Asset allocation based on asymmetric risk measures: a multi-criteria approach
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2006
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XI, 135 S. graph. Darst. |
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Datensatz im Suchindex
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| adam_text | Contents
List of Tables ix
List of Figures xi
1 Introduction 1
1.1 Problem Setting 2
1.2 Objectives of the Thesis 5
1.3 Summary and Conclusions 7
2 Downside Risk Measurement 11
2.1 Axiomatic Properties 12
2.1.1 Economically founded Properties 12
2.1.2 Technically founded Properties 13
2.2 Lower Partial Moments 17
2.3 Quantile Based Risk Measures 20
2.4 Probability Based Risk Measures 23
3 Portfolio Selection Model 25
3.1 Multi Criteria Framework 26
3.1.1 Basic Assumptions 27
3.1.2 Generic Model 30
3.1.3 Properties of the Efficient Set 33
3.2 Risk Reward Model 35
3.2.1 Literature Review 35
3.2.2 Model Specification 39
3.2.3 Critical Assessment 43
3.3 Extended Risk Reward Model 57
3.3.1 Extended Preference Structure 58
3.3.2 Upside Dispersion Measure 60
3.3.3 Model Specification 63
3.4 Example 67
vii
i
4 Empirical Implementation 77
4.1 Data Description 78
4.2 Optimization 80 j
4.2.1 Sample Space Estimators 81 I
4.2.2 Optimization Procedure 84
4.3 Existence of the Gambling Effect 87
4.3.1 Hypotheses 87
4.3.2 Model Implementation 88
4.3.3 Empirical Results 92
4.4 Asset Allocation Study 96
4.4.1 Model Implementation 97
4.4.2 Efficient Frontier and Optimal Portfolios 100
4.4.3 Sensitivity to Input Parameters 109
A Appendix: Multi Criteria Optimization 113
A.I Multi Criteria Optimization Problem 113
A.2 Optimally 115
A.2.1 General Definitions 115
A.2.2 Pareto Optimality 116
A.2.3 Weak Pareto Optimality 119
A.3 Transformation of the Multi Criteria Setting 120
A.3.1 Weighted Sum Scalarization 120
A.3.2 Constrained Method 122
Bibliography 125
viii
List of Tables
3.1 Mean Variance vs. Safety First Approaches 36
3.2 Efficient Combinations with Two Investments (1) 46
3.3 Efficient Combinations with Two Investments (2) 48
3.4 Optimal Portfolio Allocations for X{ and XT 52
3.5 Statistics of the Optimal Probability Distributions 55
3.6 Extended Criteria Set of Optimal Risk Reward Portfolios 66
4.1 Empirical Evidence for the Gambling Effect (S P500) 93
4.2 Empirical Evidence for the Gambling Effect (Euro Stoxx) 95
4.3 Relative Values and Exposures of Optimal Portfolios (1) 105
4.4 Relative Values and Exposures of Optimal Portfolios (2) 106
4.5 Relative Values and Exposures of Optimal Portfolios (3) 107
A.I Componentwise Vector Order Schemes 115
ix
List of Figures
1.1 Portfolio Distributions with Different Skewness 5
3.1 Two Dimensional Efficient Frontier 31
3.2 Three Dimensional Efficient Frontier 32
3.3 Efficient Frontiers for different Feasible Sets 51
3.4 Upside Probabilities of the Optimal Portfolios 56
3.5 Efficient Frontier 70
3.6 Risk Reward Representation of the Efficient Frontier 72
3.7 Impact of the Call Option on the Efficient Frontier 76
4.1 Pre Processing Calculations 85
4.2 Efficient Frontier 101
4.3 Trade Off Relationships of the Efficient Frontier 103
4.4 Sensitivity with respect to the Threshold Level 110
4.5 Sensitivity with respect to the Order n Ill
A.I Definition of the Pareto Optimally 117
A.2 Weak Pareto Optimality vs. Pareto Optimality 119
xi
|
| adam_txt |
Contents
List of Tables ix
List of Figures xi
1 Introduction 1
1.1 Problem Setting 2
1.2 Objectives of the Thesis 5
1.3 Summary and Conclusions 7
2 Downside Risk Measurement 11
2.1 Axiomatic Properties 12
2.1.1 Economically founded Properties 12
2.1.2 Technically founded Properties 13
2.2 Lower Partial Moments 17
2.3 Quantile Based Risk Measures 20
2.4 Probability Based Risk Measures 23
3 Portfolio Selection Model 25
3.1 Multi Criteria Framework 26
3.1.1 Basic Assumptions 27
3.1.2 Generic Model 30
3.1.3 Properties of the Efficient Set 33
3.2 Risk Reward Model 35
3.2.1 Literature Review 35
3.2.2 Model Specification 39
3.2.3 Critical Assessment 43
3.3 Extended Risk Reward Model 57
3.3.1 Extended Preference Structure 58
3.3.2 Upside Dispersion Measure 60
3.3.3 Model Specification 63
3.4 Example 67
vii
i
4 Empirical Implementation 77
4.1 Data Description 78 '
4.2 Optimization 80 j
4.2.1 Sample Space Estimators 81 I
4.2.2 Optimization Procedure 84
4.3 Existence of the Gambling Effect 87
4.3.1 Hypotheses 87
4.3.2 Model Implementation 88
4.3.3 Empirical Results 92
4.4 Asset Allocation Study 96
4.4.1 Model Implementation 97
4.4.2 Efficient Frontier and Optimal Portfolios 100
4.4.3 Sensitivity to Input Parameters 109
A Appendix: Multi Criteria Optimization 113
A.I Multi Criteria Optimization Problem 113
A.2 Optimally 115
A.2.1 General Definitions 115
A.2.2 Pareto Optimality 116
A.2.3 Weak Pareto Optimality 119
A.3 Transformation of the Multi Criteria Setting 120
A.3.1 Weighted Sum Scalarization 120
A.3.2 Constrained Method 122
Bibliography 125
viii
List of Tables
3.1 Mean Variance vs. Safety First Approaches 36
3.2 Efficient Combinations with Two Investments (1) 46
3.3 Efficient Combinations with Two Investments (2) 48
3.4 Optimal Portfolio Allocations for X{ and XT 52
3.5 Statistics of the Optimal Probability Distributions 55
3.6 Extended Criteria Set of Optimal Risk Reward Portfolios 66
4.1 Empirical Evidence for the Gambling Effect (S P500) 93
4.2 Empirical Evidence for the Gambling Effect (Euro Stoxx) 95
4.3 Relative Values and Exposures of Optimal Portfolios (1) 105
4.4 Relative Values and Exposures of Optimal Portfolios (2) 106
4.5 Relative Values and Exposures of Optimal Portfolios (3) 107
A.I Componentwise Vector Order Schemes 115
ix
List of Figures
1.1 Portfolio Distributions with Different Skewness 5
3.1 Two Dimensional Efficient Frontier 31
3.2 Three Dimensional Efficient Frontier 32
3.3 Efficient Frontiers for different Feasible Sets 51
3.4 Upside Probabilities of the Optimal Portfolios 56
3.5 Efficient Frontier 70
3.6 Risk Reward Representation of the Efficient Frontier 72
3.7 Impact of the Call Option on the Efficient Frontier 76
4.1 Pre Processing Calculations 85
4.2 Efficient Frontier 101
4.3 Trade Off Relationships of the Efficient Frontier 103
4.4 Sensitivity with respect to the Threshold Level 110
4.5 Sensitivity with respect to the Order n Ill
A.I Definition of the Pareto Optimally 117
A.2 Weak Pareto Optimality vs. Pareto Optimality 119
xi |
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| spelling | Kühne, Daniel Verfasser aut Asset allocation based on asymmetric risk measures a multi-criteria approach Daniel Kuehne 2006 XI, 135 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2006 Geschichte 1995-2005 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Multikriteria-Entscheidung (DE-588)4126083-1 gnd rswk-swf Anlagepolitik (DE-588)4206018-7 gnd rswk-swf Europa (DE-588)4015701-5 gnd rswk-swf Nordamerika (DE-588)4042483-2 gnd rswk-swf Asiatisch-Pazifischer Raum (DE-588)4341196-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Europa (DE-588)4015701-5 g Portfolio Selection (DE-588)4046834-3 s Anlagepolitik (DE-588)4206018-7 s Risikomanagement (DE-588)4121590-4 s Multikriteria-Entscheidung (DE-588)4126083-1 s Nordamerika (DE-588)4042483-2 g Asiatisch-Pazifischer Raum (DE-588)4341196-4 g Geschichte 1995-2005 z DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015036776&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kühne, Daniel Asset allocation based on asymmetric risk measures a multi-criteria approach Risikomanagement (DE-588)4121590-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Multikriteria-Entscheidung (DE-588)4126083-1 gnd Anlagepolitik (DE-588)4206018-7 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4046834-3 (DE-588)4126083-1 (DE-588)4206018-7 (DE-588)4015701-5 (DE-588)4042483-2 (DE-588)4341196-4 (DE-588)4113937-9 |
| title | Asset allocation based on asymmetric risk measures a multi-criteria approach |
| title_auth | Asset allocation based on asymmetric risk measures a multi-criteria approach |
| title_exact_search | Asset allocation based on asymmetric risk measures a multi-criteria approach |
| title_exact_search_txtP | Asset allocation based on asymmetric risk measures a multi-criteria approach |
| title_full | Asset allocation based on asymmetric risk measures a multi-criteria approach Daniel Kuehne |
| title_fullStr | Asset allocation based on asymmetric risk measures a multi-criteria approach Daniel Kuehne |
| title_full_unstemmed | Asset allocation based on asymmetric risk measures a multi-criteria approach Daniel Kuehne |
| title_short | Asset allocation based on asymmetric risk measures |
| title_sort | asset allocation based on asymmetric risk measures a multi criteria approach |
| title_sub | a multi-criteria approach |
| topic | Risikomanagement (DE-588)4121590-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Multikriteria-Entscheidung (DE-588)4126083-1 gnd Anlagepolitik (DE-588)4206018-7 gnd |
| topic_facet | Risikomanagement Portfolio Selection Multikriteria-Entscheidung Anlagepolitik Europa Nordamerika Asiatisch-Pazifischer Raum Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015036776&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT kuhnedaniel assetallocationbasedonasymmetricriskmeasuresamulticriteriaapproach |