Alternative investments and strategies:
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| Format: | Book |
| Language: | English |
| Published: |
Singapore [u.a.]
World Scientific
2010
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XV, 397 S. graph. Darst. |
| ISBN: | 9789814280105 9814280100 |
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| 245 | 1 | 0 | |a Alternative investments and strategies |c eds. Rüdiger Kiesel ... |
| 264 | 1 | |a Singapore [u.a.] |b World Scientific |c 2010 | |
| 300 | |a XV, 397 S. |b graph. Darst. | ||
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Record in the Search Index
| _version_ | 1804142931842433025 |
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| adam_text | Titel: Alternative investments and strategies
Autor: Kiesel, Rüdiger
Jahr: 2010
CONTENTS
Preface v
Part I. Alternative Investments
Chapter 1. Socially Responsible Investments 3
Sven Hroß, Christofer Vogt and Rudi Zagst
1.1 Introduction................................. 4
1.2 Recent Research on SRI.......................... 5
1.3 How Sustainable is Sustainability?..................... 6
1.3.1 Description of the Dataset..................... 6
1.3.2 Introduction to Markov Transition Matrices............ 6
1.3.3 Results of Markov Transition Matrices.............. 7
1.4 SRI in Portfolio Context.......................... 8
1.4.1 Description of the Dataset and Statistical Properties....... 8
1.4.2 Markov-Switching Model..................... 11
1.4.3 Fitting the Model Parameters ................... 11
1.4.4 Simulation of Returns....................... 13
1.4.5 Portfolio Optimization Models .................. 13
1.4.6 Definition of Investor Types.................... 15
1.4.7 Optimal Portfolios......................... 15
1.5 Conclusion................................. 18
Chapter 2. Listed Private Equity in a Portfolio Context 21
Philipp Aigner, Georg Beyschlag, Tim Friederich,
Markus Kalepky and Rudi Zagst
2.1 Introduction................................. 22
2.2 Defining Private Equity Categories..................... 23
2.2.1 Financing Stages.......................... 23
2.2.2 Divestment Strategies....................... 24
viü Contents
2.2.3 Type of Financing......................... 25
2.2.4 Classification of Private Equity Fund Investments ........ 26
2.2.4.1 Venture capital funds................... 26
2.2.4.2 Buyout funds....................... 27
2.2.4.3 Leveraged buyouts (LBO)................ 27
2.3 Investment Possibilities ? One Asset, Many Classes........... 28
2.3.1 Direct Investments......................... 28
2.3.2 Private Equity Funds........................ 29
2.3.2.1 Key players ....................... 29
2.3.3 Cash Flow Structure of a Private Equity Fund........... 31
2.3.4 Fund-of-Funds........................... 32
2.3.4.1 Structure of a private equity fund-of-funds....... 32
2.3.4.2 Advantages........................ 32
2.3.4.3 Disadvantages...................... 33
2.3.5 Publicly Traded Private Equity .................. 33
2.3.6 Secondary Transactions...................... 34
2.3.6.1 Types of secondary transactions............. 34
2.3.6.2 Buyer s motivation.................... 35
2.4 Private Equity as Alternative Asset Class
in an Investment Portfolio......................... 35
2.4.1 Characteristics of LPE Return Series............... 36
2.4.2 Modeling Return Series with Markov-Switching Processes .... 37
2.4.2.1 Markov-Switching modeis ............... 37
2.4.2.2 Fitting the parameters.................. 39
2.4.2.3 Simulation of return paths................ 40
2.4.3 Listed Private Equity in Asset Allocation............. 40
2.4.3.1 Performance measurement................ 40
2.4.3.2 Portfolio optimization frameworks ........... 42
2.4.3.3 Definition of investor types............... 43
2.4.3.4 Optimization of portfolios................ 44
2.5 Conclusion................................. 47
Chapter 3. Alternative Real Assets in a Portfolio Context 51
Wolfgang Mader, Sven Treu and Sebastian Willutzky
3.1 Introduction................................. 52
3.2 Overview on Alternative Real Assets.................... 52
3.3 Modeling Photovoltaic Investments.................... 53
3.3.1 General Approach......................... 53
3.3.2 Definition of the Investment Project................ 54
Contents ix
3.3.3 Modeling of Risk Factors..................... 56
3.3.3.1 Economic factors .................... 56
3.3.3.2 Non-economic factors.................. 57
3.3.3.3 Historical analysis of monthly global irradiance .... 58
3.3.3.4 Monte Carlo analysis of yearly global irradiance .... 61
3.4 Photovoltaic Investments in a Portfolio Context.............. 63
3.4.1 Setting the Portfolio Context.................... 63
3.4.2 Including Photovoltaic Investments in a Portfolio......... 64
3.4.3 Results............................... 66
3.5 Conclusion................................. 68
Chapter 4. The Freight Market and Its Derivatives 71
Rüdiger Kiesel and Patrick Scherer
4.1 Introduction: the Freight Market...................... 72
4.1.1 Vessels............................... 72
4.1.2 Cargo................................ 72
4.1.3 Routes............................... 73
4.2 Freight Rates: What Drives the Market?.................. 74
4.2.1 Demand for Shipping Capacity.................. 75
4.2.2 Supply of Shipping Capacity ................... 76
4.2.3 Costs................................ 77
4.3 Freight Derivatives: Hedging or Speculating?............... 77
4.3.1 Forward Freight Agreement.................... 77
4.3.2 Freight Futures........................... 78
4.4 Explanatory Variables ........................... 79
4.4.1 Explanatory Power......................... 80
4.4.2 Granger Causality......................... 82
4.4.3 Selection Algorithm Top Five .................. 83
4.4.4 Cointegration............................ 84
4.5 Predicting Freight Spot and Futures Rates................. 86
4.6 The Backtesting Algorithm......................... 88
4.7 Conclusion................................. 90
Chapter 5. On Forward Price Modeling in Power Markets 93
Fred Espen Benth
5.1 Introduction................................. 94
5.2 HJM Approach to Power Forward Pricing................. 95
5.3 Power Forwards and Approximation by Geometrie
Brownian Motion.............................. 98
x Contents
5.3.1 A Geometrie Brownian Motion Dynamics
by Volatility Averaging.......................101
5.3.2 A Geometrie Brownian Motion Dynamics
by Moment Matching.......................103
5.3.3 The Covariance Structure Between Power Forwards.......106
5.3.4 The Distribution of a Power Forward...............108
5.3.5 Numerical Analysis of the Power Forward Distribution......110
5.4 Pricing of Options on Power Forwards...................114
5.5 Conclusion.................................119
Chapter 6. Pricing Certificates Under Issuer Risk 123
Barbara Götz, Rudi Zagst and Marcos Escobar
6.1 Introduction.................................124
6.2 The Model .................................125
6.3 Pricing of Certificates Under Issuer Risk..................126
6.3.1 Building Blocks.......................... 126
6.3.2 Index Certificates ......................... 130
6.3.3 Participation Guarantee Certificates................ 132
6.3.4 Bonus Guarantee Certificates................... 134
6.3.5 Discount Certificates........................ 135
6.3.6 Bonus Certificates......................... 136
6.4 Conclusion................................. 139
Chapter 7. Asset Allocation with Credit Instruments 147
Barbara Menzinger, Anna Schlösser and Rudi Zagst
7.1 Introduction................................. 148
7.2 Simulation Framework........................... 150
7.3 Framework for Total Return Calculation.................. 153
7.4 Optimization Framework.......................... 156
7.4.1 Mean-Variance Optimization ...................156
7.4.2 CVaR Optimization ........................157
7.5 Model Calibration and Simulation Results.................157
7.5.1 Mean-Variance Approach..................... 162
7.5.2 Conditional Value at Risk..................... 164
7.5.3 Comparison of Selected Optimal Portfolios............ 167
7.6 Summary and Conclusion ......................... 170
Chapter 8. Cross Asset Portfolio Derivatives 175
Stephan Höcht, Matthias Scherer and Philip Seegerer
Contents xi
8.1 Introduction to Cross Asset Portfolio Derivatives............. 175
8.1.1 Definitions and Examples..................... 176
8.2 Collateralized Obligations......................... 179
8.3 A Comparison of CFO with CTSO..................... 179
8.3.1 Structural Features of CFO .................... 179
8.3.2 Structural Features of CTSO.................... 181
8.3.3 The Different Risks ........................ 181
8.3.4 CorrelationofTail Events in CTSO................ 181
8.4 Pricing Cross Asset Portfolio Derivatives ................. 182
8.4.1 Pricing Trigger Swaps....................... 182
8.4.2 Pricing nth-to-Trigger Baskets................... 183
8.4.3 Pricing CTSO........................... 184
8.4.4 Modeling Approaches....................... 185
8.4.4.1 The structural approach.................185
8.4.4.2 The copula approach...................186
8.4.5 An Example for an Mth-to Trigger Basket.............188
8.4.5.1 A pricing exercise of Example 3
(structural approach) ..................188
8.4.5.2 A pricing exercise of Example 3
(copula approach)....................189
8.4.5.3 Resulting model spreads.................190
8.5 Outlook...................................194
8.6 Conclusion.................................195
Part II. Alternative Strategies
Chapter 9. Dynamic Portfolio Insurance Without Options 201
Dominik Dersch
9.1 Introduction.................................202
9.2 Simple Strategies..............................203
9.2.1 Buy-and-Hold...........................203
9.2.2 Stop-Loss .............................203
9.2.3 The Bond Floor Strategy......................204
9.2.4 Piain Vanilla CPPI.........................205
9.3 Historical Simulation I...........................206
9.4 Advanced Features.............................209
9.4.1 Transaction Costs .........................210
9.4.2 Transaction Filter .........................210
9.4.3 Lock-in Levels...........................211
xii Contents
9.4.4 Leverage and Constrain of Exposure ...............212
9.4.5 Rebalancing Strategies for the Risky Portfolio..........213
9.4.6 CPP1 and Beyond .........................213
9.5 Historical Simulation II ..........................214
9.5.1 Transaction Costs and Transaction Filter ............. 214
9.5.2 Lock-in Levels........................... 216
9.5.3 The Use of Leverage........................ 220
9.5.4 CPPI on a Multi-Asset Risky Portfolio.............. 222
9.6 Implement a Dynamic Protection Strategy with ETF........... 223
9.7 Closing Remarks.............................. 224
Chapter 10. How Good are Portfolio Insurance Strategies? 227
Sven Balder and Antje Mahayni
10.1 Introduction.................................228
10.2 Optimal Portfolio Selection with Finite Horizons.............230
10.2.1 Problem (A)............................233
10.2.2 Problem (B)............................234
10.2.3 Problem (C) ............................235
10.2.4 Comparison of Optimal Solutions.................238
10.3 Utility Loss Caused by Guarantees.....................242
10.3.1 Justification of Guarantees and Empirical Observations .....242
10.3.2 Utility Loss.............................242
10.4 Utility Loss Caused by Trading Restrictions
and Transaction Costs ...........................246
10.4.1 Discrete-Time CPPI........................246
10.4.2 Discrete-Time Option-Based Strategy...............249
10.4.3 Comments on Utility Loss and Shortfall Probability.......250
10.5 Utility Loss Caused by Guarantees
and Borrowing Constraints.........................252
10.6 Conclusion.................................254
Chapter 11. Portfolio lnsurances, CPPI and CPDO, Truth or Illusion? 259
Elisabeth Joossens and Wim Schoutens
11.1 Introduction.................................260
11.2 Credit Risk and Credit Default Swaps...................261
11.2.1 Credit Risk.............................261
11.2.2 Credit Default Swaps (CDS)....................265
11.3 Portfolio lnsurances ............................267
Contents xiii
11.4 Modeling of CPPI Dynamics Using Multivariate
Jump-Driven Processes...........................270
11.4.1 Multivariate Variance Gamma Modeling .............270
11.4.2 Swaptions on Credit Indices....................273
11.4.2.1 Black smodel......................273
11.4.2.2 The variance gamma model...............274
11.4.3 Spread Modeling by Correlated VG Processes ..........275
11.4.3.1 The pricing ofCPPIs...................275
11.4.3.2 Gap risk.........................279
11.5 Recent Developments for CPPI ......................281
11.5.1 Portfolio Insurance: The Extreme Value Approach
to the CPPI Method........................282
11.5.2 VaR Approach for Credit CPPI ..................283
11.5.3 CPPI with Cushion Insurance...................284
11.6 A New Financial Instrument: Constant Proportion Debt Obligations . . . 285
11.6.1 The Structure............................285
11.6.2 CPDOs in the Spotlight......................289
11.6.3 Rating CPDOs Under VG Dynamics ...............289
11.7 Comparison Between CPPI and CPDO ..................291
11.8 Conclusions.................................292
Chapter 12. On the Benefits of Robust Asset Allocation for CPPI Strategies 295
Katrin Schüttle and Ralf Werner
12.1 Motivation .................................296
12.2 The Financial Market............................296
12.2.1 The Basic Financial Market.................... 297
12.2.2 The Riskless Asset......................... 298
12.2.3 The Risky Asset.......................... 298
12.2.4 Classical Mean-Variance Analysis ................ 300
12.2.5 The Trading Strategy........................ 302
12.3 The Standard CPPI Strategy........................ 302
12.3.1 The Simple Case..........................303
12.3.2 The General Case .........................305
12.3.3 Shortfall Probability of CPPI Strategies..............308
12.3.4 Improving CPPI Strategies.....................310
12.3.5 CPPI Strategies Under Estimation Risk..............313
12.4 Robust Mean-Variance Optimization and Improved CPPI Strategies . . .316
12.4.1 Robust Mean-Variance Analysis..................317
12.4.2 Uncertainty Sets Via Expert Opinions or Related Estimators ... 317
Xiv Contents
12.4.3 Uncertainty Sets Via Confidence Sets............... 319
12.4.4 Usage and Implications for CPPI Strategies............ 321
12.4.5 CPPIs with Robust Asset Allocations............... 323
12.5 Conclusion................................. 324
Chapter 13. Robust Asset Allocation Under Model Risk 327
Pauline Barrieu and Sandrine Tobelem
13.1 Background.................................328
13.2 A Robust Approach to Model Risk.....................329
13.2.1 The Absolute Ambiguity Robust Adjustment...........330
13.2.2 Relative Ambiguity Robust Adjustment..............333
13.2.3 ÄRA Parametrization .......................334
13.3 Some Definitions Relative to the Ambiguity-Adjusted
Asset Allocation ..............................335
13.4 Empirical Tests...............................336
13.4.1 Portfolios Tested..........................337
13.4.2 Performance Measures.......................339
13.4.3 Results...............................340
13.4.3.1 Performances of the different modeis.......... 341
13.4.3.2 SEUportfolio...................... 342
13.4.3.3 Ambiguity robust portfolios............... 342
13.5 Conclusion................................. 343
Chapter 14. Semi-Static Hedging Strategies for Exotic Options 345
Hansjörg Albrecher and Philipp Mayer
14.1 Introduction.................................346
14.2 Hedging Path-Independent Options ....................347
14.2.1 Piain Vanilla Options with Arbitrary Strikes are Liquid......348
14.2.2 Finitely Many Liquid Strikes ...................349
14.3 Hedging Barrier and Other Weakly Path Dependent Options.......350
14.3.1 Model-Dependent Strategies: Perfect Replication.........351
14.3.2 Model-Dependent Strategies: Approximations ..........357
14.3.3 Model-Independent Strategies: Robust Strategies.........359
14.4 Hedging Strongly Path-Dependent Options................361
14.4.1 Lookback Options.........................362
14.4.2 Asian Options ...........................364
14.5 Case Study: Model-Dependent Hedging of Discretely
Sampled Options..............................367
14.6 Conclusion and Future Research......................370
Contents xv
Chapter 15. Discrete-Time Variance-Optimal Hedging in Affine
Stochastic Volatility Models 375
Jan Kallsen, Richard Vierthauer, Johannes Muhle-Karbe
and Natalia Shenkman
15.1 Introduction................................. 376
15.2 Discrete-Time Variance-Optimal Hedging................. 377
15.3 The Laplace Transform Approach..................... 378
15.4 Application to Affine Stochastic
Volatility Models..............................380
15.5 Numerical Illustration ...........................388
Index 395
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| id | DE-604.BV036446802 |
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| indexdate | 2024-07-09T22:39:37Z |
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| spelling | Alternative investments and strategies eds. Rüdiger Kiesel ... Singapore [u.a.] World Scientific 2010 XV, 397 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s DE-604 Kiesel, Rüdiger 1962- (DE-588)172185262 edt HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020319040&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Alternative investments and strategies Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4046834-3 |
| title | Alternative investments and strategies |
| title_auth | Alternative investments and strategies |
| title_exact_search | Alternative investments and strategies |
| title_full | Alternative investments and strategies eds. Rüdiger Kiesel ... |
| title_fullStr | Alternative investments and strategies eds. Rüdiger Kiesel ... |
| title_full_unstemmed | Alternative investments and strategies eds. Rüdiger Kiesel ... |
| title_short | Alternative investments and strategies |
| title_sort | alternative investments and strategies |
| topic | Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Portfolio Selection |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020319040&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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