Advancements on the theory of investment science:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2004
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 224 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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| adam_text | ADVANCEMENTS ON THE THEORY OF INVESTMENT SCIENCE DISSERTATION DER
WIRTSCHAFTSWISSENSCHAFTLICHEN FAKULTAT DER UNIVERSITAT ZURICH ZUR
ERLANGUNG DER WIIRDE EINES DOKTORS DER OKONOMIE VORGELEGT VON ENRICO DE
GIORGI VON BIASCA TI GENEHMIGT AUF ANTRAG VON PROF. DR. THORSTEN HENS
PROF. DR. MARKUS LEIPPOLD CONTENTS ACKNOWLEDGMENTS I RINGRAZIAMENTI II
ABSTRACT IV RIASSUNTO VI INTRODUCTION 1 I CREDIT RISK FOR MORTGAGE
PORTFOLIOS 11 1 INTRODUCTION 13 1.1 STRUCTURAL APPROACH 17 1.2
REDUCED-FORM APPROACH 18 2 CREDIT MODELS: INDUSTRY EXAMPLES 21 2.1
CREDITMETRICS 21 2.2 KMV^PGRTFOLIOMANAGER 23 2.3 CREDITRISK+ 25 2.4
CREDITPORTFOLIOVIEW 30 3 A MODEL FOR MORTGAGE PORTFOLIOS 33 3.1 ABSTRACT
33 3.2 INTRODUCTION 33 3.3 MORTGAGE DEFAULT 36 IX 3.4 THE MODEL 38 3.5
ESTIMATION METHODOLOGY 41 3.5-1 REFORMULATION OF THE MODEL AS GAM 44
3.5.2 MODEL SELECTION 45 3.6 EMPIRICAL ANALYSIS 50 3.6.1 THE DATA 50
3.6.2 RESULTS 53 3.7 CONCLUSION 65 3.8 APPENDIX 66 3.8.1 CONDITIONAL
INTENSITY PROCESS 66 3.8.2 GENERALIZED ADDITIVE MODELS 70 3.8.3
SCATTERPLOT SMOOTHING 77 II TWO-PERIOD PORTFOLIO SELECTION 81 4
INTRODUCTION 83 5 PORTFOLIO SELECTION UNDER VARIOUS RISK MEASURES 85 5.1
ABSTRACT 85 5.2 INTRODUCTION 85 5.3 NOTATION AND DEFINITIONS 86 5.4 VAR
AND ES WITH NORMAL DISTRIBUTED RETURNS 89 5.5 PORTFOLIO OPTIMIZATION AND
EFFICIENT FRONTIERS 91 5.5.1 MEAN-VARIANCE PORTFOLIO OPTIMIZATION 92
5.5.2 MEAN-RISA: 7 PORTFOLIO OPTIMIZATION 94 5.6 PORTFOLIO OPTIMIZATION
WITH RISK-LESS ASSET 99 5.6.1 MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH
RISK-FREE ASSET . 99 5.6.2 ME&N-RISK 1 PORTFOLIO OPTIMIZATION WITH
RISK-FREE ASSET . . 103 5.7 GENERALIZATION 107 5.8 CONCLUSION 109 6
PORTFOLIO SELECTION AND STOCHASTIC DOMINANCE 111 6.1 ABSTRACT ILL 6.2
INTRODUCTION ILL 6.3 PORTFOLIO SELECTION AND DECISION THEORY 113 6.3.1
PREFERENCES 115 6.3.2 VALUE FUNCTION 116 6.3.3 MULTIPLE-CRITERIA
DECISION 118 6.4 DEFINITION OF REWARD AND RISK MEASURE 121 6.5
HOMOGENIZATION OF RISK MEASURES 128 6.6 CHARACTERIZATION OF REWARD AND
RISK MEASURES 130 6.6.1 REWARD MEASURE 130 6.6.2 RISK MEASURES 133 6.6.3
EXAMPLES 139 6.7 CONCLUSION 142 7 PROSPECT THEORY AND THE CAPM 143 7.1
ABSTRACT 143 7.2 INTRODUCTION 143 7.3 THE MODEL T 146 7.4 SECURITY
MARKET LINE THEOREM 150 7.5 PROSPECT THEORY AND STOCHASTIC DOMINANCE 153
7.6 EXISTENCE OF EQUILIBRIA 156 7.6.1 THE CONDITION /X(W) }-U 156 7.6.2
TVERSKY AND KAHNEMAN (1992) 158 7.6.3 OUR PROPOSAL 161 7.7 CONCLUSION
165 7.8 APPENDIX 165 III EVOLUTIONARY PORTFOLIO THEORY 169 8
EVOLUTIONARY PORTFOLIO THEORY WITH LIQUIDITY SHOCKS 171 8.1 ABSTRACT 171
8.2 INTRODUCTION 171 8.3 AN EVOLUTIONARY MODEL WITH BANKRUPTCY 175 8.4
THE NO BANKRUPTCY CONDITION 182 8.5 THE MAIN RESULTS 187 8.6 CONCLUSION
197 8.7 APPENDIX 199 8.7.1 EXISTENCE AND UNIQUENESS OF 5 AND P T +I 199
8.7.2 DERIVATION OF THE WEALTH DYNAMICS 200 BIBLIOGRAPHY 203 LIST OF
FIGURES 217 LIST OF TABLES 219 INDEX 220
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| spelling | De Giorgi, Enrico Verfasser aut Advancements on the theory of investment science Enrico De Giorgi 2004 XII, 224 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zürich, Univ., Diss., 2004 Investitionstheorie (DE-588)4162257-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Investitionstheorie (DE-588)4162257-1 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012944057&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | De Giorgi, Enrico Advancements on the theory of investment science Investitionstheorie (DE-588)4162257-1 gnd |
| subject_GND | (DE-588)4162257-1 (DE-588)4113937-9 |
| title | Advancements on the theory of investment science |
| title_auth | Advancements on the theory of investment science |
| title_exact_search | Advancements on the theory of investment science |
| title_full | Advancements on the theory of investment science Enrico De Giorgi |
| title_fullStr | Advancements on the theory of investment science Enrico De Giorgi |
| title_full_unstemmed | Advancements on the theory of investment science Enrico De Giorgi |
| title_short | Advancements on the theory of investment science |
| title_sort | advancements on the theory of investment science |
| topic | Investitionstheorie (DE-588)4162257-1 gnd |
| topic_facet | Investitionstheorie Hochschulschrift |
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