Optimization and Diversification of Risky Portfolios under Uncertainty:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Hamburg
Kovac
2011
|
| Series: | Schriftenreihe Finanzmanagement
82 |
| Subjects: | |
| Online Access: | Ausführliche Beschreibung Inhaltsverzeichnis |
| Physical Description: | VII, 139 S. 22 schw.-w. Ill., 8 schw.-w. Tab. 210 mm x 148 mm, 197 g |
| ISBN: | 9783830059431 3830059434 |
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MARC
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Record in the Search Index
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| adam_text | IMAGE 1
CONTENTS
1 MOTIVATION 1
2 TESTING THE PERFORMANCE OF DIFFERENT INVESTMENT STRATEGIES 5 2.1
INTRODUCTION 6
2.2 STRATEGIES FOR ASSET ALLOCATION 11
2.2.1 TRIVIAL STRATEGIES 12
2.2.2 THE TRADITIONAL APPROACH 12
2.2.3 MINIMUM-VARIANCE STRATEGIES 13
2.2.4 A BAYESIAN STRATEGY 18
2.3 THE MINIMAX APPROACH 19
2.3.1 THE MINIMAX STRATEGY 22
2.3.2 CRITIQUE ON THE MINIMAX STRATEGY 23
2.4 PERFORMANCE MEASUREMENT 25
2.5 EMPIRICAL STUDY 29
2.5.1 DATA 29
2.5.2 HYPOTHESES 30
2.5.3 RESULTS 33
2.6 CONCLUSION 38
3 ON THE DIVERSIFICATION OF PORTFOLIOS OF RISKY ASSETS 41 3.1
INTRODUCTION 42
3.2 PRELIMINARIES 45
3.2.1 THE NAIVE PORTFOLIO 46
3.2.2 THE GLOBAL MINIMUM-VARIANCE PORTFOLIO 47 3.3 PREVIOUS APPROACHES
ON DIVERSIFICATION MEASUREMENT . . 49 3.3.1 THEORETICAL CONSIDERATIONS
50
3.3.2 NUMBER OF ASSETS 52
3.3.3 INFORMATION-THEORETIC APPROACHES 53
3.3.4 MEASUREMENTS VIA PRINCIPAL COMPONENT ANALYSIS 57 3.3.5 MEUCCI S
APPROACH 59
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1013507657
DIGITALISIERT DURCH
IMAGE 2
VIII CONTENTS
3.4 A MEASURE OF DIVERSIFICATION 63
3.4.1 THEORETICAL CONSTRUCT 63
3.4.2 ESTIMATION OF V D 65
3.4.3 ASYMPTOTIC PROPERTIES OF THE ESTIMATOR OF V D . . 70 3.5 TESTING
FOR VARIANCE AND DIVERSIFICATION 71
3.5.1 VARIANCE TESTS 71
3.5.2 TESTING WITH THE MEASURE V D 74
3.6 EMPIRICAL STUDY 74
3.6.1 THE NAIVE PORTFOLIO RETURN VARIANCE OVER TIME . 75 3.6.2 THE GMVP
RETURN VARIANCE OVER TIME 77
3.6.3 DIVERSIFICATION OF NAIVELY ALLOCATED PORTFOLIOS . . 79 3.6.4
EMPIRICAL EVALUATION OF THE DIFFERENT MEASURES . 81 3.7 CONCLUSION 85
4 CONSTRUCTION OF UNCERTAINTY SETS FOR PORTFOLIO OPTIMIZA- TION PROBLEMS
87
4.1 INTRODUCTION 88
4.2 THE MINIMAX APPROACH REVISITED 91
4.2.1 THE MINIMAX APPROACH IN MEAN-VARIANCE ANALYSIS 92 4.2.2 THE
MINIMAX APPROACH IN MEAN-RISK ANALYSIS . 93 4.3 RISK MEASURES 95
4.3.1 COHERENT RISK MEASURES 95
4.3.2 COHERENT DISTORTION RISK MEASURES 100
4.3.3 APPLICATION OF RISK MEASURES IN PORTFOLIO SELECTION 109 4.4
UNCERTAINTY SETS GENERATED BY RISK MEASURES 110 4.4.1 SHAPE OF THE
UNCERTAINTY SET U P 110
4.4.2 SHAPE OF THE SET )% 0 117
4.4.3 SOLUTION TO THE PORTFOLIO OPTIMIZATION PROBLEM . 124 4.5 EMPIRICAL
STUDY 125
4.5.1 MEAN-RISK OPTIMIZATION OF FINANCIAL DATA . . . 126 4.5.2 MEAN-RISK
OPTIMIZATION ON SIMULATED DATA . . . 129 4.6 CONCLUSION 131
BIBLIOGRAPHY 133
|
| any_adam_object | 1 |
| author | Wiechers, Christof |
| author_facet | Wiechers, Christof |
| author_role | aut |
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| bvnumber | BV039583170 |
| classification_rvk | QK 810 |
| ctrlnum | (OCoLC)756320913 (DE-599)DNB1013507657 |
| 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 | Thesis Book |
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| indexdate | 2024-07-10T00:06:46Z |
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| isbn | 9783830059431 3830059434 |
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| physical | VII, 139 S. 22 schw.-w. Ill., 8 schw.-w. Tab. 210 mm x 148 mm, 197 g |
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| spelling | Wiechers, Christof Verfasser aut Optimization and Diversification of Risky Portfolios under Uncertainty Christof Wiechers Hamburg Kovac 2011 VII, 139 S. 22 schw.-w. Ill., 8 schw.-w. Tab. 210 mm x 148 mm, 197 g txt rdacontent n rdamedia nc rdacarrier Schriftenreihe Finanzmanagement 82 Zugl.: Köln, Univ., Diss., 2011 Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Unsicherheit (DE-588)4186957-6 gnd rswk-swf Performance Kapitalanlage (DE-588)4219415-5 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Performance Kapitalanlage (DE-588)4219415-5 s Unsicherheit (DE-588)4186957-6 s Risikomanagement (DE-588)4121590-4 s DE-604 Schriftenreihe Finanzmanagement 82 (DE-604)BV013087358 82 X:MVB text/html http://www.verlagdrkovac.de/978-3-8300-5943-1.htm Ausführliche Beschreibung DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024434419&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wiechers, Christof Optimization and Diversification of Risky Portfolios under Uncertainty Schriftenreihe Finanzmanagement Portfolio Selection (DE-588)4046834-3 gnd Unsicherheit (DE-588)4186957-6 gnd Performance Kapitalanlage (DE-588)4219415-5 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4186957-6 (DE-588)4219415-5 (DE-588)4121590-4 (DE-588)4113937-9 |
| title | Optimization and Diversification of Risky Portfolios under Uncertainty |
| title_auth | Optimization and Diversification of Risky Portfolios under Uncertainty |
| title_exact_search | Optimization and Diversification of Risky Portfolios under Uncertainty |
| title_full | Optimization and Diversification of Risky Portfolios under Uncertainty Christof Wiechers |
| title_fullStr | Optimization and Diversification of Risky Portfolios under Uncertainty Christof Wiechers |
| title_full_unstemmed | Optimization and Diversification of Risky Portfolios under Uncertainty Christof Wiechers |
| title_short | Optimization and Diversification of Risky Portfolios under Uncertainty |
| title_sort | optimization and diversification of risky portfolios under uncertainty |
| topic | Portfolio Selection (DE-588)4046834-3 gnd Unsicherheit (DE-588)4186957-6 gnd Performance Kapitalanlage (DE-588)4219415-5 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Portfolio Selection Unsicherheit Performance Kapitalanlage Risikomanagement Hochschulschrift |
| url | http://www.verlagdrkovac.de/978-3-8300-5943-1.htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024434419&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV013087358 |
| work_keys_str_mv | AT wiecherschristof optimizationanddiversificationofriskyportfoliosunderuncertainty |