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Portfoliomodell zur Elimination des systematischen Risikos (Optimization of Portfolios for Eliminating Systematic Risk) portfolio model zur Elimination des systematischen Risikos (portfolio Optimization for Elimination of Systematic Risk)
SWIFT Institute Research Paper Series Pub Date : 2014-11-12 DOI: 10.2139/ssrn.2523505
Hellmut D. Scholtz
{"title":"Portfoliomodell zur Elimination des systematischen Risikos (Optimization of Portfolios for Eliminating Systematic Risk)","authors":"Hellmut D. Scholtz","doi":"10.2139/ssrn.2523505","DOIUrl":"https://doi.org/10.2139/ssrn.2523505","url":null,"abstract":"German Abstract: Angesichts der politischen und wirtschaftlichen Turbulenzen am Aktienmarkt stellt sich die Frage, ob es trotz umfassender Portfolioliteratur neuere Wege gibt, die Problematik des systematischen Risikos bei Aktienanlagen wesentlich zu mindern. Die folgende Arbeit leitet ein hierfur geeignetes und einfach zu handhabendes Portfoliomodell ab. Damit konnen die Auswirkungen fallender Kurse des Marktes in einem optimierten Portfoliomix eliminiert werden. Die These von der Nicht-Diversifizierbarkeit des systematischen Risikos scheint insoweit relativiert.English Abstract: The possibility to minimize volatility of the systematic risk while maximizing returns, is the use of an optimized buy long/sell short strategy that takes into account, that the market model is kinky. The equation of the market model – including a beta plus for increasing markets and a beta minus for descending markets – seems to be more qualified for this reason. The following approach shows the derivation of equations for an optimal configuration of a mix of stocks. These equations and some examples and figures of optimized portfolios – including some tests of significance – support strategies for investments in leveraged portfolios also. The approach seems to modify the meaning of \"nondiversifiable-risk\" of the market risk.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127631307","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Dynamic Stochastic Network Model of the Unsecured Interbank Lending Market 无担保银行间拆借市场的动态随机网络模型
SWIFT Institute Research Paper Series Pub Date : 2014-01-24 DOI: 10.2139/ssrn.2390828
F. Blasques, Falk Bräuning, I. van Lelyveld
{"title":"A Dynamic Stochastic Network Model of the Unsecured Interbank Lending Market","authors":"F. Blasques, Falk Bräuning, I. van Lelyveld","doi":"10.2139/ssrn.2390828","DOIUrl":"https://doi.org/10.2139/ssrn.2390828","url":null,"abstract":"This paper introduces a structural micro-founded dynamic stochastic network model for the unsecured interbank lending market. Banks are profit optimizing agents subject to random liquidity shocks and can engage in costly counterparty search to find suitable trading partners and peer monitoring to reduce counterparty risk uncertainty. The structural parameters are estimated by indirect inference using appropriate network statistics of the Dutch interbank market. The estimated model is shown to explain accurately important dynamic features of the interbank market network. In particular, monitoring of counterparty risk and directed search are shown to be key factors in the formation of interbank trading relationships that are associated with improved credit conditions. Finally, the model is used to filter the optimal search and monitoring expenditures in the network and to analyze optimal network responses to changes in the policy of the central bank.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115072260","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
New Regulations and Collateral Requirements – Implications for the OTC Derivatives Market 新规及抵押品要求-对场外衍生品市场的影响
SWIFT Institute Research Paper Series Pub Date : 2013-10-10 DOI: 10.2139/ssrn.2338544
Manmohan Singh
{"title":"New Regulations and Collateral Requirements – Implications for the OTC Derivatives Market","authors":"Manmohan Singh","doi":"10.2139/ssrn.2338544","DOIUrl":"https://doi.org/10.2139/ssrn.2338544","url":null,"abstract":"The paper provides a snapshot of the changing collateral space and how this will impact the regulatory push to move over-the-counter (OTC) derivatives to CCPs. With continued quantitative easing (QE) by some central banks, price signals from the repo market indicate a shortage of good collateral. This paper focuses on the collateral demand in the OTC derivatives market as they move to central counterparties (CCPs) and suggests alternatives on how to reduce risk in this market. The proposed route of removing OTC derivatives from banks books creates new SIFIs, destroys the economics of netting on the books of the banks, silo(s) collateral and decreases collateral velocity, and increases the interconnectedness of the financial system. Alternately, if every user of OTC derivatives contributed their share of margin(s) when using OTC derivatives (relative to the proposed bifurcated “clearing” and “non-cleared” worlds including legacy trades that will not clear), the risk from derivatives at SIFIs would be eliminated. There would be no need for CCPs.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129055280","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Agreement in Stock Selection by Following Fundamental and Technical Analysis on Nifty Stocks 通过对俏皮股票的基本面和技术分析来达成选股共识
SWIFT Institute Research Paper Series Pub Date : 2013-08-30 DOI: 10.2139/ssrn.2318660
Vishvesh H. Raval, Khyati A. Vyas
{"title":"Agreement in Stock Selection by Following Fundamental and Technical Analysis on Nifty Stocks","authors":"Vishvesh H. Raval, Khyati A. Vyas","doi":"10.2139/ssrn.2318660","DOIUrl":"https://doi.org/10.2139/ssrn.2318660","url":null,"abstract":"Merits of using fundamental research and technical research are different and these two different investment styles of investing in the stock market have its own following. The stock selection for investment portfolio which relies on the Fundamental Analysis have higher success rate than the models relying on Technical Analysis is the common view. Fundamental research focuses on identifying and analyzing the factors that influence security prices whereas technical analysis is concerned with analyzing market behavior. Given the sharp differences, it is often seen independent of each other and practitioners tend to favor one over the other but small group applies both. This research investigates the agreement in Stock selection following both styles on universe of Nifty Stocks. Fifty Investor participants took part in personal/group discussions, of their Stock selection style; for their portfolio in the cities of Vapi, Valsad, Vadodara and Ahmedabad. Stock pickers reported Fundamental and Technical style as independent of each other, with only moderate measure of agreement.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123681981","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
How Can Long Memory in Volatility Be Eliminated in Portfolio Optimization: An Empirical Evidence Using Copulas 如何在投资组合优化中消除波动的长记忆:利用copula的经验证据
SWIFT Institute Research Paper Series Pub Date : 2013-03-01 DOI: 10.2139/ssrn.3720661
Héla Mzoughi
{"title":"How Can Long Memory in Volatility Be Eliminated in Portfolio Optimization: An Empirical Evidence Using Copulas","authors":"Héla Mzoughi","doi":"10.2139/ssrn.3720661","DOIUrl":"https://doi.org/10.2139/ssrn.3720661","url":null,"abstract":"This paper focuses on the analysis of long-memory properties of copula-based time series. We empirically investigate the relation between copulas parameter modeling temporal dependence and dependence structure, using simulated and financial series. Our results prove the existence of a positive relation relying two Markov process th X + and th Y + to their dependence structure.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124871891","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Implementation of Underwater Remote Operated Vehicles (ROV) as Coastal Surveillance Modules 水下遥控航行器(ROV)海岸监视模块的实现
SWIFT Institute Research Paper Series Pub Date : 2012-11-19 DOI: 10.2139/ssrn.2178084
V. R. Patel, Harsh L. Shah
{"title":"Implementation of Underwater Remote Operated Vehicles (ROV) as Coastal Surveillance Modules","authors":"V. R. Patel, Harsh L. Shah","doi":"10.2139/ssrn.2178084","DOIUrl":"https://doi.org/10.2139/ssrn.2178084","url":null,"abstract":"India's coastal surveillance has never been its forte. This weakness was exploited in 26/11 attacks in Mumbai. Since then a number of changes has been implemented to make the coast line more secure. Major part of the improvement has been done by foreign contractors at exorbitant cost. Remote Operated Vehicles (ROVs) have been used for this purpose but at inflated prices as they are imported as complete built-up units. Through this paper me and my colleague (Harsh Shah) have explained the technical considerations of building an ROV and the subsequent economic consideration. A detailed budget table has been listed to justify our claim. Thus we, propose the fabrication of underwater ROVs in India itself in cost effective manner.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"301 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127013719","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Relationship between Corporate Governance and Value of the Firm in Developing Countries: Evidence from Bangladesh 发展中国家公司治理与企业价值的关系:来自孟加拉国的证据
SWIFT Institute Research Paper Series Pub Date : 2011-03-01 DOI: 10.3923/IJAEF.2011.237.244
Dr. Md. Rouf
{"title":"The Relationship between Corporate Governance and Value of the Firm in Developing Countries: Evidence from Bangladesh","authors":"Dr. Md. Rouf","doi":"10.3923/IJAEF.2011.237.244","DOIUrl":"https://doi.org/10.3923/IJAEF.2011.237.244","url":null,"abstract":"This study aimed to examine the relationship between four corporate governance mechanisms (board size, board independent director, chief executive officer duality and board audit committee) and value of the firm (performance) measures (return on assets, ROA and return on equity, ROE). The study is based on a sample of 93 listed non-financial companies in Dhaka Stock Exchanges (DSE) 2006. Using OLS as a method of estimation, the results provide evidence of a position significant relationship between ROA and independent director as well as chief executive officer duality. The results further revels a positive significant relationship between ROE and board independent director as well as chief executive officer duality. The study, however, could not provide a significant relationship between the value of the firm measures (ROA and ROE) and board size and board audit committee.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128841936","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 168
Heterogeneity of Saving-Investment Causality in Waemu Zone and Fiscal Coordination Implication 魏木地区储蓄-投资因果关系异质性及其财政协调启示
SWIFT Institute Research Paper Series Pub Date : 1900-01-01 DOI: 10.1007/978-3-319-01282-7_7
C. Nguena
{"title":"Heterogeneity of Saving-Investment Causality in Waemu Zone and Fiscal Coordination Implication","authors":"C. Nguena","doi":"10.1007/978-3-319-01282-7_7","DOIUrl":"https://doi.org/10.1007/978-3-319-01282-7_7","url":null,"abstract":"","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"2018 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126853054","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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