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Author: Zhaowei Wang
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 210
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"This dissertation mainly focuses on asset pricing and risk management in financial markets"--Abstract.
Author: Zhaowei Wang
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 210
Get Book Here
Book Description
"This dissertation mainly focuses on asset pricing and risk management in financial markets"--Abstract.
Author: Hilal Yilmaz
Publisher:
ISBN: 9780542991127
Category :
Languages : en
Pages : 59
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Book Description
This thesis aims to develop techniques for improving portfolio optimization. The second chapter presents an improved covariance matrix estimator in the mean-variance optimization setting. Sample covariance matrix can be singular when the number of observations is less than the number of assets, and nearly singular when the number of observations exceeds the number of assets. Since the sample covariance matrix is not well-conditioned, using it as an input in mean-variance optimization can result in unreasonable "optimal" portfolios and badly biased estimates of Sharpe ratios. We address this problem by imposing constraints on the Sharpe ratio, asset return variances, and the variance of the global minimum variance portfolio. Our simulations show that the Constrained Maximum Likelihood Estimator (CMLE) performs better than the sample covariance matrix. Moreover, when the shrinkage approach is applied to the CMLE and single index covariance matrix, it performs better than the shrinkage of the sample covariance matrix and the single index covariance matrix of Ledoit and Wolf (2004). During the last two decades Value-at-Risk (VaR) has become the most commonly used measure of market risk due to its ease of calculation and simple interpretation. However, VaR has some undesirable mathematical characteristics such as lack of subadditivity and convexity. Conditional Value-at-Risk (CVaR), defined as the expected loss conditional on a loss larger than the VaR is an intuitively appealing coherent risk measure (Artzner et al. (1999)). However, tractable methods to optimize portfolios based on CVaR are not readily available. In the third chapter, we use the volatility dispersion trading strategy to illustrate that the quantile regression approach developed by Bassett et al. (2004) to risk management with CVaR allows for the easy solution of this otherwise difficult hedging and optimization problem. Credit risk is more difficult to model than market risk because the loss distribution is asymmetric and "fat-tailed" relative to the normal distribution. In the fourth chapter, we use a standard bond portfolio to demonstrate that credit risk optimization can be carried out using the quantile regression approach to compute CVaR developed by Bassett et al. (2004).
Author: Lin Zou
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Biplab K. Ghosh
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ISBN:
Category :
Languages : en
Pages : 0
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Author: Thomas H. Noe
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 370
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Author: Harry Charles DeAngelo
Publisher:
ISBN:
Category : Capital productivity
Languages : en
Pages : 204
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Author: Da Ke
Publisher:
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Category :
Languages : en
Pages :
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My dissertation examines economic determinants of household financial decisions and investor behaviors. It contains three essays. The first essay investigates whether gender norms shape intra-household financial decision making. Analyzing microdata covering more than 30 million U.S. households, I document that families with a financially sophisticated husband are more likely to participate in the stock market than those with a wife of equal financial sophistication. Consistent with the gender norm hypothesis, the baseline effect is attenuated among individuals brought up by working mothers, but becomes stronger among descendants of pre-industrial societies in which women specialized in activities within the home and households with a husband born and raised in a southern state. A randomized controlled experiment further reveals that female identity hinders idea contribution by the wife. In contrast, male identity causes men to be less open to an opposing viewpoint of their wife, even if her proposition in optimal. These things suggest that gender identity norms can have real consequences for household financial well-being. The second essay explores the impact of local agglomeration economies on stock market participation. We find that when the industry in which individuals work is locally agglomerated, they are more likely to participate in the stock market. Further, we show that this relationship is especially strong among skilled workers. We find that the local agglomeration effect is not explained by risk tolerance, worker inertia, or a preference for stocks of firms that are in the same industry as the worker. Instead, our findings are consistent with local agglomeration enhancing human capital and in turn, raising workers' optimal allocations to risky assets. More generally, our analysis underscores the role of geography in shaping human capital and household financial decisions. The third essay examines whether momentum in stock prices is induced by changes in the political environment. We find that momentum profits are concentrated among politically sensitive firms and industries. A trading strategy with a long position in winner portfolios that are politically unfavored and a short position in losers that are politically favored eliminates all momentum profits. Further, our political sensitivity based factor explains 25% (40%) of monthly stock (industry) momentum alphas. Collectively, our results suggest that investor underreaction to political information generates momentum in stock and industry returns.
Author: Andrey Dmitrievich Ukhov
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Benjamin Grosse Rueschkamp
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ISBN:
Category :
Languages : en
Pages : 0
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Author: Gustavo Da Silva Cortes Goncalves
Publisher:
ISBN:
Category :
Languages : en
Pages :
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