Extreme financial risks and asset allocation:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London
Imperial College Press
2014
|
| Schriftenreihe: | Series in quantitative finance
5 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVII, 351 S. graph. Darst. |
| ISBN: | 1783263083 9781783263080 |
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV041707321 | ||
| 003 | DE-604 | ||
| 005 | 20150602 | ||
| 007 | t | ||
| 008 | 140226s2014 d||| |||| 00||| eng d | ||
| 020 | |a 1783263083 |9 1-78326-308-3 | ||
| 020 | |a 9781783263080 |9 978-1-78326-308-0 | ||
| 035 | |a (OCoLC)881038009 | ||
| 035 | |a (DE-599)BVBBV041707321 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-355 |a DE-521 |a DE-188 | ||
| 084 | |a QP 890 |0 (DE-625)141965: |2 rvk | ||
| 100 | 1 | |a Le Courtois, Olivier |e Verfasser |0 (DE-588)130239380 |4 aut | |
| 245 | 1 | 0 | |a Extreme financial risks and asset allocation |c Olivier Le Courtois ; Christian Walter |
| 264 | 1 | |a London |b Imperial College Press |c 2014 | |
| 300 | |a XVII, 351 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Series in quantitative finance |v 5 | |
| 650 | 0 | 7 | |a Wertpapier |0 (DE-588)4065674-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Mathematisches Instrument |0 (DE-588)4132595-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikoanalyse |0 (DE-588)4137042-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Preisrisiko |0 (DE-588)4224505-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Preis |0 (DE-588)4047097-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Finanzkrise |0 (DE-588)7635855-0 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Finanzkrise |0 (DE-588)7635855-0 |D s |
| 689 | 0 | 1 | |a Wertpapier |0 (DE-588)4065674-3 |D s |
| 689 | 0 | 2 | |a Preis |0 (DE-588)4047097-0 |D s |
| 689 | 0 | 3 | |a Preisrisiko |0 (DE-588)4224505-9 |D s |
| 689 | 0 | 4 | |a Risikoanalyse |0 (DE-588)4137042-9 |D s |
| 689 | 0 | 5 | |a Mathematisches Instrument |0 (DE-588)4132595-3 |D s |
| 689 | 0 | |C b |5 DE-604 | |
| 700 | 1 | |a Walter, Christian |d 1957- |e Verfasser |0 (DE-588)136120024 |4 aut | |
| 830 | 0 | |a Series in quantitative finance |v 5 |w (DE-604)BV037398158 |9 5 | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027154588&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-027154588 | ||
Datensatz im Suchindex
| _version_ | 1804151977759735808 |
|---|---|
| adam_text | Contents
Foreword
v
Preface
ix
1.
Introduction
1
2.
Market Framework
9
2.1
Studied Quantities
...................... 10
2.1.1
Financial Assets
................... 10
2.1.2
Portfolios
....................... 12
2.1.3
Distribution Parameters
.............. 19
2.2
The Question of Time
.................... 22
2.2.1
Choosing the Measure of Time
........... 22
2.2.2
Choosing the Scale of Time
............. 25
3.
Statistical Description of Markets
31
3.1
Construction of a Representation
.............. 32
3.1.1
Role of the Statistical Description
......... 32
3.1.2
Continuous or Discontinuous Representations
... 32
3.2
Normality Tests
........................ 34
3.2.1
The Pearson-Fisher Coefficients
.......... 35
3.2.2
Kolmogorov Test
.................. 37
3.3
Discontinuity Test
...................... 39
3.3.1
Definition of Estimators
............... 39
3.3.2
Confidence Intervals
................. 41
3.4
Continuity Test
........................ 45
3.4.1
Definition of the Estimators
............ 45
Xlii
xiv
Extreme Financial
Risks and Asset Allocation
3.4.2
Confidence Interval
................. 46
3.5
Testing the Finiteness of the Activity
............ 47
3.5.1
Construction of the Tests
.............. 48
3.5.2
Illustration
...................... 50
4.
Levy Processes
53
4.1
Definitions and Construction
................ 54
4.1.1
The Characteristic Exponent
............ 54
4.1.2
Infinitely Divisible Distributions
.......... 54
4.1.3
A Construction with
Poisson
Processes
...... 55
4.2
The
Lévy-Khintchine
Formula
............... 60
4.2.1
Form of the Characteristic Exponent
....... 60
4.2.2
The Levy Measure
.................. 62
4.3
The Moments of Levy Processes of Finite Variation
.... 67
4.3.1
Existence of the Moments
............. 68
4.3.2
Calculating the Moments
.............. 69
5.
Stable Distributions and Processes
77
5.1
Definitions and Properties
.................. 78
5.1.1
Definitions
...................... 78
5.1.2
Characteristic Function and Levy Measure
.... 81
5.1.3
Some Special Cases of Stable Distributions
.... 90
5.1.4
Simulating Paths of Stable Processes
....... 94
5.2
Stable Financial Models
................... 100
5.2.1
With Pure Stable Distributions
.......... 100
5.2.2
With Tempered Stable Distributions
....... 101
6.
Laplace Distributions and Processes
105
6.1
The First Laplace Distribution
............... 106
6.1.1
The Intuitive Approach
............... 106
6.1.2
Representations of the Laplace Distribution
. . . 108
6.1.3
Laplace Motion
................... 117
6.2
The Asymmetrization of the Laplace Distribution
..... 129
6.2.1
Construction of the Asymmetrization
....... 129
6.2.2
Laplace Processes
.................. 134
6.3
The Laplace Distribution as the Limit of Hyperbolic Dis¬
tributions
........................... 136
6.3.1
Motivation for Hyperbolic Distributions
...... 138
Contents
xv
6.3.2
Construction of Hyperbolic Distributions
..... 139
6.3.3
Hyperbolic Distributions as Mixture Distributions
143
7.
The Time Change Framework
147
7.1
Time Changes
......................... 148
7.1.1
Historical Survey
.................. 148
7.1.2
A First Modeling Example
............. 149
7.2
Subordinated Brownian Motions
.............. 155
7.2.1
The Mechanics of Subordination
.......... 155
7.2.2
Construction of a Time Change
.......... 158
7.2.3
Brownian Motion in Gamma Time
......... 165
7.3
Time-Changed Laplace Process
............... 173
7.3.1
Mean-Reverting Clock
............... 174
7.3.2
The Laplace Process in ICIR Time
........ 178
8.
Tail Distributions
181
8.1
Largest Values Approach
.................. 181
8.1.1
The Laws of Maxima
................ 182
8.1.2
The Maxima of Levy Processes
........... 190
8.2
Threshold Approach
..................... 194
8.2.1
The Law of Threshold Exceedances
........ 194
8.2.2
Linearity of Means beyond Thresholds
...... 198
8.3
Statistical Phenomenon Approach
............. 202
8.3.1
Concentration of Results
.............. 202
8.3.2
Hierarchy of Large Values
.............. 216
8.4
Estimation of the Shape Parameter
............. 220
8.4.1
A New Algorithm
.................. 221
8.4.2
Examples of Results
................. 224
9.
Risk Budgets
227
9.1
Risk Measures
........................ 228
9.1.1
Main Issues
..................... 228
9.1.2
Definition of the Main Risk Measures
....... 230
9.1.3
VaR. TCE. and the Laws of Maximum
...... 233
r
9.1.4
Notion of Model Risk
................ 235
9.2
Computation of Risk Budgets
................ 242
9.2.1
Numerical Method
.................. 242
9.2.2
Semi-Heavy Distribution Tails
........... 247
xvi
Extreme Financial Risks and Asset Allocation
9.2.3
Heavy Distribution Tails
.............. 250
10.
The Psychology of Risk
253
10.1
Basic Principles of the Psychology of Risk
......... 254
10.1.1
The Notion of Psychological Value
......... 254
10.1.2
The Notion of Certainty Equivalent
........ 255
10.2
The Measurement of Risk Aversion
............. 256
10.2.1
Definitions of the Risk Premium
.......... 256
10.2.2
Decomposition of the Risk Premium
........ 258
10.2.3
Illustration
...................... 264
10.3
Typology of Risk Aversion
.................. 267
10.3.1
Attitude with Respect to Financial Risk
..... 268
10.3.2
The Family of
HARA
Functions
.......... 269
11.
Mono periodic Portfolio Choice
275
11.1
The Optimization Program
................. 277
11.2
Optimizing with Two Moments
............... 279
11.2.1
One Risky Asset
................... 280
11.2.2
Several Risky Assets
................ 282
11.3
Optimizing with Three Moments
.............. 284
11.3.1
One Risky Asset
................... 284
11.3.2
Several Risky Assets
................ 288
11.4
Optimizing with Four Moments
............... 289
11.4.1
One Risky Asset
................... 289
11.4.2
Several Risky Assets
................ 292
11.5
Other Problems
........................ 294
11.5.1
Giving up Comoments
............... 294
11.5.2
Perturbative Approach and Normalized Moments
296
Appendix: Dealing with Uncertainty
................ 297
12.
Dynamic Portfolio Choice
303
12.1
The Optimization Program
................. 304
12.1.1
The Objective Function
............... 304
12.1.2
Modeling Stock Fluctuations
............ 308
12.2
Classic Approach
....................... 315
12.3
Optimization in the Presence of Jumps
........... 319
12.3.1
Presentation of the Model
............. 319
12.3.2
Illustration
...................... 322
Contents xvii
Appendix:
Dealing with Uncertainty
................ 325
13.
Conclusion
331
Appendix A Concentration vs Diversification
333
Bibliography
341
Index
349
|
| any_adam_object | 1 |
| author | Le Courtois, Olivier Walter, Christian 1957- |
| author_GND | (DE-588)130239380 (DE-588)136120024 |
| author_facet | Le Courtois, Olivier Walter, Christian 1957- |
| author_role | aut aut |
| author_sort | Le Courtois, Olivier |
| author_variant | c o l co col c w cw |
| building | Verbundindex |
| bvnumber | BV041707321 |
| classification_rvk | QP 890 |
| ctrlnum | (OCoLC)881038009 (DE-599)BVBBV041707321 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02081nam a2200481 cb4500</leader><controlfield tag="001">BV041707321</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20150602 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">140226s2014 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1783263083</subfield><subfield code="9">1-78326-308-3</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781783263080</subfield><subfield code="9">978-1-78326-308-0</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)881038009</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV041707321</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-355</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 890</subfield><subfield code="0">(DE-625)141965:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Le Courtois, Olivier</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)130239380</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Extreme financial risks and asset allocation</subfield><subfield code="c">Olivier Le Courtois ; Christian Walter</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">London</subfield><subfield code="b">Imperial College Press</subfield><subfield code="c">2014</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVII, 351 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="490" ind1="1" ind2=" "><subfield code="a">Series in quantitative finance</subfield><subfield code="v">5</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Wertpapier</subfield><subfield code="0">(DE-588)4065674-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Mathematisches Instrument</subfield><subfield code="0">(DE-588)4132595-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikoanalyse</subfield><subfield code="0">(DE-588)4137042-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Preisrisiko</subfield><subfield code="0">(DE-588)4224505-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Preis</subfield><subfield code="0">(DE-588)4047097-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzkrise</subfield><subfield code="0">(DE-588)7635855-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Finanzkrise</subfield><subfield code="0">(DE-588)7635855-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Wertpapier</subfield><subfield code="0">(DE-588)4065674-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Preis</subfield><subfield code="0">(DE-588)4047097-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Preisrisiko</subfield><subfield code="0">(DE-588)4224505-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="4"><subfield code="a">Risikoanalyse</subfield><subfield code="0">(DE-588)4137042-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="5"><subfield code="a">Mathematisches Instrument</subfield><subfield code="0">(DE-588)4132595-3</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">Walter, Christian</subfield><subfield code="d">1957-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)136120024</subfield><subfield code="4">aut</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Series in quantitative finance</subfield><subfield code="v">5</subfield><subfield code="w">(DE-604)BV037398158</subfield><subfield code="9">5</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg - ADAM Catalogue Enrichment</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=027154588&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:BVB01-027154588</subfield></datafield></record></collection> |
| id | DE-604.BV041707321 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:03:24Z |
| institution | BVB |
| isbn | 1783263083 9781783263080 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027154588 |
| oclc_num | 881038009 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-521 DE-188 |
| owner_facet | DE-355 DE-BY-UBR DE-521 DE-188 |
| physical | XVII, 351 S. graph. Darst. |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Imperial College Press |
| record_format | marc |
| series | Series in quantitative finance |
| series2 | Series in quantitative finance |
| spelling | Le Courtois, Olivier Verfasser (DE-588)130239380 aut Extreme financial risks and asset allocation Olivier Le Courtois ; Christian Walter London Imperial College Press 2014 XVII, 351 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Series in quantitative finance 5 Wertpapier (DE-588)4065674-3 gnd rswk-swf Mathematisches Instrument (DE-588)4132595-3 gnd rswk-swf Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Preisrisiko (DE-588)4224505-9 gnd rswk-swf Preis (DE-588)4047097-0 gnd rswk-swf Finanzkrise (DE-588)7635855-0 gnd rswk-swf Finanzkrise (DE-588)7635855-0 s Wertpapier (DE-588)4065674-3 s Preis (DE-588)4047097-0 s Preisrisiko (DE-588)4224505-9 s Risikoanalyse (DE-588)4137042-9 s Mathematisches Instrument (DE-588)4132595-3 s b DE-604 Walter, Christian 1957- Verfasser (DE-588)136120024 aut Series in quantitative finance 5 (DE-604)BV037398158 5 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027154588&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Le Courtois, Olivier Walter, Christian 1957- Extreme financial risks and asset allocation Series in quantitative finance Wertpapier (DE-588)4065674-3 gnd Mathematisches Instrument (DE-588)4132595-3 gnd Risikoanalyse (DE-588)4137042-9 gnd Preisrisiko (DE-588)4224505-9 gnd Preis (DE-588)4047097-0 gnd Finanzkrise (DE-588)7635855-0 gnd |
| subject_GND | (DE-588)4065674-3 (DE-588)4132595-3 (DE-588)4137042-9 (DE-588)4224505-9 (DE-588)4047097-0 (DE-588)7635855-0 |
| title | Extreme financial risks and asset allocation |
| title_auth | Extreme financial risks and asset allocation |
| title_exact_search | Extreme financial risks and asset allocation |
| title_full | Extreme financial risks and asset allocation Olivier Le Courtois ; Christian Walter |
| title_fullStr | Extreme financial risks and asset allocation Olivier Le Courtois ; Christian Walter |
| title_full_unstemmed | Extreme financial risks and asset allocation Olivier Le Courtois ; Christian Walter |
| title_short | Extreme financial risks and asset allocation |
| title_sort | extreme financial risks and asset allocation |
| topic | Wertpapier (DE-588)4065674-3 gnd Mathematisches Instrument (DE-588)4132595-3 gnd Risikoanalyse (DE-588)4137042-9 gnd Preisrisiko (DE-588)4224505-9 gnd Preis (DE-588)4047097-0 gnd Finanzkrise (DE-588)7635855-0 gnd |
| topic_facet | Wertpapier Mathematisches Instrument Risikoanalyse Preisrisiko Preis Finanzkrise |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027154588&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV037398158 |
| work_keys_str_mv | AT lecourtoisolivier extremefinancialrisksandassetallocation AT walterchristian extremefinancialrisksandassetallocation |