Shortfall Returns And Shortfall Risk

DOWNLOAD

Download Shortfall Returns And Shortfall Risk PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Shortfall Returns And Shortfall Risk book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page

Shortfall Returns And Shortfall Risk

DOWNLOAD
Author : Peter Albrecht
language : de
Publisher:
Release Date : 1993

Shortfall Returns And Shortfall Risk written by Peter Albrecht and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.

Asset Allocation Based On Shortfall Risk

DOWNLOAD
Author : Denisa Čumova
language : en
Publisher:
Release Date : 2005

Asset Allocation Based On Shortfall Risk written by Denisa Čumova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

Return Targets And Shortfall Risks

DOWNLOAD
Author : Martin L. Leibowitz
language : en
Publisher: Irwin Professional Publishing
Release Date : 1996

Return Targets And Shortfall Risks written by Martin L. Leibowitz and has been published by Irwin Professional Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Business & Economics categories.

The shortfall risk measure provides the advantage of treating higher expected returns as a cushion against the full impact of volatility, and it can also be used to help the fund maintain its minimum target levels as interest rates change.

A Note On The Link Between Asymmetric Risk And Shortfall Risk

DOWNLOAD
Author : Ba M. Chu
language : en
Publisher:
Release Date : 2008

A Note On The Link Between Asymmetric Risk And Shortfall Risk written by Ba M. Chu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

Practitioners often choose intuitive measures of risk which are possibly neither coherent nor consistent with the second order stochastic dominance (SSD) in order to reflect their risk characteristic (i.e., aversion to losses and preference to gains). An example of such risk measures which have such characteristic is the exponential weighted mean square risk EWMSR). On the other hand, academics have proposed to use SSD preserving risk measures such as the shortfall probability which is a special case of mean-lower partial moments or the expected shortfall. The purpose of this note is threefold. First, we propose the linear exponential (LINEX) weighed variance as a measure of asymmetric risk. Like the EWMSR, the LINEX risk measure gives heavier penalty to losses than gains. However, the penalty to losses is higher for the LINEX risk measure than the EWMSR. Second, using the large deviations theory, we show that given a sufficiently large portfolio, investors who are inverse to shortfall risk will reasonably choose to maximize the Lagrangian utility function of the one-period portfolio return associated with an symmetric risk measure. Third, we provide a measure of the deviation between the minimum shortfall risk and a minimum asymmetric risk; and whence propose conditions under which the optimal asymmetric risk and the optimal shortfall risk can be reconciled. This suggests a possibility to approximate a SSD inconsistent risk measure of a large portfolio with a SSD consistent one.

Expected Shortfall An Alternative Risk Measure To Value At Risk

DOWNLOAD
Author : Shiu-Wah Chu
language : en
Publisher:
Release Date : 2020

Expected Shortfall An Alternative Risk Measure To Value At Risk written by Shiu-Wah Chu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.

Value-at-Risk is a risk measure that is simplistic to model and is widely used by financial institutions. However, it does not provide indication on how much you may loss when the return falls at the tail end of the distribution. As an alternative, Expected Shortfall models the potential loss when the return reaches the tail end of the distribution, but it is less straight forward to model. This project will develop Python scripts to model both risk measures under similar criteria demanded by regulators - Basel and FCA - using historical simulation on returns data of S&P 500 index, large-cap technology stocks and banking stocks. The project will focus on the worst 25 returns and evaluate if Expected Shortfall is better than Value-at-Risk as a risk measure against loss.

The Effect Of Shortfall As A Risk Measure For Portfolios With Hedge Funds

DOWNLOAD
Author : Andre Lucas
language : en
Publisher:
Release Date : 2007

The Effect Of Shortfall As A Risk Measure For Portfolios With Hedge Funds written by Andre Lucas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

Current research suggests that the large downside risk in hedge fund returns disqualifies the variance as an appropriate risk measure. For example, one can easily construct portfolios with nonlinear pay-offs that have both a high Sharpe ratio and a high downside risk. This paper examines the consequences of shortfall-based risk measures in the context of portfolio optimization. In contrast to popular belief, we show that negative skewness for optimal mean-shortfall portfolios can be much greater than for mean-variance portfolios. Using empirical hedge fund return data we show that the optimal mean-shortfall portfolio substantially reduces the probability of small shortfalls at the expense of an increased extreme crash probability. We explain this by proving analytically under what conditions short-put payoffs are optimal for a mean-shortfall investor. Finally, we show that quadratic shortfall or semivariance is less prone to these problems. This suggests that the precise choice of the downside risk measure is highly relevant for optimal portfolio construction under loss averse preferences.

Hands On Value At Risk And Expected Shortfall

DOWNLOAD
Author : Martin Auer
language : en
Publisher: Springer
Release Date : 2018-02-01

Hands On Value At Risk And Expected Shortfall written by Martin Auer and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-01 with Business & Economics categories.

This book describes a maximally simple market risk model that is still practical and main risk measures like the value-at-risk and the expected shortfall. It outlines the model's (i) underlying math, (ii) daily operation, and (iii) implementation, while stripping away statistical overhead to keep the concepts accessible. The author selects and weighs the various model features, motivating the choices under real-world constraints, and addresses the evermore important handling of regulatory requirements. The book targets not only practitioners new to the field but also experienced market risk operators by suggesting useful data analysis procedures and implementation details. It furthermore addresses market risk consumers such as managers, traders, and compliance officers by making the model behavior intuitively transparent. A very useful guide to the theoretical and practical aspects of implementing and operating a risk-monitoring system for a mid-size financial institution. It sets a common body of knowledge to facilitate communication between risk managers, computer and investment specialists by bridging their diverse backgrounds. Giovanni Barone-Adesi — Professor, Universitá della Svizzera italiana This unassuming and insightful book starts from the basics and plainly brings the reader up to speed on both theory and implementation. Shane Hegarty — Director Trade Floor Risk Management, Scotiabank Visit the book’s website at www.value-at-risk.com.

Shortfall Risks Of Stocks In The Long Run

DOWNLOAD
Author : Raimond Maurer
language : en
Publisher:
Release Date : 2005

Shortfall Risks Of Stocks In The Long Run written by Raimond Maurer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

As a contribution to the discussion on the risks of stocks in the long run the present paper analyses the shortfall risks of stocks using the risk measures shortfall probability, mean excess loss and shortfall expectation for various deterministic as well as a stochastic benchmark. As a main result it is shown that there is no time diversification with respect to mean excess loss, which can be considered as a measure of worst case risk.

Estimating Value At Risk And The Expected Shortfall For Heteroscedastic Financial Log Returns

DOWNLOAD
Author : Weiwei Wu
language : en
Publisher:
Release Date : 2003

Estimating Value At Risk And The Expected Shortfall For Heteroscedastic Financial Log Returns written by Weiwei Wu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.

Keywords: tree-GARCH, heteroscedastic, the Expected Shortfall, Value at Risk.

Backtesting Value At Risk And Expected Shortfall

DOWNLOAD
Author : Simona Roccioletti
language : en
Publisher: Springer
Release Date : 2015-12-04

Backtesting Value At Risk And Expected Shortfall written by Simona Roccioletti and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-04 with Business & Economics categories.

In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she investigates the issue related to the backtesting of Expected Shortfall. The main contribution of the work is the application of "Test 1" and "Test 2" developed by Acerbi and Szekely (2014) on different models and for five global market indexes.