PowerPoint Version of Value at Risk Notes
... Given that 90% of the area under the normal distribution is within 1.65 standard deviations on either side of the mean (in other words between mean-1.65s and mean +1.65s) There is only a 5% chance that the level of interest rates would increase or decrease by more than 0 + 1.65(0.001) or 16.5 Bp ...
... Given that 90% of the area under the normal distribution is within 1.65 standard deviations on either side of the mean (in other words between mean-1.65s and mean +1.65s) There is only a 5% chance that the level of interest rates would increase or decrease by more than 0 + 1.65(0.001) or 16.5 Bp ...
trading portfolio - Drake University
... The total number shown on the dice ranges from 2 to 12. Therefore there are a total of 12 possible numbers that may occur as part of the 36 possible outcomes. A frequency distribution summarizes the frequency that any number occurs. The probability that any number occurs is based upon the frequency ...
... The total number shown on the dice ranges from 2 to 12. Therefore there are a total of 12 possible numbers that may occur as part of the 36 possible outcomes. A frequency distribution summarizes the frequency that any number occurs. The probability that any number occurs is based upon the frequency ...
Value at Risk - Drake University
... The total number shown on the dice ranges from 2 to 12. Therefore there are a total of 12 possible numbers that may occur as part of the 36 possible outcomes. A frequency distribution summarizes the frequency that any number occurs. The probability that any number occurs is based upon the frequency ...
... The total number shown on the dice ranges from 2 to 12. Therefore there are a total of 12 possible numbers that may occur as part of the 36 possible outcomes. A frequency distribution summarizes the frequency that any number occurs. The probability that any number occurs is based upon the frequency ...
The pricing of volatility risk across asset classes
... Moreover, the principal factor is highly correlated with the various market index volatility innovations, although substantially less noisy and yields the best pricing performance of the volatility measures considered. An additional advantage of the non-parametric principal component analysis is tha ...
... Moreover, the principal factor is highly correlated with the various market index volatility innovations, although substantially less noisy and yields the best pricing performance of the volatility measures considered. An additional advantage of the non-parametric principal component analysis is tha ...
IMPACT OF TIME VARYING DISTRIBUTIONAL PARAMETERS ON
... explained and conclusions are drawn. Results of this thesis should be the most important to the portfolio managers and advisors as same as for all investors who seek to choose the best asset allocation in their investment portfolio while facing market ups and downs together with other changes in the ...
... explained and conclusions are drawn. Results of this thesis should be the most important to the portfolio managers and advisors as same as for all investors who seek to choose the best asset allocation in their investment portfolio while facing market ups and downs together with other changes in the ...
Optimal Portfolio Selection
... Sufficient Condition for Cost-efficiency A random pair (X , Y ) is anti-monotonic if there exists a non-increasing relationship between them. Theorem (Sufficient condition for cost-efficiency) Any random payoff XT with the property that (XT , ξT ) is anti-monotonic is cost-efficient. Note the absenc ...
... Sufficient Condition for Cost-efficiency A random pair (X , Y ) is anti-monotonic if there exists a non-increasing relationship between them. Theorem (Sufficient condition for cost-efficiency) Any random payoff XT with the property that (XT , ξT ) is anti-monotonic is cost-efficient. Note the absenc ...
Stock Return Serial Dependence and Out-of
... that exploit serial dependence in stock returns, accounting for the frictions that exist in the real world is crucial. To understand the origin of the predictability exploited by the conditional mean-variance portfolios, we consider the conditional mean-variance portfolios obtained from a lagged-fac ...
... that exploit serial dependence in stock returns, accounting for the frictions that exist in the real world is crucial. To understand the origin of the predictability exploited by the conditional mean-variance portfolios, we consider the conditional mean-variance portfolios obtained from a lagged-fac ...
Preferred Habitat and the Optimal Maturity Structure of Government Debt
... the generation with the longer lifespan is wealthier. We also examine how changes in the maturity structure of government debt or in the mix of clienteles affect the yield curve. For instance, we show that consistent with practical intuition but in contrast to most representative-agent models, leng ...
... the generation with the longer lifespan is wealthier. We also examine how changes in the maturity structure of government debt or in the mix of clienteles affect the yield curve. For instance, we show that consistent with practical intuition but in contrast to most representative-agent models, leng ...
Zvi Wiener slide 1
... Duration Immunization Duration protects against small IR changes. Duration assumes a parallel change in the TS. Immunization is based on nominal IR. Immunization is very conservative and is inappropriate for many portfolio managers. The passage of time changes both duration and horizon date ...
... Duration Immunization Duration protects against small IR changes. Duration assumes a parallel change in the TS. Immunization is based on nominal IR. Immunization is very conservative and is inappropriate for many portfolio managers. The passage of time changes both duration and horizon date ...
Sample selection bias, return moments, and the performance of
... diversification effect in that larger average correlation and wider correlation dispersion collectively predict better performance of a mean-variance rule relative to the naive rule. More importantly, this predictability also delivers out-of-sample portfolio benefits. Specifically, I propose a port ...
... diversification effect in that larger average correlation and wider correlation dispersion collectively predict better performance of a mean-variance rule relative to the naive rule. More importantly, this predictability also delivers out-of-sample portfolio benefits. Specifically, I propose a port ...
Credit Expansion and Neglected Crash Risk * Matthew Baron
... of crash risk at the time of a bank credit expansion, they could demand a higher equity premium by immediately lowering share prices and thus earn higher future average returns from holding bank stocks. This is a key argument we use to determine whether shareholders anticipate the increased equity ...
... of crash risk at the time of a bank credit expansion, they could demand a higher equity premium by immediately lowering share prices and thus earn higher future average returns from holding bank stocks. This is a key argument we use to determine whether shareholders anticipate the increased equity ...
European Fixed Interest - Invesco Global Product Range
... Source: Invesco Perpetual, Bloomberg, 31 March 2017, unless otherwise noted. $ = USD. Indices are BoAML. Return data in local currency. *Price return. **Bloomberg field: YAS_MOD_DUR. This is not financial advice and not a recommendation to buy / hold / sell these securities. There is no guarantee th ...
... Source: Invesco Perpetual, Bloomberg, 31 March 2017, unless otherwise noted. $ = USD. Indices are BoAML. Return data in local currency. *Price return. **Bloomberg field: YAS_MOD_DUR. This is not financial advice and not a recommendation to buy / hold / sell these securities. There is no guarantee th ...
Dividend Portfolio Strategy
... to keep cash from bondholders. 4.The board of directors, acting on behalf of the stockholders, can use dividends in order to reduce cash available to spendthrift managers. 6.Dividends have long been a signal to investors. A constant dividend assures investors the company is doing well, and views fut ...
... to keep cash from bondholders. 4.The board of directors, acting on behalf of the stockholders, can use dividends in order to reduce cash available to spendthrift managers. 6.Dividends have long been a signal to investors. A constant dividend assures investors the company is doing well, and views fut ...
Risk and Long-Run IPO Returns - Berkeley-Haas
... Ross (1976). The macroeconomic risks include real consumption growth, measures of changes in the yield curve slope, and changes in the default spread.2 In addition to illuminating potential "bad model" problems in the context of long-horizon returns [Fama (1998)], we o er two major reasons for being ...
... Ross (1976). The macroeconomic risks include real consumption growth, measures of changes in the yield curve slope, and changes in the default spread.2 In addition to illuminating potential "bad model" problems in the context of long-horizon returns [Fama (1998)], we o er two major reasons for being ...
Sharī`ah and SRI Portfolio Performance in the UK: Effect of Oil Price
... can be constructed to develop minimum-variance set line. The upper part of the minimum-variance set is called as efficient frontier which all portfolios lie in this line have higher expected return with the same risk compared to portfolios in bottom part of the minimum-variance set line. In order to ...
... can be constructed to develop minimum-variance set line. The upper part of the minimum-variance set is called as efficient frontier which all portfolios lie in this line have higher expected return with the same risk compared to portfolios in bottom part of the minimum-variance set line. In order to ...
Commodity Market Capital Flow and Asset Return Predictability ∗ Harrison Hong
... or less to maturity. These contracts are typically illiquid because futures traders do not want to take delivery of the underlying physical commodity. We therefore rule out investment strategies that require holding futures contracts to maturity. While Gorton and Rouwenhorst (2006) isolate the contr ...
... or less to maturity. These contracts are typically illiquid because futures traders do not want to take delivery of the underlying physical commodity. We therefore rule out investment strategies that require holding futures contracts to maturity. While Gorton and Rouwenhorst (2006) isolate the contr ...
Sample pages 1 PDF
... t-distribution with a small degrees-of-freedom parameter, say 4–6, is a much better fit than the normal model. However, the log-return distributions do appear to be symmetric, or at least nearly so. The independence assumption is also violated. First, there is some correlation between returns. The co ...
... t-distribution with a small degrees-of-freedom parameter, say 4–6, is a much better fit than the normal model. However, the log-return distributions do appear to be symmetric, or at least nearly so. The independence assumption is also violated. First, there is some correlation between returns. The co ...
2013 CFA Level 1 - Book 5 - Apache
... g-rate security and why its price may e. expl dicalculate ffer fromandparinterpret value. (page 29) and dollar duration of a bond. (page 30) the duration describrisk. e yiel(page d-curve32)risk and explain why duration does not account for yield g. curve ain34)the disadvantages of a callable or pre ...
... g-rate security and why its price may e. expl dicalculate ffer fromandparinterpret value. (page 29) and dollar duration of a bond. (page 30) the duration describrisk. e yiel(page d-curve32)risk and explain why duration does not account for yield g. curve ain34)the disadvantages of a callable or pre ...
Global Style Portfolios Based on Country Indices
... We examine the role of country indices in building a globally diversified portfolio of market, value, size and momentum premia. Several studies have documented the profitability of investment strategies exposed to value, size and momentum.1 In a recent paper, Fama and French (2012) examine internati ...
... We examine the role of country indices in building a globally diversified portfolio of market, value, size and momentum premia. Several studies have documented the profitability of investment strategies exposed to value, size and momentum.1 In a recent paper, Fama and French (2012) examine internati ...
The Role of Size and Book-to-Market Ratio as Proxies for
... studies, a number of papers have argued that, in line with rational asset pricing, size and BE/ME proxy for additional non-diversifiable risk factors, such as that of relative financial distress. Consistent with the “fundamental risk” explanation, FF(1993) developed a popular three-factor asset pric ...
... studies, a number of papers have argued that, in line with rational asset pricing, size and BE/ME proxy for additional non-diversifiable risk factors, such as that of relative financial distress. Consistent with the “fundamental risk” explanation, FF(1993) developed a popular three-factor asset pric ...
Financial Statement Analysis and Security Valuation
... Unrealized holding gains and losses for trading securities should be included in earnings. Unrealized holding gains and losses for availablefor-sale securities (including those classified as current assets) should be excluded from net income and reported as a net amount in other comprehensive income ...
... Unrealized holding gains and losses for trading securities should be included in earnings. Unrealized holding gains and losses for availablefor-sale securities (including those classified as current assets) should be excluded from net income and reported as a net amount in other comprehensive income ...
Affine Term Structure Modeling and Macroeconomic Risks at the
... under the physical measure allows to compute macroeconomic forecasts, nominal and real interest rate forecasts, and impulse-response functions with closed-form formulas. Last, the gamma-zero distribution produces lifto probabilities available as closed-form functions of macroeconomic variables und ...
... under the physical measure allows to compute macroeconomic forecasts, nominal and real interest rate forecasts, and impulse-response functions with closed-form formulas. Last, the gamma-zero distribution produces lifto probabilities available as closed-form functions of macroeconomic variables und ...