Risk tolerance of institutional investors:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2003
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVIII, 240 S. graph. Darst. |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Contents
Acknowledgements iii
List of figures ix
List of tables xii
Notation xiv
1 Introduction 1
2 Risk aversion revisited 7
2.1 The expected utility hypothesis 8
2.1.1 The expected utility theorem 9
2.1.2 Limitations 13
2.2 Measurement of risk 18
2.2.1 Risk tolerance functions 19
2.2.2 Certainty equivalent and risk aversion 20
2.2.3 The standard class of utility in finance 26
2.3 Utility functions and initial wealth 28
2.3.1 Properties of the utility functions 29
2.3.2 An application 32
2.4 Beyond expected utility theory 36
2.4.1 Weighted expected utility theory 37
2.4.2 Disappointment aversion 39
v
vi CONTENTS
2.4.3 Solving the paradox 43
3 Static problem with asymmetric utility 49
3.1 Disappointment aversion: some empirical facts 50
3.2 A static model with piecewise defined utility 55
3.2.1 The optimisation problem 55
3.2.2 Empirical results 61
4 Optimal portfolios in complete markets 69
4.1 The martingale approach 70
4.1.1 The formulation of the model 71
4.1.2 The optimisation problem 80
4.1.3 The replication problem 82
4.1.4 Properties of the optimal policy 86
4.2 Risk neutral Esscher transforms 91
4.2.1 In search of a risk neutral martingale measure 91
4.2.2 The price density of the securities market 95
4.2.3 Static decision model 99
4.2.4 Dynamic decision model 108
5 Two constrained portfolio problems 119
5.1 Mean variance preferences 120
5.1.1 The constraint portfolio problem 121
5.1.2 Optimal strategy 126
5.1.3 Properties of the optimal strategy 131
5.2 Minimum requirement on terminal wealth 138
5.2.1 Optimal terminal wealth 139
5.2.2 Replicating optimal payoff by digital options 145
5.2.3 Effect of the utility assumption 157
6 Asset liability optimisation 169
6.1 The price of liabilities 170
6.2 Optimising funding level 176
6.2.1 Ratio processes 176
CONTENTS vii
6.2.2 Optimal portfolio process 179
6.2.3 Numerical example 184
6.3 Fund dynamics including contribution rates 187
6.3.1 Unconstrained problem and quadratic utility 188
6.3.2 Constrained problem and quadratic utility 193
6.3.3 Two other preference assumptions 199
6.3.4 Distribution of fund size 205
6.3.5 Sensitivities of the optimal pair 209
7 Conclusions 213
A Tables to section 3.2.2 217
B Pseudoconcavity 227
Bibliography 229
List of figures
5.1 Optimal fraction for different values of b 133
5.2 Optimal fraction in relative time t/T 135
5.3 Optimal fraction for three possible paths 136
5.4 Three wealth quantiles 137
5.5 Dynamics of the wealth processes 158
5.6 Optimal portfolio strategies 160
5.7 Composition of the optimal portfolio strategy 161
5.8 Sensitivity to changes in 72 162
5.9 Sensitivity to changes in 6 163
5.10 Path where ir*(t) is minimal 164
5.11 Indirect utility functional J(t, W(t)) 165
5.12 Relative risk aversion function 166
6.1 Stationary density for two targets wn 212
ix
List of tables
2.1 Contingent outcome 14
2.2 Precision of risk premium approximation 24
3.1 Statistical properties of returns in % 63
3.2 Autocorrelations of excess returns 64
3.3 Parameter estimates 64
4.1 Optimal portfolio compositions 88
4.2 Moments of wealth growth rate X 90
4.3 Implied risk tolerance for three different preference assumptions 116
5.1 Implied values fj, v and r] for given values of b 132
6.1 Optimal fractions with respect to different risk tolerances . . . 185
6.2 Implied risk tolerances for some portfolios 187
6.3 Expected values and standard deviations for no cash strategy . 210
6.4 Expected values and standard deviations for constant strategy 211
A.I Optimal fraction a in the risky asset for given sets of 71, 72 with
the gamma distribution (ch) 218
A.2 Optimal fraction a in the risky asset for given sets of 71, 72 with
the gamma distribution (uk) 219
A.3 Values for 71 for given sets of 72 and optimal fractions a with
the gamma distribution (ch) 220
xi
xii LIST OF TABLES
A.4 Values for 71 for given sets of 72 and optimal fractions a with
the gamma distribution (uk) 221
A.5 Optimal fraction a in the risky asset for given sets of 71, 72 with
the normal distribution (ch) 222
A.6 Optimal fraction a in the risky asset for given sets of 71, 72 with
the normal distribution (uk) 223
A.7 Values for 71 for given sets of 72 and optimal fractions a with
the normal distribution (ch) 224
A.8 Values for 71 for given sets of 72 and optimal fractions a with
the normal distribution (uk) 225
|
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| id | DE-604.BV017082251 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:13:35Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010305998 |
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| physical | XVIII, 240 S. graph. Darst. |
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| spelling | Zellweger, Oliver Verfasser aut Risk tolerance of institutional investors vorgelegt von Oliver Zellweger 2003 XVIII, 240 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2003 Institutionele beleggers gtt Optimaliseren gtt Risico's gtt Risikobereitschaft (DE-588)4178223-9 gnd rswk-swf Institutioneller Anleger (DE-588)4252195-6 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Erwarteter Nutzen (DE-588)4152928-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Institutioneller Anleger (DE-588)4252195-6 s Risikobereitschaft (DE-588)4178223-9 s Erwarteter Nutzen (DE-588)4152928-5 s Portfolio Selection (DE-588)4046834-3 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010305998&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Zellweger, Oliver Risk tolerance of institutional investors Institutionele beleggers gtt Optimaliseren gtt Risico's gtt Risikobereitschaft (DE-588)4178223-9 gnd Institutioneller Anleger (DE-588)4252195-6 gnd Portfolio Selection (DE-588)4046834-3 gnd Erwarteter Nutzen (DE-588)4152928-5 gnd |
| subject_GND | (DE-588)4178223-9 (DE-588)4252195-6 (DE-588)4046834-3 (DE-588)4152928-5 (DE-588)4113937-9 |
| title | Risk tolerance of institutional investors |
| title_auth | Risk tolerance of institutional investors |
| title_exact_search | Risk tolerance of institutional investors |
| title_full | Risk tolerance of institutional investors vorgelegt von Oliver Zellweger |
| title_fullStr | Risk tolerance of institutional investors vorgelegt von Oliver Zellweger |
| title_full_unstemmed | Risk tolerance of institutional investors vorgelegt von Oliver Zellweger |
| title_short | Risk tolerance of institutional investors |
| title_sort | risk tolerance of institutional investors |
| topic | Institutionele beleggers gtt Optimaliseren gtt Risico's gtt Risikobereitschaft (DE-588)4178223-9 gnd Institutioneller Anleger (DE-588)4252195-6 gnd Portfolio Selection (DE-588)4046834-3 gnd Erwarteter Nutzen (DE-588)4152928-5 gnd |
| topic_facet | Institutionele beleggers Optimaliseren Risico's Risikobereitschaft Institutioneller Anleger Portfolio Selection Erwarteter Nutzen Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010305998&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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