Optimal portfolio management in highly volatile markets:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Karlsruhe
2005
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 182 S. graph. Darst. 24 cm |
Internformat
MARC
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| 245 | 1 | 0 | |a Optimal portfolio management in highly volatile markets |c von Stoyan Veselinov Stoyanov |
| 264 | 1 | |a Karlsruhe |c 2005 | |
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Datensatz im Suchindex
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| adam_text | Contents
Preface 4
1 Assets Returns Distribution 9
1.1 Introduction 9
1.2 One dimensional stable distributions 10
1.2.1 Definition and basic properties 11
1.3 Conditional one dimensional models 17
1.3.1 Exponentially weighted moving average model 18
1.3.2 Moment type estimators of stable a 19
1.3.3 A comparison between a(p,wu) and a(wu) 2 1
1.4 Multivarjate models 29
1.4.1 The elliptical distributions 30
1.4.2 The multivariate stable distributions 34
1.4.3 The operator stable distributions 39
1.4.4 Constructing multivariate distributions with copulas .... 42
1.5 Appendix 16
2 Risk Measures 49
2.1 Introduction 19
2.2 Classes of risk measures 50
2.2.1 Coherent risk measures 50
2.2.2 Convex risk measures 51
2.3 Particular representatives 51
2.3.1 Valuc at Risk 52
2.3.2 Expected tail loss 52
2.3.3 Spectral risk measures 52
2.4 Computing the expected tail loss in the case of stable distributions 54
2.4.1 Comparison of the semi analytic method to other methods 57
2.4.2 Relation to the closed form expression of E X 62
2.5 On the choice of a risk aversion function 63
3
4 CONTENTS
2.5.1 Existence of absolute moments 64
2.5.2 Regularly varying tails 66
2.5.3 Remarks on the construction of risk aversion functions ... 67
2.6 Appendix 69
2.6.1 Proof of Theorem 14 69
2.6.2 Proof of Theorem 15 75
2.6.3 Proof of Theorem 16 76
3 Optimal Portfolio Problems 79
3.1 Introduction 79
3.2 The mean variance analysis and the Sharpe ratio 80
3.3» Generalization of the mean variance analysis 83
3.3.1 The portfolio choice problem 84
3.4 The p efficient frontier and the p tangent portfolio 92
3.4.1 General reward risk ratio optimization 94
3.5 Reward risk ratio of the form fi(wTr)/p(wTr) 96
3.5.1 The case of a linear reward functional 97
3.5.2 Particular examples 99
3.5.3 The RS ratio 104
3.6 Reward risk ratio of the form /j,(wTr)/p(wTr) as a quasi concave
problem 106
3.7 Non quasi concave reward risk ratios 108
3.7.1 The R ratio 109
3.7.2 The GR ratio 113
3.8 Appendix 117
3.8.1 Proofs of Propositions 13, 15, 21, 23, 24 and 25 117
3.8.2 Proof of Proposition 19 125
4 Monte Carlo Studies of ETL Minimization Problems 129
4.1 Introduction 129
4.2 Variability of the optimal solution 131
4.3 Rate of convergence 136
Conclusions 146
Bibliography 154
Index 1^9
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| adam_txt |
Contents
Preface 4
1 Assets Returns Distribution 9
1.1 Introduction 9
1.2 One dimensional stable distributions 10
1.2.1 Definition and basic properties 11
1.3 Conditional one dimensional models 17
1.3.1 Exponentially weighted moving average model 18
1.3.2 Moment type estimators of stable a 19
1.3.3 A comparison between a(p,wu) and a(wu) 2 1
1.4 Multivarjate models 29
1.4.1 The elliptical distributions 30
1.4.2 The multivariate stable distributions 34
1.4.3 The operator stable distributions 39
1.4.4 Constructing multivariate distributions with copulas . 42
1.5 Appendix 16
2 Risk Measures 49
2.1 Introduction 19
2.2 Classes of risk measures 50
2.2.1 Coherent risk measures 50
2.2.2 Convex risk measures 51
2.3 Particular representatives 51
2.3.1 Valuc at Risk 52
2.3.2 Expected tail loss 52
2.3.3 Spectral risk measures 52
2.4 Computing the expected tail loss in the case of stable distributions 54
2.4.1 Comparison of the semi analytic method to other methods 57
2.4.2 Relation to the closed form expression of E\X\ 62
2.5 On the choice of a risk aversion function 63
3
4 CONTENTS
2.5.1 Existence of absolute moments 64
2.5.2 Regularly varying tails 66
2.5.3 Remarks on the construction of risk aversion functions . 67
2.6 Appendix 69
2.6.1 Proof of Theorem 14 69
2.6.2 Proof of Theorem 15 75
2.6.3 Proof of Theorem 16 76
3 Optimal Portfolio Problems 79
3.1 Introduction 79
3.2 The mean variance analysis and the Sharpe ratio 80
3.3» Generalization of the mean variance analysis 83
3.3.1 The portfolio choice problem 84
3.4 The p efficient frontier and the p tangent portfolio 92
3.4.1 General reward risk ratio optimization 94
3.5 Reward risk ratio of the form fi(wTr)/p(wTr) 96
3.5.1 The case of a linear reward functional 97
3.5.2 Particular examples 99
3.5.3 The RS ratio 104
3.6 Reward risk ratio of the form /j,(wTr)/p(wTr) as a quasi concave
problem 106
3.7 Non quasi concave reward risk ratios 108
3.7.1 The R ratio 109
3.7.2 The GR ratio 113
3.8 Appendix 117
3.8.1 Proofs of Propositions 13, 15, 21, 23, 24 and 25 117
3.8.2 Proof of Proposition 19 125
4 Monte Carlo Studies of ETL Minimization Problems 129
4.1 Introduction 129
4.2 Variability of the optimal solution 131
4.3 Rate of convergence 136
Conclusions 146
Bibliography 154
Index 1^9 |
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| spelling | Stoyanov, Stoyan Veselinov Verfasser aut Optimal portfolio management in highly volatile markets von Stoyan Veselinov Stoyanov Karlsruhe 2005 182 S. graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier Karlsruhe, Univ., Diss., 2005 Portfolio Selection (DE-588)4046834-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014881816&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Stoyanov, Stoyan Veselinov Optimal portfolio management in highly volatile markets Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4113937-9 |
| title | Optimal portfolio management in highly volatile markets |
| title_auth | Optimal portfolio management in highly volatile markets |
| title_exact_search | Optimal portfolio management in highly volatile markets |
| title_exact_search_txtP | Optimal portfolio management in highly volatile markets |
| title_full | Optimal portfolio management in highly volatile markets von Stoyan Veselinov Stoyanov |
| title_fullStr | Optimal portfolio management in highly volatile markets von Stoyan Veselinov Stoyanov |
| title_full_unstemmed | Optimal portfolio management in highly volatile markets von Stoyan Veselinov Stoyanov |
| title_short | Optimal portfolio management in highly volatile markets |
| title_sort | optimal portfolio management in highly volatile markets |
| topic | Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Portfolio Selection Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014881816&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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