The use of risk budgets in portfolio optimization:
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| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Wiesbaden
Springer Gabler
2015
|
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | XXIV, 424 S. graph. Darst. |
| ISBN: | 9783658072582 |
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MARC
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Record in the Search Index
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CONTENTS
1 INTRODUCTION 1
1.1 MOTIVATION AND PROBLEM STATEMENT 1
1.2 OUTLINE OF THESIS 7
2 THEORETICAL BACKGROUND 11
2.1 MODERN PORTFOLIO THEORY 11
2.1.1 MEAN VARIANCE FRAMEWORK 11
2.1.2 SEPARATION THEOREM 21
2.1.3 UTILITY THEORETIC FOUNDATION 24
2.1.4 WEAKNESSES OF THE CLASSICAL PORTFOLIO THEORY . 34
2.2 ASSET PRICING THEORY 36
2.2.1 CAPITAL ASSET PRICING MODEL - CAPM 36
2.2.2 EMPIRICAL EVIDENCE - CRITIQUE AND ANOMALIES . 41
2.2.3 FACTOR MODELS 44
2.2.4 METHODOLOGY FOR EMPIRICAL TESTING 47
2.3 SUMMARY 51
3 ALTERNATIVE APPROACHES IN PORTFOLIO MANAGEMENT 53
3.1 RISK MEASURES AND RISK CONTRIBUTIONS 53
3.1.1 WHAT IS RISK? 53
3.1.2 RISK MEASURES 55
3.1.3 RISK CONTRIBUTIONS 63
3.2 PORTFOLIO MODELS 74
3.2.1 EQUALLY WEIGHTED PORTFOLIO (1/N) 74
3.2.2 MINIMUM RISK PORTFOLIOS 75
3.2.3 EQUALLY RISK CONTRIBUTION PORTFOLIOS 77
3.3 UTILITY THEORETIC FOUNDATIONS 80
3.3.1 EXPECTED UTILITY THEORY 80
HTTP://D-NB.INFO/1056845473
X
CONTENTS
3.3.2 OTHER APPROACHES 85
3.3.3 SUMMARY 105
4 LITERATURE REVIEW 107
4.1 MINIMUM RISK PORTFOLIOS 107
4.1.1 MV/LOW RISK ANOMALY 107
4.1.2 MINIMUM-CVAR PORTFOLIO 119
4.1.3 MAXIMUM DRAWDOWN AND DRAWDOWN MEASURES 123
4.1.4 MINIMUM-CDAR PORTFOLIO 126
4.2 RISK BUDGETING PORTFOLIOS 128
4.2.1 VOLATILITY RISK BUDGETS 128
4.2.2 CVAR RISK BUDGETS 137
4.2.3 SUMMARY OF THE RISK BUDGETING STUDIES . 140
5 ROBUSTNESS 147
5.1 DEFINITION OF ROBUSTNESS 147
5.2 APPROACHES TO ROBUST PORTFOLIOS: A SHORT REVIEW . . 149
5.3 REVIEW OF THE ROBUSTNESS OF THE MARKOWITZ APPROACH 152
5.4 ROBUSTNESS OF THE VOLATILITY RISK BUDGETING PORTFOLIO . 155
5.5 SUMMARY 158
6 EMPIRICAL STUDIES 159
6.1 ORGANIZATION OF STUDIES 159
6.2 PERFORMANCE STUDY 161
6.2.1 METHODOLOGY 162
6.2.2 EUROPEAN FUND 173
6.2.3 GLOBAL PORTFOLIO 192
6.2.4 GERMAN MARKET 215
6.2.5 SUMMARY OF THE PERFORMANCE STUDIES 240
6.3 EXPLORING RISK-BASED PRICING ANOMALIES 241
6.3.1 METHODOLOGY 242
6.3.2 GLOBAL PORTFOLIO 246
6.3.3 GERMANY 1973 250
6.3.4 ROLLING REGRESSIONS 257
6.3.5 US INDUSTRY INDICES 262
CONTENTS XI
6.3.6 USMSCI 264
6.3.7 GERMAN INDUSTRY INDICES 266
6.3.8 GERMAN MSCI 270
6.3.9 FOUR-FACTOR MODEL 274
6.3.10 SUMMARY OF THE FACTOR REGRESSIONS 275
6.4 ROBUSTNESS STUDY 276
6.4.1 METHODOLOGY 277
6.4.2 SIMULATION STUDY 280
6.4.3 EMPIRICAL STUDY 304
6.4.4 RESULTS OF THE ROBUSTNESS STUDY 318
7 EXTENSIONS OF EMPIRICAL STUDIES 321
7.1 FAT TAILED DISTRIBUTIONS 321
7.2 BINARY STABILITY PORTFOLIO 335
7.3 HIERARCHICAL CLUSTERING 348
7.3.1 GLOBAL PORTFOLIO 352
7.3.2 GERMAN MARKET 355
7.3.3 DIFFERENT CLUSTERING ALGORITHM 359
7.3.4 SUMMARY 361
8 CONCLUSION 363
A APPENDIX 371
A.L GERMANYL973 DATASET 371
A.2 REGRESSIONS 372
A.2.1 GLOBAL DATASET 372
A.2.2 GERMANY 1973 DATASET 377
A.2.3 US INDUSTRY DATASET 383
A.2,4 US MSCI DATASET 384
A.2.5 GERMAN INDUSTRY DATASET 385
A.2.6 GERMAN MSCI DATASET 387
A.3 ROBUSTNESS STUDY 388
BIBLIOGRAPHY 391 |
| any_adam_object | 1 |
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| author_facet | Unger, Albina |
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| 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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| publisher | Springer Gabler |
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| spelling | Unger, Albina Verfasser aut The use of risk budgets in portfolio optimization Albina Unger Wiesbaden Springer Gabler 2015 XXIV, 424 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zugl.: Bremen, Univ., Diss., 2014 Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Research KJM Risk Management Portfolio Management Equal Risk Contributions Asset Allocation Risk Measurement Risk Parity (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Risikomanagement (DE-588)4121590-4 s 1\p DE-604 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=4760834&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027483719&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Unger, Albina The use of risk budgets in portfolio optimization Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4121590-4 (DE-588)4113937-9 |
| title | The use of risk budgets in portfolio optimization |
| title_auth | The use of risk budgets in portfolio optimization |
| title_exact_search | The use of risk budgets in portfolio optimization |
| title_full | The use of risk budgets in portfolio optimization Albina Unger |
| title_fullStr | The use of risk budgets in portfolio optimization Albina Unger |
| title_full_unstemmed | The use of risk budgets in portfolio optimization Albina Unger |
| title_short | The use of risk budgets in portfolio optimization |
| title_sort | the use of risk budgets in portfolio optimization |
| topic | Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Portfolio Selection Risikomanagement Hochschulschrift |
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