Basic Numerical Procedures - Tian
... Standard Errors in Monte Carlo Simulation The standard error of the estimate of the option price is the standard deviation of the discounted payoffs given by the simulation trials divided by the square root of the number of observations. To double the accuracy of a simulation, we must quadruple the ...
... Standard Errors in Monte Carlo Simulation The standard error of the estimate of the option price is the standard deviation of the discounted payoffs given by the simulation trials divided by the square root of the number of observations. To double the accuracy of a simulation, we must quadruple the ...
Finance Committee
... have an immediate vested interest in the assets. DISCUSSION: The current forms of distribution allowed for these assets are very limited. An amendment to the plan is proposed that would offer additional forms of distribution, essentially providing a longer horizon for assets to be distributed from t ...
... have an immediate vested interest in the assets. DISCUSSION: The current forms of distribution allowed for these assets are very limited. An amendment to the plan is proposed that would offer additional forms of distribution, essentially providing a longer horizon for assets to be distributed from t ...
The Evolution of Quantitative Investment Strategies
... Modern optimizers are extremely sophisticated in their ability to handle complex objectives and constraints; professionals who work on building or enhancing these tools usually have advanced training in mathematics or allied fields. Vendors of optimizers provide easy-to-use interfaces that do not re ...
... Modern optimizers are extremely sophisticated in their ability to handle complex objectives and constraints; professionals who work on building or enhancing these tools usually have advanced training in mathematics or allied fields. Vendors of optimizers provide easy-to-use interfaces that do not re ...
Lecture 8
... • By varying wA, one can trace out the efficient set of portfolios. We graphed the efficient set for the two-asset case as a curve, pointing out that the degree of curvature reflects the diversification effect: the lower the correlation between the two securities, the greater the diversification. • ...
... • By varying wA, one can trace out the efficient set of portfolios. We graphed the efficient set for the two-asset case as a curve, pointing out that the degree of curvature reflects the diversification effect: the lower the correlation between the two securities, the greater the diversification. • ...
Journal of Statistical and Econometric Methods, vol.2, no.2, 2013, 157-173
... A mean-variance optimization is a quantitative method that is adopted by fund managers, consultants and investment advisors to construct portfolios for the investors. When the market is less volatile, mean-variance model seems to be a better and more reasonable way of determining portfolio selection ...
... A mean-variance optimization is a quantitative method that is adopted by fund managers, consultants and investment advisors to construct portfolios for the investors. When the market is less volatile, mean-variance model seems to be a better and more reasonable way of determining portfolio selection ...
Open full article - Acta Universitatis
... This article is aimed at proposing of an inovative method for calculating the shares of operational and financial risks. This methodological tool will support managers while monitoring the risk structure. The method is based on the capital asset pricing model (CAPM) for calculation of equity cost, na ...
... This article is aimed at proposing of an inovative method for calculating the shares of operational and financial risks. This methodological tool will support managers while monitoring the risk structure. The method is based on the capital asset pricing model (CAPM) for calculation of equity cost, na ...
Investment Monthly
... This commentary has been produced by HSBC Global Asset Management to provide a high level overview of the recent economic and financial market environment, and is for information purposes only. The views expressed were held at the time of preparation; are subject to change without notice and may not ...
... This commentary has been produced by HSBC Global Asset Management to provide a high level overview of the recent economic and financial market environment, and is for information purposes only. The views expressed were held at the time of preparation; are subject to change without notice and may not ...
From Cash-in-the-Market Pricing to Financial Fragility
... several intermediaries to sell assets at the same time, the attempt to obtain liquidity may be self-defeating: as the asset sales push asset prices lower, intermediaries are forced to sell even more assets, which exacerbates the decline in prices. An important component of this argument is that the ...
... several intermediaries to sell assets at the same time, the attempt to obtain liquidity may be self-defeating: as the asset sales push asset prices lower, intermediaries are forced to sell even more assets, which exacerbates the decline in prices. An important component of this argument is that the ...
(Problems 80 points) A fully amortizing mortgage loan is made for
... A. Given the information above, calculate the mean, the standard deviation for each asset. B. Calculate the correlation between Stock Reit, Stock House and Stock Bond. Comment on your results. C. Calculate the correlation between House Reit, and House Bond. Comment on your results. D. Let us assume ...
... A. Given the information above, calculate the mean, the standard deviation for each asset. B. Calculate the correlation between Stock Reit, Stock House and Stock Bond. Comment on your results. C. Calculate the correlation between House Reit, and House Bond. Comment on your results. D. Let us assume ...
PDF
... financial crisis may be less a result of its merits and more attributable to the poor performance of other investment alternatives. Farmland may be strictly preferred in the pre-crisis period with high mean returns with low variance. However, the extremely risk-averse investor may still prefer to in ...
... financial crisis may be less a result of its merits and more attributable to the poor performance of other investment alternatives. Farmland may be strictly preferred in the pre-crisis period with high mean returns with low variance. However, the extremely risk-averse investor may still prefer to in ...
The past five years have seen market behaviour dominated by
... Investors cited a number of concerns about market capitalisation weighted indices including their bias towards large caps, certain sectors and regions as some of the practical issues with traditional indices. In addition, there are a number of conceptual and empirical limitations often highlighted b ...
... Investors cited a number of concerns about market capitalisation weighted indices including their bias towards large caps, certain sectors and regions as some of the practical issues with traditional indices. In addition, there are a number of conceptual and empirical limitations often highlighted b ...
Asset ALLOCAtION FUNDs - PGIM Investments
... For “average investor behavior,” QAIB quantitatively measures sales, redemptions, and exchanges provided by the Investment Company Institute (ICI) and describes these measures as investor behaviors. The measurement of investor behavior is the net dollar volume of these activities that occur in a sin ...
... For “average investor behavior,” QAIB quantitatively measures sales, redemptions, and exchanges provided by the Investment Company Institute (ICI) and describes these measures as investor behaviors. The measurement of investor behavior is the net dollar volume of these activities that occur in a sin ...
risk measurement for hedge fund portfolios
... fund risk given the likely violation of the normality assumption. Brooks and Kat (2001) found that hedge fund index returns are not normally distributed. Many hedge fund indexes exhibit relatively low skewness and high kurtosis (especially in the case of funds investing in convertible arbitrage, ris ...
... fund risk given the likely violation of the normality assumption. Brooks and Kat (2001) found that hedge fund index returns are not normally distributed. Many hedge fund indexes exhibit relatively low skewness and high kurtosis (especially in the case of funds investing in convertible arbitrage, ris ...
Lecture 10: Market Efficiency
... ¾Demand/supply pressure will correct the mispricing ¾Is this a risk-free arbitrage? ...
... ¾Demand/supply pressure will correct the mispricing ¾Is this a risk-free arbitrage? ...
Sample chapter - McGraw Hill Higher Education
... investor regards risk as something undesirable, but which may be worth tolerating if the expected return is sufficient to compensate for the risk. In graphical terms, indifference curves for a risk-averse investor must be upward sloping as shown in Figure 7.5, opposite. The risk–return coordinates f ...
... investor regards risk as something undesirable, but which may be worth tolerating if the expected return is sufficient to compensate for the risk. In graphical terms, indifference curves for a risk-averse investor must be upward sloping as shown in Figure 7.5, opposite. The risk–return coordinates f ...
Risk Management and Financial Institutions
... risk-free rate. T-rates are regarded as too low to be used as risk-free rates because: a. T-bills and T-bonds must be purchased by financial institutions to fulfill a variety of regulatory requirements. This increase demand for these Ts driving their prices up and yields down. b. The amount of capit ...
... risk-free rate. T-rates are regarded as too low to be used as risk-free rates because: a. T-bills and T-bonds must be purchased by financial institutions to fulfill a variety of regulatory requirements. This increase demand for these Ts driving their prices up and yields down. b. The amount of capit ...
Fulltext: english,
... lowest. Momentum might be interpreted as the risk factor mimicked by the return on a portfolio of winner stocks minus the return on a portfolio of loser stocks. As the initiator of this sub-literature, Jegadeesh and Titman (1993) introduce the one-year momentum anomaly and claim to obtain enhanced p ...
... lowest. Momentum might be interpreted as the risk factor mimicked by the return on a portfolio of winner stocks minus the return on a portfolio of loser stocks. As the initiator of this sub-literature, Jegadeesh and Titman (1993) introduce the one-year momentum anomaly and claim to obtain enhanced p ...
The Lucas Asset Pricing Model
... Given that ρ > 1, this derivation yields some interesting insights: 1. (the log of) asset prices will be more volatile than (the log of) dividends 2. An increase in risk aversion ρ increases Pt (because ρ(ρ − 1)σ 2 /2 > 0 and an increase in ρ increases its size) The second point is surprising, so le ...
... Given that ρ > 1, this derivation yields some interesting insights: 1. (the log of) asset prices will be more volatile than (the log of) dividends 2. An increase in risk aversion ρ increases Pt (because ρ(ρ − 1)σ 2 /2 > 0 and an increase in ρ increases its size) The second point is surprising, so le ...
Improving portfolio efficiency with absolute
... improving portfolio efficiency. The only case in which an allocation to absolute return is not warranted is when an investor wishes to maximize return without regard for volatility. In this analysis, it would be an excess return of 8.23%. In that extreme scenario, however, the resulting portfolio wo ...
... improving portfolio efficiency. The only case in which an allocation to absolute return is not warranted is when an investor wishes to maximize return without regard for volatility. In this analysis, it would be an excess return of 8.23%. In that extreme scenario, however, the resulting portfolio wo ...