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Extreme events [[electronic resource] ] : robust portfolio construction in the presence of fat tails / / Malcolm H.D. Kemp
| Extreme events [[electronic resource] ] : robust portfolio construction in the presence of fat tails / / Malcolm H.D. Kemp |
| Autore | Kemp Malcolm H. D |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (336 p.) |
| Disciplina | 332.6 |
| Collana | Wiley finance |
| Soggetto topico |
Exchange traded funds
Portfolio management |
| ISBN |
1-119-96287-0
1-119-20703-7 1-283-23953-1 9786613239532 0-470-97679-9 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface -- Acknowledgements -- Abbreviations -- Notation -- 1 Introduction -- 1.1 Extreme events -- 1.2 The portfolio construction problem -- 1.3 Coping with really extreme events -- 1.4 Risk budgeting -- 1.5 Elements designed to maximise benefit to readers -- 1.6 Book structure -- 2. Fat Tails - In Single (i.e. Univariate) Return Series -- 2.1 Introduction -- 2.2 A fat tail relative to what? -- 2.3 Empirical examples of fat-tailed behaviour in return series -- 2.4 Characterising fat-tailed distributions by their moments -- 2.5 What causes fat tails? -- 2.6 Lack of diversification -- 2.7 A time-varying world -- 2.8 Stable distributions -- 2.9 Extreme value theory (EVT) -- 2.10 Parsimony -- 2.11 Combining different possible source mechanisms -- 2.12 The practitioner perspective -- 2.13 Implementation challenges -- 3. Fat Tails - In Joint (i.e. Multivariate) Return Series -- 3.1 Introduction -- 3.2 Visualisation of fat tails in multiple return series -- 3.3 Copulas and marginals - Sklar's theorem -- 3.4 Example analytical copulas -- 3.5 Empirical estimation of fat tails in joint return series -- 3.6 Causal dependency models -- 3.7 The practitioner perspective -- 3.8 Implementation challenges -- 4. Identifying Factors That Significantly Influence Markets -- 4.1 Introduction -- 4.2 Portfolio risk models -- 4.3 Signal extraction and principal components analysis -- 4.4 Independent Components Analysis -- 4.5 Blending together PCA and ICA -- 4.6 The potential importance of selection effects -- 4.7 Market dynamics -- 4.8 Distributional mixtures -- 4.9 The practitioner perspective -- 4.10 Implementation challenges -- 5. Traditional Portfolio Construction Techniques -- 5.1 Introduction -- 5.2 Quantitative versus qualitative approaches? -- 5.3 Risk-return optimisation -- 5.4 More general features of mean-variance optimisation -- 5.5 Manager Selection -- 5.6 Dynamic optimisation -- 5.7 Portfolio construction in the presence of transaction costs -- 5.8 Risk budgeting -- 5.9 Backtesting portfolio construction techniques -- 5.10 Reverse optimisation and implied view analysis -- 5.11 Portfolio optimisation with options -- 5.12 The practitioner perspective -- 5.13 Implementation challenges -- 6. Robust Mean-Variance Portfolio Construction -- 6.1 Introduction -- 6.2 Sensitivity to the input assumptions -- 6.3 Certainty equivalence, credibility weighting and Bayesian statistics -- 6.4 Traditional robust portfolio construction approaches -- 6.5 Shrinkage -- 6.6 Bayesian approaches applied to position sizes -- 6.7 The 'universality' of Bayesian approaches -- 6.8 Market consistent portfolio construction -- 6.9 Re-sampled mean-variance portfolio optimisation -- 6.10 The practitioner perspective -- 6.11 Implementation challenges -- 7. Regime Switching and Time-Varying Risk and Return Parameters -- 7.1 Introduction -- 7.2 Regime switching -- 7.3 Investor utilities -- 7.4 Optimal portfolio allocations for regime switching models -- 7.5 Links with derivative pricing theory -- 7.6 Transaction costs -- 7.7 Incorporating more complex autoregressive behaviour -- 7.8 Incorporating more intrinsically fat-tailed behaviour -- 7.9 More heuristic ways of handling fat tails -- 7.10 The practitioner perspective -- 7.11 Implementation challenges -- 8. Stress Testing -- 8.1 Introduction -- 8.2 Limitations of current stress testing methodologies -- 8.3 Traditional stress testing approaches -- 8.4 Reverse stress testing -- 8.5 Taking due account of stress tests in portfolio construction -- 8.6 Designing stress tests statistically -- 8.7 The practitioner perspective -- 8.8 Implementation challenges -- 9. Really Extreme Events -- 9.1 Introduction -- 9.2 Thinking outside the box -- 9.3 Portfolio purpose -- 9.4 Uncertainty as a fact of life -- 9.5 Market implied data -- 9.6 The importance of good governance and operational management -- 9.7 The practitioner perspective -- 9.8 Implementation challenges -- 10. The Final Word -- 10.1 Conclusions -- 10.2 Portfolio construction principles in the presence of fat tails -- Appendix: Exercises -- A.1 Introduction -- A.2 Fat Tails - In Single (i.e. Univariate) Return Series -- A.3 Fat Tails - In Joint (i.e. Multivariate) Return Series -- A.4 Identifying Factors That Significantly Influence Markets -- A.5 Traditional Portfolio Construction Techniques -- A.6 Robust Mean-Variance Portfolio Construction -- A.7 Regime Switching and Time-Varying Risk and Return Parameters -- A.8 Stress Testing -- A.9 Really Extreme Events. |
| Record Nr. | UNINA-9910139608703321 |
Kemp Malcolm H. D
|
||
| Hoboken, N.J., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Extreme events [[electronic resource] ] : robust portfolio construction in the presence of fat tails / / Malcolm H.D. Kemp
| Extreme events [[electronic resource] ] : robust portfolio construction in the presence of fat tails / / Malcolm H.D. Kemp |
| Autore | Kemp Malcolm H. D |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (336 p.) |
| Disciplina | 332.6 |
| Collana | Wiley finance |
| Soggetto topico |
Exchange traded funds
Portfolio management |
| ISBN |
1-119-96287-0
1-119-20703-7 1-283-23953-1 9786613239532 0-470-97679-9 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface -- Acknowledgements -- Abbreviations -- Notation -- 1 Introduction -- 1.1 Extreme events -- 1.2 The portfolio construction problem -- 1.3 Coping with really extreme events -- 1.4 Risk budgeting -- 1.5 Elements designed to maximise benefit to readers -- 1.6 Book structure -- 2. Fat Tails - In Single (i.e. Univariate) Return Series -- 2.1 Introduction -- 2.2 A fat tail relative to what? -- 2.3 Empirical examples of fat-tailed behaviour in return series -- 2.4 Characterising fat-tailed distributions by their moments -- 2.5 What causes fat tails? -- 2.6 Lack of diversification -- 2.7 A time-varying world -- 2.8 Stable distributions -- 2.9 Extreme value theory (EVT) -- 2.10 Parsimony -- 2.11 Combining different possible source mechanisms -- 2.12 The practitioner perspective -- 2.13 Implementation challenges -- 3. Fat Tails - In Joint (i.e. Multivariate) Return Series -- 3.1 Introduction -- 3.2 Visualisation of fat tails in multiple return series -- 3.3 Copulas and marginals - Sklar's theorem -- 3.4 Example analytical copulas -- 3.5 Empirical estimation of fat tails in joint return series -- 3.6 Causal dependency models -- 3.7 The practitioner perspective -- 3.8 Implementation challenges -- 4. Identifying Factors That Significantly Influence Markets -- 4.1 Introduction -- 4.2 Portfolio risk models -- 4.3 Signal extraction and principal components analysis -- 4.4 Independent Components Analysis -- 4.5 Blending together PCA and ICA -- 4.6 The potential importance of selection effects -- 4.7 Market dynamics -- 4.8 Distributional mixtures -- 4.9 The practitioner perspective -- 4.10 Implementation challenges -- 5. Traditional Portfolio Construction Techniques -- 5.1 Introduction -- 5.2 Quantitative versus qualitative approaches? -- 5.3 Risk-return optimisation -- 5.4 More general features of mean-variance optimisation -- 5.5 Manager Selection -- 5.6 Dynamic optimisation -- 5.7 Portfolio construction in the presence of transaction costs -- 5.8 Risk budgeting -- 5.9 Backtesting portfolio construction techniques -- 5.10 Reverse optimisation and implied view analysis -- 5.11 Portfolio optimisation with options -- 5.12 The practitioner perspective -- 5.13 Implementation challenges -- 6. Robust Mean-Variance Portfolio Construction -- 6.1 Introduction -- 6.2 Sensitivity to the input assumptions -- 6.3 Certainty equivalence, credibility weighting and Bayesian statistics -- 6.4 Traditional robust portfolio construction approaches -- 6.5 Shrinkage -- 6.6 Bayesian approaches applied to position sizes -- 6.7 The 'universality' of Bayesian approaches -- 6.8 Market consistent portfolio construction -- 6.9 Re-sampled mean-variance portfolio optimisation -- 6.10 The practitioner perspective -- 6.11 Implementation challenges -- 7. Regime Switching and Time-Varying Risk and Return Parameters -- 7.1 Introduction -- 7.2 Regime switching -- 7.3 Investor utilities -- 7.4 Optimal portfolio allocations for regime switching models -- 7.5 Links with derivative pricing theory -- 7.6 Transaction costs -- 7.7 Incorporating more complex autoregressive behaviour -- 7.8 Incorporating more intrinsically fat-tailed behaviour -- 7.9 More heuristic ways of handling fat tails -- 7.10 The practitioner perspective -- 7.11 Implementation challenges -- 8. Stress Testing -- 8.1 Introduction -- 8.2 Limitations of current stress testing methodologies -- 8.3 Traditional stress testing approaches -- 8.4 Reverse stress testing -- 8.5 Taking due account of stress tests in portfolio construction -- 8.6 Designing stress tests statistically -- 8.7 The practitioner perspective -- 8.8 Implementation challenges -- 9. Really Extreme Events -- 9.1 Introduction -- 9.2 Thinking outside the box -- 9.3 Portfolio purpose -- 9.4 Uncertainty as a fact of life -- 9.5 Market implied data -- 9.6 The importance of good governance and operational management -- 9.7 The practitioner perspective -- 9.8 Implementation challenges -- 10. The Final Word -- 10.1 Conclusions -- 10.2 Portfolio construction principles in the presence of fat tails -- Appendix: Exercises -- A.1 Introduction -- A.2 Fat Tails - In Single (i.e. Univariate) Return Series -- A.3 Fat Tails - In Joint (i.e. Multivariate) Return Series -- A.4 Identifying Factors That Significantly Influence Markets -- A.5 Traditional Portfolio Construction Techniques -- A.6 Robust Mean-Variance Portfolio Construction -- A.7 Regime Switching and Time-Varying Risk and Return Parameters -- A.8 Stress Testing -- A.9 Really Extreme Events. |
| Record Nr. | UNINA-9910826805203321 |
|
Kemp Malcolm H. D
|
||
| Hoboken, N.J., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market consistency [[electronic resource] ] : model calibration in imperfect markets / / Malcolm H.D. Kemp
| Market consistency [[electronic resource] ] : model calibration in imperfect markets / / Malcolm H.D. Kemp |
| Autore | Kemp Malcolm H. D |
| Pubbl/distr/stampa | Chichester, U.K., : Wiley, c2009 |
| Descrizione fisica | 1 online resource (378 p.) |
| Disciplina |
332.0415
332/.0415 |
| Collana | Wiley finance |
| Soggetto topico |
Capital market
Banks and banking Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-470-68489-5
1-119-20718-5 1-283-23938-8 9786613239389 0-470-68279-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Market Consistency; Contents; Preface; Acknowledgements; Abbreviations; Notation; 1 Introduction; 1.1 Market consistency; 1.2 The primacy of the 'market'; 1.3 Calibrating to the 'market'; 1.4 Structure of the book; 1.5 Terminology; 2 When is and when isn't Market Consistency Appropriate?; 2.1 Introduction; 2.2 Drawing lessons from the characteristics of money itself; 2.2.1 The concept of 'value'; 2.2.2 The time value of money; 2.2.3 Axioms of additivity, scalability and uniqueness; 2.2.4 Market consistent valuations
2.2.5 Should financial practitioners always use market consistent valuations?2.2.6 Equity between parties; 2.2.7 Embedded values and franchise values; 2.2.8 Solvency calculations; 2.2.9 Pension fund valuations; 2.2.10 Bid-offer spreads; 2.3 Regulatory drivers favouring market consistent valuations; 2.4 Underlying theoretical attractions of market consistent valuations; 2.5 Reasons why some people reject market consistency; 2.6 Market making versus position taking; 2.7 Contracts that include discretionary elements; 2.8 Valuation and regulation; 2.9 Marking-to-market versus marking-to-model 2.10 Rational behaviour?3 Different Meanings given to 'Market Consistent Valuations'; 3.1 Introduction; 3.2 The underlying purpose of a valuation; 3.3 The importance of the 'marginal' trade; 3.4 Different definitions used by different standards setters; 3.4.1 Introduction; 3.4.2 US accounting - FAS 157; 3.4.3 Guidance on how to interpret FAS, IAS, IFRS, etc.; 3.4.4 EU insurance regulation - 'Solvency II'; 3.4.5 Market consistent embedded values; 3.4.6 UK pension fund accounting and solvency computation; 3.5 Interpretations used by other commentators; 3.5.1 Introduction 3.5.2 Contrasting 'market consistent' values with 'real world' values3.5.3 Stressing the aim of avoiding subjectivity where possible; 3.5.4 Extending 'market consistency' to other activities; 3.5.5 Application only if obvious market observables exist; 3.5.6 Hedgeable liabilities; 3.5.7 Fair valuation in an asset management context; 4 Derivative Pricing Theory; 4.1 Introduction; 4.2 The principle of no arbitrage; 4.2.1 No arbitrage; 4.2.2 Valuation of symmetric derivatives; 4.2.3 Valuation of asymmetric derivatives; 4.2.4 Valuation of path dependent derivatives 4.5.5 Interpretation in the context of Modern Portfolio Theory |
| Record Nr. | UNINA-9910139597303321 |
|
Kemp Malcolm H. D
|
||
| Chichester, U.K., : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market consistency [[electronic resource] ] : model calibration in imperfect markets / / Malcolm H.D. Kemp
| Market consistency [[electronic resource] ] : model calibration in imperfect markets / / Malcolm H.D. Kemp |
| Autore | Kemp Malcolm H. D |
| Pubbl/distr/stampa | Chichester, U.K., : Wiley, c2009 |
| Descrizione fisica | 1 online resource (378 p.) |
| Disciplina |
332.0415
332/.0415 |
| Collana | Wiley finance |
| Soggetto topico |
Capital market
Banks and banking Risk management |
| ISBN |
0-470-68489-5
1-119-20718-5 1-283-23938-8 9786613239389 0-470-68279-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Market Consistency; Contents; Preface; Acknowledgements; Abbreviations; Notation; 1 Introduction; 1.1 Market consistency; 1.2 The primacy of the 'market'; 1.3 Calibrating to the 'market'; 1.4 Structure of the book; 1.5 Terminology; 2 When is and when isn't Market Consistency Appropriate?; 2.1 Introduction; 2.2 Drawing lessons from the characteristics of money itself; 2.2.1 The concept of 'value'; 2.2.2 The time value of money; 2.2.3 Axioms of additivity, scalability and uniqueness; 2.2.4 Market consistent valuations
2.2.5 Should financial practitioners always use market consistent valuations?2.2.6 Equity between parties; 2.2.7 Embedded values and franchise values; 2.2.8 Solvency calculations; 2.2.9 Pension fund valuations; 2.2.10 Bid-offer spreads; 2.3 Regulatory drivers favouring market consistent valuations; 2.4 Underlying theoretical attractions of market consistent valuations; 2.5 Reasons why some people reject market consistency; 2.6 Market making versus position taking; 2.7 Contracts that include discretionary elements; 2.8 Valuation and regulation; 2.9 Marking-to-market versus marking-to-model 2.10 Rational behaviour?3 Different Meanings given to 'Market Consistent Valuations'; 3.1 Introduction; 3.2 The underlying purpose of a valuation; 3.3 The importance of the 'marginal' trade; 3.4 Different definitions used by different standards setters; 3.4.1 Introduction; 3.4.2 US accounting - FAS 157; 3.4.3 Guidance on how to interpret FAS, IAS, IFRS, etc.; 3.4.4 EU insurance regulation - 'Solvency II'; 3.4.5 Market consistent embedded values; 3.4.6 UK pension fund accounting and solvency computation; 3.5 Interpretations used by other commentators; 3.5.1 Introduction 3.5.2 Contrasting 'market consistent' values with 'real world' values3.5.3 Stressing the aim of avoiding subjectivity where possible; 3.5.4 Extending 'market consistency' to other activities; 3.5.5 Application only if obvious market observables exist; 3.5.6 Hedgeable liabilities; 3.5.7 Fair valuation in an asset management context; 4 Derivative Pricing Theory; 4.1 Introduction; 4.2 The principle of no arbitrage; 4.2.1 No arbitrage; 4.2.2 Valuation of symmetric derivatives; 4.2.3 Valuation of asymmetric derivatives; 4.2.4 Valuation of path dependent derivatives 4.5.5 Interpretation in the context of Modern Portfolio Theory |
| Record Nr. | UNINA-9910829949003321 |
|
Kemp Malcolm H. D
|
||
| Chichester, U.K., : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market consistency [[electronic resource] ] : model calibration in imperfect markets / / Malcolm H.D. Kemp
| Market consistency [[electronic resource] ] : model calibration in imperfect markets / / Malcolm H.D. Kemp |
| Autore | Kemp Malcolm H. D |
| Pubbl/distr/stampa | Chichester, U.K., : Wiley, c2009 |
| Descrizione fisica | 1 online resource (378 p.) |
| Disciplina |
332.0415
332/.0415 |
| Collana | Wiley finance |
| Soggetto topico |
Capital market
Banks and banking Risk management |
| ISBN |
0-470-68489-5
1-119-20718-5 1-283-23938-8 9786613239389 0-470-68279-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Market Consistency; Contents; Preface; Acknowledgements; Abbreviations; Notation; 1 Introduction; 1.1 Market consistency; 1.2 The primacy of the 'market'; 1.3 Calibrating to the 'market'; 1.4 Structure of the book; 1.5 Terminology; 2 When is and when isn't Market Consistency Appropriate?; 2.1 Introduction; 2.2 Drawing lessons from the characteristics of money itself; 2.2.1 The concept of 'value'; 2.2.2 The time value of money; 2.2.3 Axioms of additivity, scalability and uniqueness; 2.2.4 Market consistent valuations
2.2.5 Should financial practitioners always use market consistent valuations?2.2.6 Equity between parties; 2.2.7 Embedded values and franchise values; 2.2.8 Solvency calculations; 2.2.9 Pension fund valuations; 2.2.10 Bid-offer spreads; 2.3 Regulatory drivers favouring market consistent valuations; 2.4 Underlying theoretical attractions of market consistent valuations; 2.5 Reasons why some people reject market consistency; 2.6 Market making versus position taking; 2.7 Contracts that include discretionary elements; 2.8 Valuation and regulation; 2.9 Marking-to-market versus marking-to-model 2.10 Rational behaviour?3 Different Meanings given to 'Market Consistent Valuations'; 3.1 Introduction; 3.2 The underlying purpose of a valuation; 3.3 The importance of the 'marginal' trade; 3.4 Different definitions used by different standards setters; 3.4.1 Introduction; 3.4.2 US accounting - FAS 157; 3.4.3 Guidance on how to interpret FAS, IAS, IFRS, etc.; 3.4.4 EU insurance regulation - 'Solvency II'; 3.4.5 Market consistent embedded values; 3.4.6 UK pension fund accounting and solvency computation; 3.5 Interpretations used by other commentators; 3.5.1 Introduction 3.5.2 Contrasting 'market consistent' values with 'real world' values3.5.3 Stressing the aim of avoiding subjectivity where possible; 3.5.4 Extending 'market consistency' to other activities; 3.5.5 Application only if obvious market observables exist; 3.5.6 Hedgeable liabilities; 3.5.7 Fair valuation in an asset management context; 4 Derivative Pricing Theory; 4.1 Introduction; 4.2 The principle of no arbitrage; 4.2.1 No arbitrage; 4.2.2 Valuation of symmetric derivatives; 4.2.3 Valuation of asymmetric derivatives; 4.2.4 Valuation of path dependent derivatives 4.5.5 Interpretation in the context of Modern Portfolio Theory |
| Record Nr. | UNINA-9910841684303321 |
|
Kemp Malcolm H. D
|
||
| Chichester, U.K., : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||