# A melhor ferramenta para a sua pesquisa, trabalho e TCC!

Página 3 dos resultados de 1465 itens digitais encontrados em 0.010 segundos

- Biblioteca Digitais de Teses e Dissertações da USP
- Universidade Federal do Rio Grande do Sul
- MIT Press
- MIT - Massachusetts Institute of Technology
- Banco Mundial
- World Bank, Washington, DC
- Universidad Carlos III de Madrid; Universidad Politécnica de Madrid; Universidad Rey Juan Carlos
- Washington, DC: World Bank
- Universidade do Rosário
- Universidade Cornell
- Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
- Financial Markets Group, London School of Economics and Political Science
- Mais Publicadores...

## Modelos black-litterman e GARCH ortogonal para uma carteira de títulos do tesouro nacional; Black-Litterman and ortogonal GARCH models for a portfolio of bonds issued by the National Treasury

Fonte: Biblioteca Digitais de Teses e Dissertações da USP
Publicador: Biblioteca Digitais de Teses e Dissertações da USP

Tipo: Dissertação de Mestrado
Formato: application/pdf

Publicado em 02/03/2012
Português

Relevância na Pesquisa

36.52%

#Alocação de Ativos#Asset Allocation#Black-Litterman#Black-Litterman#Fixed Income.#GARCH Ortogonal#Markowitz#Markowtiz#Mean-Average#Média-Variância#National Treasury

Uma grande dificuldade da gestão financeira é conseguir associar métodos quantitativos às formas tradicionais de gestão, em um único arranjo. O estilo tradicional de gestão tende a não crer, na devida medida, que métodos quantitativos sejam capazes de captar toda sua visão e experiência, ao passo que analistas quantitativos tendem a subestimar a importância do enfoque tradicional, gerando flagrante desarmonia e ineficiência na análise de risco. Um modelo que se propõe a diminuir a distância entre essas visões é o modelo Black-Litterman. Mais especificamente, propõe-se a diminuir os problemas enfrentados na aplicação da teoria moderna de carteiras e, em particular, os decorrentes da aplicação do modelo de Markowitz. O modelo de Markowitz constitui a base da teoria de carteiras há mais de meio século, desde a publicação do artigo Portfolio Selection [Mar52], entretanto, apesar do papel de destaque da abordagem média-variância para o meio acadêmico, várias dificuldades aparecem quando se tenta utilizá-lo na prática, e talvez, por esta razão, seu impacto no mundo dos investimentos tem sido bastante limitado. Apesar das desvantagens na utilização do modelo de média-variância de Markowitz, a idéia de maximizar o retorno...

Link permanente para citações:

## Monitoramento sequencial do portfólio de mínima variância : um teste para o mercado brasileiro

Fonte: Universidade Federal do Rio Grande do Sul
Publicador: Universidade Federal do Rio Grande do Sul

Tipo: Trabalho de Conclusão de Curso
Formato: application/pdf

Português

Relevância na Pesquisa

36.48%

#Mercado de ações#Portfolio optimization#Minimum variance portfolio#Estimação#Investimento#Sequential monitoring#Control charts#Risco#Brasil

A possibilidade de ocorrência de erros na estimação de parâmetros gera riscos de estimação para a abordagem de otimização de carteiras por média-variância. Por esse motivo, tanto pesquisadores como profissionais de mercado tem dedicado grande atenção a carteiras de mínima variância, que estão sujeitas a um nível menor de erros de estimação. Apesar de possuir vantagens, essa abordagem também enfrenta dificuldades, em especial por existir ampla evidência da existência de quebras estruturais no segundo momento da distribuição de probabilidade dos retornos dos ativos. Por esse motivo, Golosnoy e Schmid (2007) propõem uma estratégia de investimento baseado no monitoramento sequencial dos pesos do portfólio de mínima variância. O monitoramento proposto por eles é feito através de uma ferramenta chamada gráfico de controle. Neste trabalho, propomos um teste empiríco para quantificar os efeitos econômicos resultantes da aplicação dessa estratégia de investimento a uma carteira de 40 ações negociadas na BM&F Bovespa. Os dados de nosso teste empiríco indicam que essa estratégia dinâmica de investimento produz resultados econômicos significativos, com sua aplicação gerando ganhos em todos os três critérios de avaliação analisados: excesso de retorno absoluto...

Link permanente para citações:

## Fight or Flight? Portfolio Rebalancing by Individual Investors

Fonte: MIT Press
Publicador: MIT Press

Português

Relevância na Pesquisa

36.58%

This paper investigates the dynamics of individual portfolios in a unique dataset
containing the disaggregated wealth of all households in Sweden. Between 1999
and 2002, we observe little aggregate rebalancing in the financial portfolio of participants. These patterns conceal strong household-level evidence of active rebalancing, which on average offsets about one half of idiosyncratic passive variations in the risky asset share. Wealthy, educated investors with better diversified portfolios
tend to rebalance more actively. We found some evidence that households rebalance
towards a higher risky share as they become richer. We also study the decisions to
trade individual assets. Households are more likely to fully sell directly held stocks
if those stocks have performed well, and more likely to exit direct stockholding if
their stock portfolios have performed well; but these relationships are much weaker
for mutual funds, a pattern which is consistent with previous research on the disposition effect among direct stockholders and performance sensitivity among mutual
fund investors. When households continue to hold individual assets, however, they
rebalance both stocks and mutual funds to offset about one sixth of the passive variations in individual asset shares. Households rebalance primarily by adjusting
purchases of risky assets if their risky portfolios have performed poorly...

Link permanente para citações:

## Portfolio Rebalancing: A Test of the Markowitz-Van Dijk Heuristic

Fonte: MIT - Massachusetts Institute of Technology
Publicador: MIT - Massachusetts Institute of Technology

Tipo: Trabalho em Andamento

Português

Relevância na Pesquisa

36.54%

Institutional investors usually employ mean-variance analysis to determine optimal
portfolio weights. Almost immediately upon implementation, however, the portfolio’s
weights become sub-optimal as changes in asset prices cause the portfolio to drift away
from the optimal targets. In an idealized world without transaction costs investors would
rebalance continually to the optimal weights. In the presence of transaction costs
investors must balance the cost of sub-optimality with the cost of restoring the optimal
weights. We apply a quadratic heuristic to address the asset weight drift problem, and we
compare it to a dynamic programming solution as well as to standard industry heuristics.
Our tests reveal that the quadratic heuristic provides solutions that are remarkably close
to the dynamic programming solutions for those cases in which dynamic programming is
feasible and far superior to solutions based on standard industry heuristics. In the case of
five assets, in fact, it performs better than dynamic programming due to approximations
required to implement the dynamic programming algorithm. Moreover, unlike the
dynamic programming solution, the quadratic heuristic is scalable to as many as several
hundreds assets.

Link permanente para citações:

## Risks, Ex-ante Actions and Public Assistance : Impacts of Natural Disasters on Child Schooling in Bangladesh, Ethiopia and Malawi

Fonte: Banco Mundial
Publicador: Banco Mundial

Português

Relevância na Pesquisa

36.54%

#ADVERSE IMPACT#ADVERSE IMPACTS#AGRICULTURE#ASSET ALLOCATION#ASSET HOLDING#ASSET HOLDINGS#BORROWING#CLIMATE CHANGE#COLLATERAL#CURRENT INCOME#DAMAGES

This paper examines the impacts of
natural disasters on schooling investments with special
focus on the roles of ex-ante actions and ex-post responses
using panel data from Bangladesh, Ethiopia, and Malawi. The
importance of ex-ante actions depends on disaster risks and
the likelihood of public assistance, which potentially
creates substitution between the two actions. The findings
show that higher future probabilities of disasters increase
the likelihood of holding more human capital and/or
livestock relative to land, and this asset-portfolio effect
is significant in disaster prone areas. The empirical
results support the roles of both ex-ante and ex-post
responses (public assistance) in coping with disasters, but
also show interesting variations across countries. In
Ethiopia, public assistance plays a more important role than
ex-ante actions to mitigate the impact of shocks on child
schooling. In contrast, households in Malawi rely more on
private ex-ante actions than public assistance. The
Bangladesh example shows active roles of both ex-ante and
ex-post actions. These observations are consistent with the
finding on the relationship between ex-ante actions and
disaster risks. The results also show that among ex-ante
actions...

Link permanente para citações:

## Taking the Bad with the Good : Volatility of Foreign Portfolio Investment and Financial Constraints of Small Firms

Fonte: World Bank, Washington, DC
Publicador: World Bank, Washington, DC

Português

Relevância na Pesquisa

36.5%

#ACCOUNTING#ASSET VALUE#ASSETS#BANKING CRISES#BANKRUPTCY#BOOK VALUE#BUSINESS CYCLES#CAPITAL FLOW#CAPITAL FLOWS#CAPITAL INFLOW#CAPITAL INFLOWS

The author examines the impact of the volatility of foreign portfolio investment on the financial constraints of small firms. Using a dataset of over 195,000 firm-year observations across 53 countries, she examines the impact of foreign portfolio investment instability on capital issuance and firm growth across countries and firm characteristics, in particular size. After controlling for the endogeneity of foreign portfolio investment instability, as well as for firm-, industry-, and country-level characteristics such as GDP growth, as well as the levels of foreign portfolio and direct investment, the author finds that the volatility of foreign portfolio investment is only significantly associated with a decreased ability to issue publicly-traded securities for small firms in years when nations are considered less "creditworthy." The volatility of foreign portfolio investment only hinders the growth of small firms significantly in periods when nations are deemed less "creditworthy." These results underscore both the significance of a good financial system that minimizes capital flow volatility, as well as the influence of property rights and country creditworthiness to instill confidence in foreign investors.

Link permanente para citações:

## The Use of "Asset Swaps" by Institutional Investors in South Africa

Fonte: World Bank, Washington, DC
Publicador: World Bank, Washington, DC

Português

Relevância na Pesquisa

36.49%

#ACCOUNTING#ANNUITIES#ASSET MANAGEMENT#ASSETS#BONDS#CAPITAL FLIGHT#CAPITAL FLOWS#CAPITAL MARKETS#CENTRAL BANK#CLEARING ARRANGEMENTS#COLLATERAL

Leading financial economists have
proposed the use of international asset swaps (Merton 1990,
Bodie and Merton 2002) as a way of efficiently achieving
international diversification without eroding the level of
foreign exchange reserves and weakening local market
development. International asset swaps entail limited
foreign currency flows (only net gains or losses need to be
exchanged). They protect foreign investors from market
manipulation and expropriation risk and have much lower
transaction costs than outright investments. But asset swaps
are constrained by the attractiveness of local markets to
foreign investors, and by various regulatory issues covering
counterparty risk and collateral considerations, and
accounting, valuation, and reporting rules. Institutional
investors are well developed in South Africa. Their total
assets corresponded in 2001 to 159 percent of GDP, a level
that was surpassed by only four high-income countries. But
because of the imposition of exchange controls, they lacked
international diversification. In July 1995 South Africa was
the first developing country that explicitly allowed its
pension funds and other institutional investors to make use
of "asset swaps." But the South African
authorities did not authorize the use of properly specified
swap contracts as described by Bodie and Merton...

Link permanente para citações:

## Capital requirements, good deals and portfolio insurance with risk measures

Fonte: Universidad Carlos III de Madrid; Universidad Politécnica de Madrid; Universidad Rey Juan Carlos
Publicador: Universidad Carlos III de Madrid; Universidad Politécnica de Madrid; Universidad Rey Juan Carlos

Tipo: info:eu-repo/semantics/submittedVersion; info:eu-repo/semantics/workingPaper

Publicado em /01/2010
Português

Relevância na Pesquisa

36.58%

General risk functions are becoming very important for managers, regulators and
supervisors. Many risk functions are interpreted as initial capital requirements that
a manager must add and invest in a risk-free security in order to protect the wealth
of his clients.
This paper deals with a complete arbitrage free pricing model and a general expectation
bounded risk measure, and it studies whether the investment of the capital
requirements in the risk-free asset is optimal. It is shown that it is not optimal in
many important cases. For instance, if the risk measure is the CV aR and we consider
the assumptions of the Black and Scholes model. Furthermore, in this framework and under short selling restrictions, the explicit expression of the optimal strategy is provided,
and it is composed of several put options. If the confidence level of the CV aR is
close to 100% then the optimal strategy becomes a classical portfolio insurance. This
theoretical result seems to be supported by some independent and recent empirical
analyses.
If there are no limits to sale the risk-free asset, i.e., if the manager can borrow
as much money as desired, then the framework above leads to the existence of “good
deals” (i.e., sequences of strategies whose V aR and CV aR tends to minus infinite
and whose expected return tends to plus infinite). The explicit expression of the
portfolio insurance strategy above has been used so as to construct effective good
deals. Furthermore...

Link permanente para citações:

## Pursuing Efficiency While Maintaining Outreach : Bank Privatization in Tanzania

Fonte: Washington, DC: World Bank
Publicador: Washington, DC: World Bank

Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research

Português

Relevância na Pesquisa

36.58%

#ACCESS TO BANKING#ACCESS TO BANKING SERVICES#ACCESS TO FINANCIAL SERVICES#ACCESS TO SERVICES#ACCOUNTING#AGRICULTURAL BANK#ASSET ALLOCATION#ASSET PORTFOLIO#ATMS#BALANCE SHEET#BALANCE SHEETS

Profitability improvements after the
privatization of a large state-owned bank might come at the
expense of reduced access to financial services for some
groups, especially the rural poor. The privatization of
Tanzania's National Bank of Commerce provides a unique
episode for studying this issue. The bank was split into the
"new" National Bank of Commerce, a commercial bank
that assumed most of the original bank's assets and
liabilities, and the National Microfinance Bank, which
assumed most of the branch network and the mandate to foster
access to financial services. The new National Bank of
Commerce's profitability and portfolio quality improved
although credit growth was slow, in line with privatization
experiences in other developing countries. Finding a buyer
for the National Microfinance Bank proved very difficult,
although after years under contract management by private
banking consultants, Rabobank of the Netherlands emerged as
a purchaser. Profitability has since improved and lending
has slowly grown...

Link permanente para citações:

## Confidence sets for asset correlations in portfolio credit risk; Conjuntos de confianza para la correlación de activos en el riesgo de crédito de un portafolio

Fonte: Universidade do Rosário
Publicador: Universidade do Rosário

Tipo: Artigo de Revista Científica
Formato: application/pdf; application/pdf

Publicado em //
Português

Relevância na Pesquisa

36.58%

#Asset correlation, non-Gaussian state space models, Bayesian estimation techniques, zero-inflated binomial models#Correlación de activos, modelos espacio estado no gausianos, téncicas de estimación bayesiana, modelo binomial con inflación cero

Asset correlations are of critical importance in quantifying portfolio credit risk and economic capitalin financial institutions. Estimation of asset correlation with rating transition data has focusedon the point estimation of the correlation without giving any consideration to the uncertaintyaround these point estimates. In this article we use Bayesian methods to estimate a dynamicfactor model for default risk using rating data (McNeil et al., 2005; McNeil and Wendin, 2007).Bayesian methods allow us to formally incorporate human judgement in the estimation of assetcorrelation, through the prior distribution and fully characterize a confidence set for the correlations.Results indicate: i) a two factor model rather than the one factor model, as proposed bythe Basel II framework, better represents the historical default data. ii) importance of unobservedfactors in this type of models is reinforced and point out that the levels of the implied asset correlationscritically depend on the latent state variable used to capture the dynamics of default,as well as other assumptions on the statistical model. iii) the posterior distributions of the assetcorrelations show that the Basel recommended bounds, for this parameter, undermine the levelof systemic risk.; Las correlaciones entre los activos de un portafolio crediticio...

Link permanente para citações:

## Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 28/02/2011
Português

Relevância na Pesquisa

36.58%

#Quantitative Finance - Portfolio Management#Mathematics - Optimization and Control#Quantitative Finance - Risk Management#Statistics - Applications#91G10, 90C30, 62P05

We show how to reduce the problem of computing VaR and CVaR with Student T
return distributions to evaluation of analytical functions of the moments. This
allows an analysis of the risk properties of systems to be carefully attributed
between choices of risk function (e.g. VaR vs CVaR); choice of return
distribution (power law tail vs Gaussian) and choice of event frequency, for
risk assessment. We exploit this to provide a simple method for portfolio
optimization when the asset returns follow a standard multivariate T
distribution. This may be used as a semi-analytical verification tool for more
general optimizers, and for practical assessment of the impact of fat tails on
asset allocation for shorter time horizons.

Link permanente para citações:

## Portfolio Optimization Under Uncertainty

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

36.54%

Classical mean-variance portfolio theory tells us how to construct a
portfolio of assets which has the greatest expected return for a given level of
return volatility. Utility theory then allows an investor to choose the point
along this efficient frontier which optimally balances her desire for excess
expected return against her reluctance to bear risk. The means and covariances
of the distributions of future asset returns are assumed to be known, so the
only source of uncertainty is the stochastic piece of the price evolution.
In the real world, we have another source of uncertainty - we estimate but
don't know with certainty the means and covariances of future asset returns.
This note explains how to construct mean-variance optimal portfolios of assets
whose future returns have uncertain means and covariances. The result is simple
in form, intuitive, and can easily be incorporated in an optimizer.

Link permanente para citações:

## Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 12/06/2012
Português

Relevância na Pesquisa

36.58%

#Quantitative Finance - Risk Management#Mathematics - Probability#Mathematics - Statistics Theory#Quantitative Finance - Portfolio Management#Statistics - Applications#91G10, 91G70

We introduce a trade strategy representation theorem for performance
measurement and portable alpha in high frequency trading, by embedding a robust
trading algorithm that describe portfolio manager market timing behavior, in a
canonical multifactor asset pricing model. First, we present a spectral test
for market timing based on behavioral transformation of the hedge factors
design matrix. Second, we find that the typical trade strategy process is a
local martingale with a background driving Brownian bridge that mimics
portfolio manager price reversal strategies. Third, we show that equilibrium
asset pricing models like the CAPM exists on a set with P-measure zero. So that
excess returns, i.e. positive alpha, relative to a benchmark index is robust to
no arbitrage pricing in turbulent capital markets. Fourth, the path properties
of alpha are such that it is positive between suitably chosen stopping times
for trading. Fifth, we demonstrate how, and why, econometric tests of portfolio
performance tend to under report positive alpha.; Comment: 15 pages, 0 figures

Link permanente para citações:

## Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 15/05/2015
Português

Relevância na Pesquisa

36.51%

Using daily returns of the S&P 500 stocks from 2001 to 2011, we perform a
backtesting study of the portfolio optimization strategy based on the extreme
risk index (ERI). This method uses multivariate extreme value theory to
minimize the probability of large portfolio losses. With more than 400 stocks
to choose from, our study seems to be the first application of extreme value
techniques in portfolio management on a large scale. The primary aim of our
investigation is the potential of ERI in practice. The performance of this
strategy is benchmarked against the minimum variance portfolio and the equally
weighted portfolio. These fundamental strategies are important benchmarks for
large-scale applications. Our comparison includes annualized portfolio returns,
maximal drawdowns, transaction costs, portfolio concentration, and asset
diversity in the portfolio. In addition to that we study the impact of an
alternative tail index estimator. Our results show that the ERI strategy
significantly outperforms both the minimum-variance portfolio and the equally
weighted portfolio on assets with heavy tails.; Comment: Manuscript accepted in the Journal of Empirical Finance

Link permanente para citações:

## Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 29/10/2014
Português

Relevância na Pesquisa

36.54%

In this work, we consider the optimal portfolio selection problem under hard
constraints on trading amounts, transaction costs and different rates for
borrowing and lending when the risky asset returns are serially correlated. No
assumptions about the correlation structure between different time points or
about the distribution of the asset returns are needed. The problem is stated
as a dynamic tracking problem of a reference portfolio with desired return. Our
approach is tested on a set of a real data from Russian Stock Exchange MICEX.; Comment: arXiv admin note: substantial text overlap with arXiv:1410.1136

Link permanente para citações:

## Merton problem with one additional indivisible asset

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 13/03/2014
Português

Relevância na Pesquisa

36.54%

In this paper we consider a modification of the classical Merton portfolio
optimization problem. Namely, an investor can trade in financial asset and
consume his capital. He is additionally endowed with a one unit of an
indivisible asset which he can sell at any time. We give a numerical example of
calculating the optimal time to sale the indivisible asset, the optimal
consumption rate and the value function.

Link permanente para citações:

## On the role of F\"ollmer-Schweizer minimal martingale measure in Risk Sensitive control Asset Management

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

36.54%

Kuroda and Nagai \cite{KN} state that the factor process in the Risk
Sensitive control Asset Management (RSCAM) is stable under the
F\"ollmer-Schweizer minimal martingale measure . Fleming and Sheu \cite{FS} and
more recently F\"ollmer and Schweizer \cite{FoS} have observed that the role of
the minimal martingale measure in this portfolio optimization is yet to be
established. In this article we aim to address this question by explicitly
connecting the optimal wealth allocation to the minimal martingale measure. We
achieve this by using a "trick" of observing this problem in the context of
model uncertainty via a two person zero sum stochastic differential game
between the investor and an antagonistic market that provides a probability
measure. We obtain some startling insights. Firstly, if short-selling is not
permitted and if the factor process evolves under the minimal martingale
measure then the investor's optimal strategy can only be to invest in the
riskless asset (i.e. the no-regret strategy). Secondly, if the factor process
and the stock price process have independent noise, then even if the market
allows short selling, the optimal strategy for the investor must be the
no-regret strategy while the factor process will evolve under the minimal
martingale measure .; Comment: A.Deshpande (2015)...

Link permanente para citações:

## Estimation of the Global Minimum Variance Portfolio in High Dimensions

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

36.54%

#Quantitative Finance - Statistical Finance#Mathematics - Statistics Theory#Quantitative Finance - Portfolio Management

We estimate the global minimum variance (GMV) portfolio in the
high-dimensional case using results from random matrix theory. This approach
leads to a shrinkage-type estimator which is distribution-free and it is
optimal in the sense of minimizing the out-of-sample variance. Its asymptotic
properties are investigated assuming that the number of assets $p$ depends on
the sample size $n$ such that $\frac{p}{n}\rightarrow c\in (0,+\infty)$ as $n$
tends to infinity. The results are obtained under weak assumptions imposed on
the distribution of the asset returns, namely it is only required the fourth
moments existence. Furthermore, we make no assumption on the upper bound of the
spectrum of the covariance matrix. As a result, the theoretical findings are
also valid if the dependencies between the asset returns are described by a
factor model which appears to be very popular in financial literature nowadays.
This is also well-documented in a numerical study where the small- and
large-sample behavior of the derived estimator are compared with existing
estimators of the GMV portfolio. The resulting estimator shows significant
improvements and it turns out to be robust to the deviations from normality.; Comment: 38 pages inc. 16 figures. Revised and corrected version

Link permanente para citações:

## Alocação de ativos no mercado acionário brasileiro segundo o conceito de downside risk; Asset allocation in the Brazilian stock market according to the downside risk strategy

Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade

Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; ; ; ;
Formato: application/pdf

Publicado em 01/06/2006
Português

Relevância na Pesquisa

36.54%

#Risco Assimétrico#Alocação de Ativos#Semivariância#Fronteira Eficiente#Otimização de Portfólio#Downside Risk#Asset Allocation#Semi-variance#Efficient Frontier#Portfolio Optimization

The traditional mean-variance approach for building efficient portfolios was compared to the downside risk approach that substitutes variance of returns by semi-variance or another lower partial momentum of returns. Empirical investigation searched for efficient frontiers using both approaches and strategies for asset allocation which were simulated for comparison. The downside risk approach was shown to be superior in terms of efficiency when investors had asymmetric preferences related to risk. Further the strategy of minimizing downside risk effectively provided greater protection against losses when compared to the strategy of variance minimization, for asset allocation.; O artigo compara a abordagem tradicional de média-variância na determinação de portfólios eficientes com a abordagem de risco assimétrico (downside risk), que substitui a variância pela semivariância ou outro LPM (Lower Partial Moment). Um estudo empírico é realizado para obter as fronteiras eficientes usando-se ambas as abordagens, e estratégias de alocação de ativos são simuladas e comparadas. Resultados demonstram que, se os investidores possuem preferências assimétricas em relação ao risco, a abordagem de média-semivariância é superior em termos de eficiência. Adicionalmente...

Link permanente para citações:

## Loan securitisation: default term structure and asset pricing based on loss prioritisation

Fonte: Financial Markets Group, London School of Economics and Political Science
Publicador: Financial Markets Group, London School of Economics and Political Science

Tipo: Monograph; NonPeerReviewed
Formato: application/pdf

Publicado em /08/2002
Português

Relevância na Pesquisa

36.54%

Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan obligations (CLOs) as an important balance sheet management tool. CLOs represent a specialised form of Asset-Backed Securitisation (ABS), with investors acquiring a structured claim on the interest proceeds generated from a portfolio of bank loans in the form of tranches with different seniority. By way of modelling Merton-type risk-neutral asset returns of contingent claims on a multi-asset portfolio of corporate loans in a CLO transaction, we analyse the optimal design of loan securitisation from the perspective of credit risk in potential collateral default. We propose a pricing model that draws on a careful simulation of expected loan loss based on parametric bootstrapping through extreme value theory (EVT). The analysis illustrates the dichotomous effect of loss cascading, as the most junior tranche of CLO transactions exhibits a distinctly different default tolerance compared to the remaining tranches. By solving the puzzling question of properly pricing the risk premium for expected credit loss, we explain the rationale of first loss retention as credit risk cover on the basis of our simulation results for pricing purposes under the impact of asymmetric information.

Link permanente para citações: