Portfolio risk analysis: Gregory Connor ; Lisa R. Goldberg ; Robert A. Korajczyk
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Princeton [u.a.]
Princeton Univ. Press
2010
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXI, 354 S. graph. Darst. |
| ISBN: | 9780691128283 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV036019202 | ||
| 003 | DE-604 | ||
| 005 | 20100819 | ||
| 007 | t | ||
| 008 | 100209s2010 d||| |||| 00||| eng d | ||
| 020 | |a 9780691128283 |9 978-0-691-12828-3 | ||
| 035 | |a (OCoLC)466341388 | ||
| 035 | |a (DE-599)BVBBV036019202 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-384 |a DE-355 |a DE-634 |a DE-945 |a DE-11 | ||
| 050 | 0 | |a HG4529.5 | |
| 082 | 0 | |a 332.6 |2 22 | |
| 084 | |a QK 810 |0 (DE-625)141682: |2 rvk | ||
| 084 | |a QP 343 |0 (DE-625)141864: |2 rvk | ||
| 100 | 1 | |a Connor, Gregory |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Portfolio risk analysis |b Gregory Connor ; Lisa R. Goldberg ; Robert A. Korajczyk |
| 264 | 1 | |a Princeton [u.a.] |b Princeton Univ. Press |c 2010 | |
| 300 | |a XXI, 354 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Portfolio management | |
| 650 | 4 | |a Risk management | |
| 650 | 0 | 7 | |a Portfolio Selection |0 (DE-588)4046834-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Portfolio Selection |0 (DE-588)4046834-3 |D s |
| 689 | 0 | 1 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
| 689 | 0 | |C b |5 DE-604 | |
| 700 | 1 | |a Goldberg, Lisa R. |e Verfasser |4 aut | |
| 700 | 1 | |a Korajczyk, Robert A. |d 1954- |e Verfasser |0 (DE-588)14139689X |4 aut | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018911363&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-018911363 | ||
Record in the Search Index
| _version_ | 1804141046549970944 |
|---|---|
| adam_text | Contents
Acknowledgments
xi
Introduction
xiii
Key Notation
xix
1
Measures of Risk and Return
1
1.1
Measuring Return
1
1.2
The Key Portfolio Risk Measures
6
1.3
Risk-Return Preferences and Portfolio Optimization
12
1.4
The Capital Asset Pricing Model and Its Applications to
Risk Analysis
23
1.5
The Objectives and Limitations of Portfolio Risk Analysis
31
2
Unstructured Covariance Matrices
36
2.1
Estimating Return Covariance Matrices
36
2.2
The Error-Maximization Problem
47
2.3
Portfolio Choice as Decision Making under Uncertainty
54
3
Industry and Country Risk
61
3.1
Industry-Country Component Models
61
3.2
Empirical Evidence on the Relative Magnitudes of Country
and Industry Risks
73
3.3
Sector-Currency Models of Corporate Bond Returns
77
4
Statistical Factor Analysis
79
4.1
Types of Factor Models
79
4.2
Approximate Factor Models
82
4.3
The Arbitrage Pricing Theory
86
4.4
Small
-η
Estimation Methods
88
4.5
Large
-η
Estimation Methods
93
4.6
Number of Factors
98
5
The Macroeconomy and Portfolio Risk
101
5.1
Estimating
Macroeconomic
Factor Models
101
5.2
Event Studies of
Macroeconomic
Announcements
110
5.3 Macroeconomic
Policy Endogeneity
112
5.4
Business Cycle Betas
115
5.5
Empirical Fit and the Relative Value of Macroeconomic
Factor Models
116
5
Security Characteristics and Pervasive Risk Factors
117
6.1
Equity and Fixed-Income Characteristics
117
6.2
Characteristic-Based Factor Models of Equities
122
6.3
The Fama-French Model and Extensions
130
6.4
The Semiparametric Approach to Characteristic-Based
Factor Models
132
7
Measuring and Hedging Foreign Exchange Risk
134
7.1
Definitions of Foreign Exchange Risk
134
7.2
Optimal Currency Hedging
142
7.3
Currency Covariances with Stock and Bond Returns
149
7.4
Macroeconomic Influences on Currency Returns
151
8
Integrated Risk Models
15
S
8.1
Global and Regional Integration Trends
155
8.2
Risk Integration across Asset Classes
158
8.3
Segmented Asset Allocation and Security Selection
159
8.4
Integrated Risk Models
162
9
Dynamic Volatilities and Correlations
167
9.1
GARCH Models
167
9.2
Stochastic Volatility Models
178
9.3
Time Aggregation
180
9.4
Downside Correlation
181
9.5
Option-Implied Volatility
184
9.6
The Volatility Term Structure at Long Horizons
187
9.7
Time-Varying Cross-Sectional Dispersion
188
10
Portfolio Return Distributions
191
10.1
Characterizing Return Distributions
191
10.2
Estimating Return Distributions
196
10.3 Tau
Risk
203
10.4
Nonlinear Dependence between Asset Returns
207
11
Credit Risk
212
11.1
Agency Ratings and Factor Models of Spread Risk
213
11.2
Rating Transitions and
Def ault
217
11.3
Credit Instruments
218
11.4
Conceptual Approaches to Credit Risk
220
11.5
Recovery at Default
232
11.6
Portfolio Credit Models
232
11.7
The
2007-8
Credit-liquidity Crisis
238
12
Transaction Costs and liquidity Risk
241
12.1
Some Basic Terminology
241
12.2
Measuring Transactions Cost
246
Contents ix
12.3
Statistical Properties of liquidity
261
12.4
Optimal Trading Strategies and Transaction Costs
266
13
Alternative Asset Classes
271
13.1
Nonsynchronous Pricing and Smoothed Returns
271
13.2
Time-Varying Risk, Nonlinear Payoff, and Style Drift
284
13.3
Selection and Survivorship Biases
291
13.4
Collectibles: Measuring Return and Risk with Infrequent
and Error-Prone Observations
295
13.5
Summary
298
14
Performance Measurement
299
14.1
Return-Based Performance Measurement
299
14.2
Holdings-Based Performance Measurement and Attribution
303
14.3
Volatility Forecast Evaluation
309
14.4
Value-at-Risk Hit Rates
316
14.5
Forecast and Realized Return Densities
317
15
Conclusion
319
15.1
Some Key Messages
319
15.2
Questions for Future Research
320
References
323
Index
345
|
| any_adam_object | 1 |
| author | Connor, Gregory Goldberg, Lisa R. Korajczyk, Robert A. 1954- |
| author_GND | (DE-588)14139689X |
| author_facet | Connor, Gregory Goldberg, Lisa R. Korajczyk, Robert A. 1954- |
| author_role | aut aut aut |
| author_sort | Connor, Gregory |
| author_variant | g c gc l r g lr lrg r a k ra rak |
| building | Verbundindex |
| bvnumber | BV036019202 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4529 |
| callnumber-raw | HG4529.5 |
| callnumber-search | HG4529.5 |
| callnumber-sort | HG 44529.5 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 810 QP 343 |
| ctrlnum | (OCoLC)466341388 (DE-599)BVBBV036019202 |
| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01660nam a2200421 c 4500</leader><controlfield tag="001">BV036019202</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20100819 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">100209s2010 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780691128283</subfield><subfield code="9">978-0-691-12828-3</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)466341388</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV036019202</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-384</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-634</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-11</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG4529.5</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.6</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 810</subfield><subfield code="0">(DE-625)141682:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 343</subfield><subfield code="0">(DE-625)141864:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Connor, Gregory</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Portfolio risk analysis</subfield><subfield code="b">Gregory Connor ; Lisa R. Goldberg ; Robert A. Korajczyk</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Princeton [u.a.]</subfield><subfield code="b">Princeton Univ. Press</subfield><subfield code="c">2010</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XXI, 354 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="650" ind1=" " ind2="4"><subfield code="a">Portfolio management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</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">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><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="1"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="C">b</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Goldberg, Lisa R.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Korajczyk, Robert A.</subfield><subfield code="d">1954-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)14139689X</subfield><subfield code="4">aut</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg</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=018911363&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:BVB01-018911363</subfield></datafield></record></collection> |
| id | DE-604.BV036019202 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:09:39Z |
| institution | BVB |
| isbn | 9780691128283 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018911363 |
| oclc_num | 466341388 |
| open_access_boolean | |
| owner | DE-384 DE-355 DE-BY-UBR DE-634 DE-945 DE-11 |
| owner_facet | DE-384 DE-355 DE-BY-UBR DE-634 DE-945 DE-11 |
| physical | XXI, 354 S. graph. Darst. |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Princeton Univ. Press |
| record_format | marc |
| spelling | Connor, Gregory Verfasser aut Portfolio risk analysis Gregory Connor ; Lisa R. Goldberg ; Robert A. Korajczyk Princeton [u.a.] Princeton Univ. Press 2010 XXI, 354 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Portfolio management Risk management Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s Risikomanagement (DE-588)4121590-4 s b DE-604 Goldberg, Lisa R. Verfasser aut Korajczyk, Robert A. 1954- Verfasser (DE-588)14139689X aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018911363&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Connor, Gregory Goldberg, Lisa R. Korajczyk, Robert A. 1954- Portfolio risk analysis Gregory Connor ; Lisa R. Goldberg ; Robert A. Korajczyk Portfolio management Risk management Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4121590-4 |
| title | Portfolio risk analysis Gregory Connor ; Lisa R. Goldberg ; Robert A. Korajczyk |
| title_auth | Portfolio risk analysis Gregory Connor ; Lisa R. Goldberg ; Robert A. Korajczyk |
| title_exact_search | Portfolio risk analysis Gregory Connor ; Lisa R. Goldberg ; Robert A. Korajczyk |
| title_full | Portfolio risk analysis Gregory Connor ; Lisa R. Goldberg ; Robert A. Korajczyk |
| title_fullStr | Portfolio risk analysis Gregory Connor ; Lisa R. Goldberg ; Robert A. Korajczyk |
| title_full_unstemmed | Portfolio risk analysis Gregory Connor ; Lisa R. Goldberg ; Robert A. Korajczyk |
| title_short | Portfolio risk analysis |
| title_sort | portfolio risk analysis gregory connor lisa r goldberg robert a korajczyk |
| title_sub | Gregory Connor ; Lisa R. Goldberg ; Robert A. Korajczyk |
| topic | Portfolio management Risk management Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Portfolio management Risk management Portfolio Selection Risikomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018911363&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT connorgregory portfolioriskanalysisgregoryconnorlisargoldbergrobertakorajczyk AT goldberglisar portfolioriskanalysisgregoryconnorlisargoldbergrobertakorajczyk AT korajczykroberta portfolioriskanalysisgregoryconnorlisargoldbergrobertakorajczyk |