Derivatives and the asset allocation decision: a synthesis between portfolio diversification and portfolio insurance
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2003
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 178 S. graph. Darst. |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV026430679 | ||
| 003 | DE-604 | ||
| 005 | 20110228 | ||
| 007 | t | ||
| 008 | 110326s2003 d||| m||| 00||| eng d | ||
| 035 | |a (OCoLC)248917420 | ||
| 035 | |a (DE-599)BVBBV026430679 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-188 | ||
| 100 | 1 | |a Laurent, Andrea |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Derivatives and the asset allocation decision |b a synthesis between portfolio diversification and portfolio insurance |c vorgelegt von Andrea Laurent |
| 264 | 1 | |c 2003 | |
| 300 | |a XII, 178 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a St. Gallen, Univ., Diss., 2003 | ||
| 650 | 0 | 7 | |a Portfolio Selection |0 (DE-588)4046834-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Portfolio Insurance |0 (DE-588)4406694-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Stochastische Optimierung |0 (DE-588)4057625-5 |2 gnd |9 rswk-swf |
| 651 | 7 | |a USA |0 (DE-588)4078704-7 |2 gnd |9 rswk-swf | |
| 651 | 7 | |a Japan |0 (DE-588)4028495-5 |2 gnd |9 rswk-swf | |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a USA |0 (DE-588)4078704-7 |D g |
| 689 | 0 | 1 | |a Japan |0 (DE-588)4028495-5 |D g |
| 689 | 0 | 2 | |a Portfolio Insurance |0 (DE-588)4406694-6 |D s |
| 689 | 0 | 3 | |a Portfolio Selection |0 (DE-588)4046834-3 |D s |
| 689 | 0 | 4 | |a Stochastische Optimierung |0 (DE-588)4057625-5 |D s |
| 689 | 0 | |5 DE-188 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022002674&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-022002674 | ||
Datensatz im Suchindex
| _version_ | 1804144997041176576 |
|---|---|
| adam_text | Contents
Preface iii
Contents v
List of figures ix
List of tables xi
1 Introduction 1
1.1 Motivations and objectives 1
1.2 Structure 3
1 Theoretical foundation 7
2 Elements of portfolio management 9
2.1 The investment process 10
2.1.1 The planning phase 12
2.1.1.1 Investor s needs analysis 12
2.1.1.2 Market analysis 14
2.1.2 The implementation phase 15
2.1.2.1 Strategic asset allocation 16
2.1.2.2 Tactical asset allocation 16
2.1.2.3 Dynamic asset allocation 16
2.1.2.4 Integration of strategic, tactical and dynamic
asset allocation 17
2.1.3 The controlling phase 17
2.2 Portfolio selection 18
2.2.1 Maximizing expected utility 19
2.2.1.1 Utility axioms 20
2.2.1.2 Utility functions 20
2.2.1.3 Summary 22
2.2.2 Mean-variance decision principle 23
2.2.3 Lower partial moments decision principle 26
vi CONTENTS
2.3 Portfolio insurance and options 31
2.3.1 Option s basic concepts 31
2.3.2 Portfolio insurance strategies 35
2.3.2.1 Options independent strategies 36
2.3.2.2 Options dependent strategies 37
2.3.2.3 Summary 39
2.4 Diversification and insurance: a synthesis 39
3 Portfolio selection model 43
3.1 The portfolio management issue 43
3.2 Stochastic programming 44
3.2.1 Describing uncertainty 45
3.2.2 Two-stage linear stochastic programs with recourse . . 45
3.2.3 Multistage stochastic linear programs with recourse . 47
3.2.3.1 Structure properties of stochastic multistage
linear programs 49
3.3 Portfolio selection model 51
3.3.1 General notation 51
3.3.2 Decision variables 51
3.3.3 Model parameters 52
3.3.4 Model equations 53
3.3.5 Compact formulation 61
3.4 Topics to be explored 62
4 Scenario generation process 65
4.1 Introduction 65
4.2 Scenario generation model 66
4.2.1 Overview 66
4.2.2 Principal component analysis 69
4.2.3 Multinomial approximation 72
4.2.4 Cluster analysis 73
4.2.5 Pricing models 75
4.3 Scenario generation: further research 78
4.3.1 Modelling financial time series 78
4.3.1.1 ARCH-type models and stochastic volatility
models 79
4.3.1.2 Parameter estimation 81
4.3.2 Arbitrage considerations 81
4.4 Integrated model: overview 83
II Empirical results 85
5 Introduction to the empirical results 87
CONTENTS vii
6 Scenario generation: empirical results 93
6.1 A first description 94
6.2 Principal component analysis 98
6.2.1 Explained volatility 99
6.2.2 Interpretation of factors 101
6.3 Cluster analysis and binomial approximation 104
6.4 Estimation error s effect 107
6.5 Scenario generation: summary Ill
7 Portfolio selection: empirical results 113
7.1 Static versus multi-period model 115
7.1.1 Experimental design 115
7.1.2 Optimal portfolios and shortfalls 116
7.1.3 Final wealth s distribution 121
7.1.4 Summary 121
7.2 Symmetric versus asymmetric risk measures 123
7.2.1 Experimental design 123
7.2.2 Optimal portfolios and shortfalls 125
7.2.3 Final wealth s distribution 127
7.2.4 Summary 129
7.3 Portfolio structures with options 129
7.3.1 Experimental design 130
7.3.2 Expected risk-return graph with and without options 130
7.3.3 Shortfall cost 132
7.3.4 Optimal portfolios with and without options 132
7.3.5 Final wealth s distribution 134
7.3.6 Optimal positions in options: a deeper look 135
7.3.7 Summary 138
7.4 Option s features and shortfall 139
7.4.1 Experimental design 139
7.4.2 Expected risk-return graph 140
7.4.3 Final wealth s distribution 143
7.4.4 Summary 145
7.5 Short term versus long term shortfall 145
7.5.1 Experimental design 145
7.5.2 Optimal portfolios 146
7.5.3 Shortfall cost 148
7.5.4 Final wealth s distribution 149
7.5.5 Summary 152
7.6 Portfolio selection: summary 152
8 Conclusions 157
8.1 Summary and conclusions 157
8.2 Outlook 164
viii CONTENTS
Bibliography 167
List of Figures
1.1 Structure overview 5
2.1 The portfolio management process 10
4.1 Scenario generation process 68
4.2 Integrated model design: overview 84
5.1 Monthly returns for US and Japanese equity markets 88
5.2 US equity returns against Japanese equity returns 89
5.3 Risk free rates and exchange rate evolution 91
5.4 Annualized equity markets volatilities 91
6.1 Structure of simple three stages scenario tree 94
6.2 Examples of generated scenarios 95
6.3 Comparison between empirical prices and scenario prices ... 96
6.4 Percentage of variance explained by principal components . . 100
6.5 Example of cluster analysis 105
6.6 Mean return estimation error: the nine cases 109
7.1 Multi-period model: portfolio composition at stage one and
stage two 120
7.2 Total wealth s distributions for single period and multi-period
model 122
7.3 Symmetric model: portfolio composition at stage one and two 126
7.4 Total wealth s empirical distributions for symmetric and asym¬
metric model 128
7.5 Expected risk-return graphs with and without options .... 131
7.6 Evolution of expected wealth for portfolios with and without
options 134
7.7 Total wealth s empirical distributions for portfolio with and
without options 136
7.8 Expected risk-return graphs with options 142
7.9 Total wealth s empirical distributions for portfolios with optionsl44
7.10 Quantile-quantile plots of the distributions of final wealth . . 153
x LIST OF FIGURES
7.11 Total wealth s empirical distributions for portfolios k1, k2, k3
and k4 154
List of Tables
2.1 Ecomonic properties of utility functions 22
2.2 Classification of portfolio insurance strategies 36
4.1 Example of the binomial approximation 73
5.1 US and Japanese equity returns: summary statistics 90
6.1 Comparison between generated scenarios and empirical data. 97
6.2 Percentage of variance explained by principal factors 100
6.3 Factor loadings for the period August 96-July 00 103
6.4 Factor loadings for the period September 90-August 95 ... 103
6.5 Optimal portfolios for different states of the binomial approx¬
imation 106
6.6 US and Japanese equity mean returns: confidence intervals . 108
6.7 Mean return estimation error: optimal portfolios 110
7.1 Optimal solutions for single period and multi-period model . 117
7.2 Expected and maximum shortfall for single period and multi-
priod model 117
7.3 Summary statistics of final wealth s distribution for single
period and multi-period model 121
7.4 Optimal solutions for symmetric and asymmetric model ... 125
7.5 Expected and maximum shortfall for symmetric and asym¬
metric model 127
7.6 Summary statistics of final wealth s distribution for symmet¬
ric and asymmetric model 129
7.7 Expected and maximum shortfall for portfolio with and with¬
out options 132
7.8 Optimal portfolios with and without options 132
7.9 Average asset mix for portfolio with and without options . . 133
7.10 Summary statistics of final wealth s distribution for portfolio
with and without options 135
7.11 Optimal portfolios with options for different expected return
levels 137
xii LIST OF TABLES
7.12 Optimal portfolios with options with different threshold re¬
turn levels 141
7.13 Sets of shortfall costs 146
7.14 Optimal portfolios with different costs for shortfall 147
7.15 Expected cost of shortfall under different shortfall cost sets . 148
7.16 Empirical shortfall distributions for different shortfall cost sets 150
7.17 Expected wealth for different shortfall cost sets 151
|
| any_adam_object | 1 |
| author | Laurent, Andrea |
| author_facet | Laurent, Andrea |
| author_role | aut |
| author_sort | Laurent, Andrea |
| author_variant | a l al |
| building | Verbundindex |
| bvnumber | BV026430679 |
| ctrlnum | (OCoLC)248917420 (DE-599)BVBBV026430679 |
| format | Thesis Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01706nam a2200409 c 4500</leader><controlfield tag="001">BV026430679</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20110228 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">110326s2003 d||| m||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)248917420</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV026430679</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-188</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Laurent, Andrea</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Derivatives and the asset allocation decision</subfield><subfield code="b">a synthesis between portfolio diversification and portfolio insurance</subfield><subfield code="c">vorgelegt von Andrea Laurent</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2003</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XII, 178 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="a">St. Gallen, Univ., Diss., 2003</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Portfolio Insurance</subfield><subfield code="0">(DE-588)4406694-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastische Optimierung</subfield><subfield code="0">(DE-588)4057625-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="651" ind1=" " ind2="7"><subfield code="a">USA</subfield><subfield code="0">(DE-588)4078704-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="651" ind1=" " ind2="7"><subfield code="a">Japan</subfield><subfield code="0">(DE-588)4028495-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">USA</subfield><subfield code="0">(DE-588)4078704-7</subfield><subfield code="D">g</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Japan</subfield><subfield code="0">(DE-588)4028495-5</subfield><subfield code="D">g</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Portfolio Insurance</subfield><subfield code="0">(DE-588)4406694-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="4"><subfield code="a">Stochastische Optimierung</subfield><subfield code="0">(DE-588)4057625-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-188</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022002674&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-022002674</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| geographic | USA (DE-588)4078704-7 gnd Japan (DE-588)4028495-5 gnd |
| geographic_facet | USA Japan |
| id | DE-604.BV026430679 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T23:12:26Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-022002674 |
| oclc_num | 248917420 |
| open_access_boolean | |
| owner | DE-188 |
| owner_facet | DE-188 |
| physical | XII, 178 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| record_format | marc |
| spelling | Laurent, Andrea Verfasser aut Derivatives and the asset allocation decision a synthesis between portfolio diversification and portfolio insurance vorgelegt von Andrea Laurent 2003 XII, 178 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2003 Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfolio Insurance (DE-588)4406694-6 gnd rswk-swf Stochastische Optimierung (DE-588)4057625-5 gnd rswk-swf USA (DE-588)4078704-7 gnd rswk-swf Japan (DE-588)4028495-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content USA (DE-588)4078704-7 g Japan (DE-588)4028495-5 g Portfolio Insurance (DE-588)4406694-6 s Portfolio Selection (DE-588)4046834-3 s Stochastische Optimierung (DE-588)4057625-5 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022002674&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Laurent, Andrea Derivatives and the asset allocation decision a synthesis between portfolio diversification and portfolio insurance Portfolio Selection (DE-588)4046834-3 gnd Portfolio Insurance (DE-588)4406694-6 gnd Stochastische Optimierung (DE-588)4057625-5 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4406694-6 (DE-588)4057625-5 (DE-588)4078704-7 (DE-588)4028495-5 (DE-588)4113937-9 |
| title | Derivatives and the asset allocation decision a synthesis between portfolio diversification and portfolio insurance |
| title_auth | Derivatives and the asset allocation decision a synthesis between portfolio diversification and portfolio insurance |
| title_exact_search | Derivatives and the asset allocation decision a synthesis between portfolio diversification and portfolio insurance |
| title_full | Derivatives and the asset allocation decision a synthesis between portfolio diversification and portfolio insurance vorgelegt von Andrea Laurent |
| title_fullStr | Derivatives and the asset allocation decision a synthesis between portfolio diversification and portfolio insurance vorgelegt von Andrea Laurent |
| title_full_unstemmed | Derivatives and the asset allocation decision a synthesis between portfolio diversification and portfolio insurance vorgelegt von Andrea Laurent |
| title_short | Derivatives and the asset allocation decision |
| title_sort | derivatives and the asset allocation decision a synthesis between portfolio diversification and portfolio insurance |
| title_sub | a synthesis between portfolio diversification and portfolio insurance |
| topic | Portfolio Selection (DE-588)4046834-3 gnd Portfolio Insurance (DE-588)4406694-6 gnd Stochastische Optimierung (DE-588)4057625-5 gnd |
| topic_facet | Portfolio Selection Portfolio Insurance Stochastische Optimierung USA Japan Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022002674&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT laurentandrea derivativesandtheassetallocationdecisionasynthesisbetweenportfoliodiversificationandportfolioinsurance |