Long-Term asset allocation:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
2014
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| Subjects: | |
| Online Access: | Volltext https://nbn-resolving.org/urn:nbn:de:bvb:355-epub-295812 Inhaltsverzeichnis |
| Physical Description: | V, 116 Bl. graph. Darst. |
Staff View
MARC
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Record in the Search Index
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| adam_text | CONTENTS
1 INTRODUCTION 1
2 INFLATION-PROTECTING ASSET ALLOCATION: A DOWNSIDE RISK ANALYSIS 5
2.1 INTRODUCTION 6
2.2 METHODOLOGY 10
2.2.1 MODELING ASSET RETURN DYNAMICS 10
2.2.2 THE CONCEPT OF LOWER PARTIAL MOMENTS 12
2.2.3 THE PORTFOLIO CHOICE PROBLEM 13
2.3 EMPIRICAL ANALYSIS 14
2.3.1 DATA 14
2.3.2 VAR ESTIMATION RESULTS 18
2.3.3 INFLATION PROTECTION OF INDIVIDUAL ASSETS 21
2.3.4 INFLATION-PROTECTING ASSET, ALLOCATION 24
2.4 CONCLUSION 29
3 MODELING ASSET PRICE DYNAMICS UNDER A MULTIVARIATE COINTEGRA-
TION FRAMEWORK 31
3.1 INTRODUCTION 32
3.2 METHODOLOGY 35
3.2.1 VAR SPECIFICATION 35
3.2.2 VEC SPECIFICATION 36
3.2.3 HORIZON-DEPENDENT VARIANCE-COVARIANCE 37
3.2.4 PORTFOLIO CHOICE PROBLEM 39
3.3 EMPIRICAL ANALYSIS 41
3.3.1 DATA AND TIME SERIES PROPERTIES 41
I
HTTP://D-NB.INFO/1049961005
CONTENTS
3.3.2 ESTIMATION RESULTS 46
3.3.3 LONG HORIZON EFFECTS 54
3.3.4 ASSET ALLOCATION DECISIONS 63
3.4 CONCLUSION 67
3.A APPENDIX 70
3.A.1 BOOTSTRAP METHOD 70
3.A.2 MODEL SELECTION 71
4 DO STOCK PRICES AND CASH FLOWS DRIFT APART? THE INFLUENCE OF
MACROECONOMIC PROXIES 72
4.1 INTRODUCTION 73
4.2 METHODOLOGY 75
4.2.1 THE ECONOMETRIC MODEL 76
4.2.2 HYPOTHESES TESTING 77
4.2.3 LONG-RUN ANALYSES 79
4.2.4 RETURNS 80
4.3 EMPIRICAL ANALYSIS 81
4.3.1 DATA AND TIME SERIES PROPERTIES 81
4.3.2 COINTEGRATION RANK ANALYSIS 87
4.3.3 RESTRICTION TESTS 90
4.3.4 TESTING THE FINANCIAL RATIOS 93
4.3.5 LEVEL EFFECTS 95
4.3.6 HORIZON-DEPENDENT ANALYSIS 97
4.4 CONCLUSION 101
4.A APPENDIX 103
4.A.1 MODEL SELECTION 103
4.A.2 UNIVARIATE STATIONARITY OF THE FINANCIAL RATIOS 104
4.A.3 STABILITY OF THE LONG-RUN MATRICES ACROSS THE MODELS 105
4.A.4 BOOTSTRAP METHOD 107
BIBLIOGRAPHY 108
II
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| any_adam_object | 1 |
| author | Koniarski, Tim |
| author_facet | Koniarski, Tim |
| author_role | aut |
| author_sort | Koniarski, Tim |
| author_variant | t k tk |
| building | Verbundindex |
| bvnumber | BV041733294 |
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| dewey-full | 330 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330 |
| dewey-search | 330 |
| dewey-sort | 3330 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Koniarski, Tim Verfasser aut Long-Term asset allocation von Tim Koniarski 2014 V, 116 Bl. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Regensburg, Univ., Diss., 2014 Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Langfristige Analyse (DE-588)4200335-0 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Vektor-autoregressives Modell (DE-588)4288533-4 gnd rswk-swf Inflationsausgleich (DE-588)4569985-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kapitalanlage (DE-588)4073213-7 s Inflationsausgleich (DE-588)4569985-9 s Risikoanalyse (DE-588)4137042-9 s Vektor-autoregressives Modell (DE-588)4288533-4 s Langfristige Analyse (DE-588)4200335-0 s b DE-604 Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:355-epub-295812 http://epub.uni-regensburg.de/29581/ Verlag kostenfrei Volltext https://nbn-resolving.org/urn:nbn:de:bvb:355-epub-295812 Resolving-System DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027180033&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Koniarski, Tim Long-Term asset allocation Risikoanalyse (DE-588)4137042-9 gnd Langfristige Analyse (DE-588)4200335-0 gnd Kapitalanlage (DE-588)4073213-7 gnd Vektor-autoregressives Modell (DE-588)4288533-4 gnd Inflationsausgleich (DE-588)4569985-9 gnd |
| subject_GND | (DE-588)4137042-9 (DE-588)4200335-0 (DE-588)4073213-7 (DE-588)4288533-4 (DE-588)4569985-9 (DE-588)4113937-9 |
| title | Long-Term asset allocation |
| title_auth | Long-Term asset allocation |
| title_exact_search | Long-Term asset allocation |
| title_full | Long-Term asset allocation von Tim Koniarski |
| title_fullStr | Long-Term asset allocation von Tim Koniarski |
| title_full_unstemmed | Long-Term asset allocation von Tim Koniarski |
| title_short | Long-Term asset allocation |
| title_sort | long term asset allocation |
| topic | Risikoanalyse (DE-588)4137042-9 gnd Langfristige Analyse (DE-588)4200335-0 gnd Kapitalanlage (DE-588)4073213-7 gnd Vektor-autoregressives Modell (DE-588)4288533-4 gnd Inflationsausgleich (DE-588)4569985-9 gnd |
| topic_facet | Risikoanalyse Langfristige Analyse Kapitalanlage Vektor-autoregressives Modell Inflationsausgleich Hochschulschrift |
| url | http://epub.uni-regensburg.de/29581/ https://nbn-resolving.org/urn:nbn:de:bvb:355-epub-295812 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027180033&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT koniarskitim longtermassetallocation |