTRIBUTIONS 69 2.3.3 DOWNSIDE-RISK BASED PERFORMANCE
MEASURES 73 2.4 SUMMARY 76 3 SKEWNESS AND KURTOSIS IN SYSTEMATIC RISK
AND PERFORMANCE EVALUATION 77 3.1 HIGHER MOMENTS IN PORTFOLIO THEORY 78
3.1.1 LITERATURE OVERVIEW: ASSET CHOICE AND THE ROLE OF SKEWNESS AND
KURTOSIS 78 3.1.2 DIRECTIONS OF PREFERENCE FOR SKEWNESS AND KURTOSIS...
81 3.1.3 TRUNCATING THE TAYLOR S SERIES EXPANSION OF EXPECTED UTILITY ;
84 3.2 JUSTIFICATION FOR INCLUDING SKEWNESS AND KURTOSIS BASED ON THE
TAYLOR S SERIES 87 3.2.1 RESTRICTING THE UNDERLYING RETURN DISTRIBUTION
FUNCTIONS 87 3.2.2 RESTRICTING THE FORM OF THE UTILITY FUNCTION 88 3.2.3
THE TAYLOR S SERIES AS A FOUR-TERM APPROXIMATION... 90 3.2.3.1 INTERVAL
OF CONVERGENCE 90 3.2.3.2 TESTING THE APPROXIMATION QUALITY OF
PERFORMANCE MEASURES 93 -^ 3.2.3.3 CONVERGENCE PROPERTIES OF THE
TAYLOR S SERIES 95 3.3 SYSTEMATIC RISK EVALUATION USING FOUR-MOMENT
ASSET PRICING MODELS 99 3.3.1 IDENTIFICATION OF SYSTEMATIC RISK
COMPONENTS 99 3.3.2 DERIVATION OF THE HIGHER MOMENT ASSET PRICING MODEL
101 3.3.3 EVIDENCE FOR THE VALIDITY OF MOMENT-BASED ASSET PRICING MODELS
105 3.4 SYSTEMATIC RISK-BASED PERFORMANCE MEASUREMENT USING THE
FOUR-MOMENT ASSET PRICING MODEL ILL 3.5 SUMMARY 113 4 RISK AND
PERFORMANCE APPRAISAL USING DISTRIBUTIONAL, HIGHER MOMENT-BASED RISK
MEASURES 114 4.1 DERIVING THE DISTRIBUTIONAL VARIANCE-EQUIVALENT RISK
MEASURE.. 114 4.1.1 SEPARATING RISK AND VALUE IN THE PREFERENCE FUNCTION
114 4.1.2 ILLUSTRATION OF THE PARAMETERS OF THE UTILITY-BASED RISK
MEASURE 116 4.1.3 DERIVING MARGINAL RATES OF SUBSTITUTIONS OF THE
VARIANCE-EQUIVALENT RISK MEASURE 117 4.1.4 APPLICATION OF THE LEVERING
TECHNIQUE 119 4.1.5 THE VARIANCE AND SKEWNESS-BASED PERFORMANCE MEASURE
OF BREUER AND GURTLER (1998) 121 4.2 DISTRIBUTIONAL RISK MEASURES USING
THE FOUR-MOMENT FACTOR ASSET PRICING MODEL 123 4.2.-L FOUR-MOMENT FACTOR
ASSET PRICING MODEL 123 4.2.2 PARAMETER ESTIMATION FOR THE STANDARD
DEVIATION- EQUIVALENT RISK MEASURE 130 4.3 PROPERTIES OF THE
VARIANCE-EQUIVALENT CLASS RISK MEASURES 135 4.3.1 COMPARATIVE
CHARACTERISTICS OF THE RISK MEASURES.... 135 4.3.2 INTERPRETATION OF THE
RISK MEASURES 139 4.4 PERFORMANCE MEASURES BASED ON FOUR-MOMENT
DISTRIBUTIONAL RISK MEASURES 140 4.4.1 DISTRIBUTIONAL PERFORMANCE
MEASURES USING THE GENERALIZED SHARPE RATIO PRINCIPLE 140 4.4.1.1 THE
MODIFIED SHARPE RATIO 1 141 4.4.1.2 THE MODIFIED SHARPE RATIO 2 142
4.4.2 RESTRICTIONS ON USING GENERALIZED SHARPE PERFORMAN- CE MEASURES -
THE GENERALIZED SHARPE DECISION RULE 143 4.5 SUMMARY 145 5 MOMENT-BASED
PERFORMANCE APPRAISAL FOR ALTERNATIVE INVESTMENT FORMS - A REPLICATION
APPROACH 147 5.1 RISK AND PERFORMANCE ASSESSMENT FOR ALTERNATIVE
INVESTMENT FORMS 148 5.1.1 PERFORMANCE EVALUATION OF.ASSETS TRADED ON
MARKETS WITH FRICTIONS : 148 5.1.2 THE BENCHMARK PROBLEM 149 5.1.3 THE
RISK MEASUREMENT PROBLEM 150 5.2 THE NO-GOOD-DEAL FRAMEWORK AND THE
REPLICATING APPROACH 152 5.2.1 THE USE OF MULTI-MOMENT DISTRIBUTIONAL
RISK MEASURES IN AN OPAQUE ASSET FRAMEWORK 152 5.2.2 EXTENDING THE
PERFORMANCE EVALUATION TO MORE ASSET CLASSES - THE PAYOFF DISTRIBUTION
PRICING PARADIGM 154 5. 2.3 5- ARBITRAGE AND THE NO-GOOD-DEAL
FRAMEWORK 158 5.2.3.1 THE ^ARBITRAGE 158 5.2.3.2 THE NO-GOOD-DEAL
PRICING 159 5.2.3.3 THE BENEFIT OF THE NO-GOOD-DEAL FRAMEWORK... 160 5.3
CONSTRUCTION AND PRICING OF REPLICATING PORTFOLIOS 161 5.3.1 DEFINITION
OF REPLICATING PORTFOLIOS 162 5.3.2 SETTING UP THE REPLICATING MARKET
163 5.3.3 THE NONLINEAR PROGRAMMING APPROACH 166 10 5.3.4 CONSTRUCTION
AND PRICING OF REPLICATING PORTFOLIOS WITH FACTOR MODELS 168 5.4
PERFORMANCE MEASUREMENT WITH THE REPLICATING APPROACH 171 5.4.1
PERFORMANCE MEASURE USING THE REPLICATING MARKET FOR DERIVING RISK
PARAMETERS 172 5.4.2 PERFORMANCE MEASURES USING THE REPLICATING RETURN
AS BENCHMARK 173 5.4.2.1 EXCESS REPLICATING RETURN 173 5.4.2.2 THE
MODIFIED SHARPE RATIO 3 175 5.4.2.3 THE RELATIVE EFFICIENCY RATIO 177
5.4.3 PERFORMANCE MEASURES COMBINING THE MULTI-MOMENT DISTRIBUTIONAL
RISK AND THE REPLICATING RETURN FRAMEWORKS 178 5.4.3.1 THE EFFICIENCY
RATIO 1 178 5.4.3.2 THE EFFICIENCY RATIO 2 179 5.4.3.3 ECONOMIC
INTERPRETATION OF THE EFFICIENCY RATIOSL79 5.5 SUMMARY 180 6 EFFICIENCY
ANALYSIS AND ECONOMIC TESTING OF THE MOMENT- BASED REPLICATING
PERFORMANCE FAMILY 182 6.1 DATA SETS FOR THE ECONOMIC TESTING 183 6.1.1
THE ASSET FUND FRAMEWORK 183 6.1.2 REAL DATA SAMPLES 184 6.1.2.1 HEDGE
FUND DATA 184 11 6.1.2.2 MUTUAL FUND DATA 184 6.1.3 SIMULATED RETURN
DISTRIBUTIONS 185 6.1.4 GENERATING RETURN SERIES WITH SYNTHETIC
LEVERAGE.... 186 6.1.5 TESTING FOR NON-NORMALITY OF RETURNS 190 6.2
COMPARISON FRAMEWORK 191 6.2.1 THE EXPECTED UTILITY AS BENCHMARK 191
6.2.2 THE APPLIED PERFORMANCE MEASURES 192 6.2.3 COMPARISON METHODS 193
6.3 REPLICATING RETURNS AND PORTFOLIO EFFICIENCY 196 6.3.1 REPLICATING
MARKETS 196 6.3.2 PORTFOLIO EFFICIENCY BY THE EXCESS REPLICATING RETURN
198 6.4 EFFICIENCY TESTING OF THE PERFORMANCE MEASURES 200 6.4.1 RESULTS
OF THE OPPORTUNITY COSTS TESTING 201 6.4.1.1 OPPORTUNITY COSTS USING THE
WHOLE SETS OF SECURITIES 201 6.4.1.2 OPPORTUNITY COSTS USING SMALL
SAMPLES WITH REPLACEMENT 204 6.4.2 RESULTS OF THE RANK CORRELATION
TESTING 206 6.4.3 RESULTS OF THE PROXIMITY TESTING 210 6.4.3.1 RANK
CORRELATIONS BETWEEN RANKINGS PRODUCED BY PERFORMANCE MEASURES 211 12
6.4.3.2 TESTING FOR ASSET CHOICE MATCHING WITH PAIRWISE COMPARISON OF
THE PERFORMANCE MEASURES 211 6.4.4 RESULTS OF THE CONSISTENCY TESTING
213 6.5 IMPLICATIONS FOR PORTFOLIO PERFORMANCE WITH AND WITHOUT LEVERAGE
215 6.5.1 EFFICIENT FRONTIERS RESULTING FROM DIFFERENT RISK DIMENSIONS
. 216 6.5.1.1 ASSET FUNDS WITHOUT LEVERAGE 216 6.5.1.2 RETURN SAMPLES
WITH SYNTHETIC LEVERAGE 218 6.5.2 DIRECT COMPARISON OF ASSET FUNDS
PERFORMANCE FOR LEVERED AND UNLEVERED CASES 220 6.5.2.1 PAIRWISE
COMPARISON OF UNLEVERED AND LEVERED ASSETS 221 6.5.2.2 DOES LEVERAGE
DISTORT ASSET RANKINGS? 223 6.6 SUMMARY - TESTING RESULTS 223 7 SUMMARY
AND CONCLUSIONS 227 8 SUPPLEMENTARY DATA 232 9 APPENDICES 255 9.1
APPENDIX A: ASSET RANKING METHODOLOGIES 255 9.1.1 UTILITY FUNCTIONS AND
THE EXPECTED UTILITY 255 9.1.2 STOCHASTIC DOMINANCE 259 9.1.3 MULTIPLE
CRITERIA METHODS 260 9.1.4 FURTHER ASSET RANKING METHODOLOGIES 261 13
9.2 APPENDIX B: DERIVATION AND PROPERTIES OF THE FOURTH- GRADE UTILITY
FUNCTION 262 9.3 APPENDIX C: FACTORS TO THE MULTIFACTOR PORTFOLIO
ANALYSIS 266 9.4 APPENDIX D: PROBABILITY DISTRIBUTIONS FOR ASSET RETURNS
WITH NEGATIVE AND POSITIVE SKEWNESS 270 9.4.1 NEGATIVELY SKEWED
PROBABILITY DISTRIBUTION - THE BETA DISTRIBUTION 270 9.4.2 PROBABILITY
FUNCTIONS FOR MODELING POSITIVELY SKEWED RETURNS 271 9.4.2.1 LOGNORMAL
DISTRIBUTION 271 94.2.2 AN EXTREME VALUE DISTRIBUTION WITH LOWER BOUND
272 9.5 APPENDIX E: LEVERAGE, DEBT STRUCTURING AND DEBT COSTS 274 9.5.1
ESTIMATING THE SIZE OF OPTIMAL LEVERAGE 274 9.5.2 STRUCTURING THE FUND
275 9.5.3 MAPPING DEBT COSTS TO DEBT TRANCHES 278 10 BIBLIOGRAPHY 279 14
|
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| discipline | Wirtschaftswissenschaften |
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| series | Europäische Hochschulschriften |
| series2 | Europäische Hochschulschriften : Reihe 5, Volks- und Betriebswirtschaft |
| spelling | Berényi, Zsolt Endre Verfasser aut Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments Zsolt Endre Berényi Frankfurt am Main Lang 2003 311 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Europäische Hochschulschriften : Reihe 5, Volks- und Betriebswirtschaft 2984 Zugl.: München, Univ., Diss., 2002 Capital assets pricing model Portfolio management Risk management Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Risiko (DE-588)4050129-2 gnd rswk-swf Messung (DE-588)4038852-9 gnd rswk-swf Entscheidung bei Risiko (DE-588)4225781-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Entscheidung bei Risiko (DE-588)4225781-5 s Risiko (DE-588)4050129-2 s Messung (DE-588)4038852-9 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s DE-604 Europäische Hochschulschriften Reihe 5, Volks- und Betriebswirtschaft ; 2984 (DE-604)BV000001798 2984 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010441249&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Berényi, Zsolt Endre Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments Europäische Hochschulschriften Capital assets pricing model Portfolio management Risk management Portfolio Selection (DE-588)4046834-3 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Risiko (DE-588)4050129-2 gnd Messung (DE-588)4038852-9 gnd Entscheidung bei Risiko (DE-588)4225781-5 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4121078-5 (DE-588)4050129-2 (DE-588)4038852-9 (DE-588)4225781-5 (DE-588)4113937-9 |
| title | Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments |
| title_auth | Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments |
| title_exact_search | Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments |
| title_full | Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments Zsolt Endre Berényi |
| title_fullStr | Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments Zsolt Endre Berényi |
| title_full_unstemmed | Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments Zsolt Endre Berényi |
| title_short | Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments |
| title_sort | risk and performance evaluation with skewness and kurtosis for conventional and alternative investments |
| topic | Capital assets pricing model Portfolio management Risk management Portfolio Selection (DE-588)4046834-3 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Risiko (DE-588)4050129-2 gnd Messung (DE-588)4038852-9 gnd Entscheidung bei Risiko (DE-588)4225781-5 gnd |
| topic_facet | Capital assets pricing model Portfolio management Risk management Portfolio Selection Capital-Asset-Pricing-Modell Risiko Messung Entscheidung bei Risiko Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010441249&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000001798 |
| work_keys_str_mv | AT berenyizsoltendre riskandperformanceevaluationwithskewnessandkurtosisforconventionalandalternativeinvestments |