Advanced Risk & Portfolio Management® Research Paper Series最新文献

Data-Driven Optimization of Reward-Risk Ratio Measures 数据驱动的风险回报比优化方法

Advanced Risk & Portfolio Management® Research Paper Series Pub Date : 2020-11-18 DOI: 10.2139/ssrn.2707122

Ran Ji, M. Lejeune

引用次数: 24

A Short Sharpe Course 一个短的夏普课程

Advanced Risk & Portfolio Management® Research Paper Series Pub Date : 2020-01-11 DOI: 10.2139/SSRN.3036276

Steven E. Pav

引用次数: 2

What You See Is Not What You Get: The Costs of Trading Market Anomalies 你看到的不是你得到的:交易市场异常的成本

Advanced Risk & Portfolio Management® Research Paper Series Pub Date : 2019-05-01 DOI: 10.2139/ssrn.3034796

Andrew J. Patton, Brian M. Weller

引用次数: 50

Learning Curve Dynamics with Artificial Neural Networks 人工神经网络学习曲线动力学

Advanced Risk & Portfolio Management® Research Paper Series Pub Date : 2018-04-11 DOI: 10.2139/ssrn.3041232

A. Kondratyev

引用次数: 12

A Risk-Neutral Approach for the Evaluation of NPLs 不良贷款评估的风险中性方法

Advanced Risk & Portfolio Management® Research Paper Series Pub Date : 2018-04-09 DOI: 10.2139/ssrn.2996565

D. Tilloca

{"title":"A Risk-Neutral Approach for the Evaluation of NPLs","authors":"D. Tilloca","doi":"10.2139/ssrn.2996565","DOIUrl":"https://doi.org/10.2139/ssrn.2996565","url":null,"abstract":"This paper describes a new methodology which allows banks to evaluate non-performing loans (NPL) using a risk-neutral approach. In more detail, it illustrates the methodological framework behind the definition of the risk-neutral expected loss used to estimate the loans fair value. The risk-neutral expected loss is calculated by extending the Merton framework for modeling corporate liabilities. The proposed risk-neutral approach is suitable at producing estimates, in a fair value computation context, that are as close as possible to the exit price as mandated by IFRS-13 and is not biased by the stressed market conditions often observed on defaulted debt. In this context the pricing model is able to provide good estimates especially when applied to large portfolios (where the diosyncratic risk is low) and is requiring few parameters to work: the expected recovery, the recovery time, the market risk-premium and the default vintage. A model that can help the banks to estimate a “fair” price for this kind of asset can help in reducing the difference between the asked price (for a bank often is the book value) and the offered market price, facilitating the development of a market for NPLs.","PeriodicalId":344568,"journal":{"name":"Advanced Risk & Portfolio Management® Research Paper Series","volume":"222 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115531825","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

Exploring Mispricing in the Term Structure of CDS Spreads 探讨CDS价差期限结构中的错误定价

Advanced Risk & Portfolio Management® Research Paper Series Pub Date : 2018-03-13 DOI: 10.1093/rof/rfy014

R. Jarrow, Haitao Li, Xiaoxia Ye, May Hu

引用次数: 19

Alpha Momentum and Price Momentum α动量和价格动量

Advanced Risk & Portfolio Management® Research Paper Series Pub Date : 2018-02-06 DOI: 10.2139/SSRN.2287848

H. Hühn, H. Scholz

引用次数: 24

Risk Control of Mean-Reversion Time in Statistical Arbitrage 统计套利中均值回归时间的风险控制

Advanced Risk & Portfolio Management® Research Paper Series Pub Date : 2017-12-18 DOI: 10.2139/ssrn.2868525

Joongyeub Yeo, G. Papanicolaou

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引用次数: 9

The Case for Bitcoin for Institutional Investors: Bubble Investing or Fundamentally Sound? 机构投资者投资比特币的理由:泡沫投资还是基本面良好?

Advanced Risk & Portfolio Management® Research Paper Series Pub Date : 2017-12-05 DOI: 10.2139/ssrn.3082808

J. Liew, Levar Hewlett

引用次数: 10

Robust Portfolio Optimization with Multivariate Copulas: A Worst-Case CVaR Approach 具有多元copula的稳健投资组合优化:最坏情况CVaR方法

Advanced Risk & Portfolio Management® Research Paper Series Pub Date : 2017-11-22 DOI: 10.2139/ssrn.3076283

Fernando B. Sabino da Silva, Flávio Ziegelman

{"title":"Robust Portfolio Optimization with Multivariate Copulas: A Worst-Case CVaR Approach","authors":"Fernando B. Sabino da Silva, Flávio Ziegelman","doi":"10.2139/ssrn.3076283","DOIUrl":"https://doi.org/10.2139/ssrn.3076283","url":null,"abstract":"Using data from the S&P 500 stocks from 1990 to 2015, we address the uncertainty of distribution of assets’ returns in Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining its robust counterpart. We implement a dynamic investing viable strategy where the portfolios are optimized using three different length of rolling calibration windows. The out-of-sample performance is evaluated and compared against two benchmarks: a multidimensional Gaussian copula model and a constant mix portfolio. Our empirical analysis shows that the Mixed Copula-CVaR approach generates portfolios with better downside risk statistics for any rebalancing period and it is more profitable than the Gaussian Copula-CVaR and the 1/N portfolios for daily and weekly rebalancing. To cope with the dimensionality problem we select a set of assets that are the most diversified, in some sense, to the S&P 500 index in the constituent set. The accuracy of the VaR forecasts is determined by how well they minimize a capital requirement loss function. In order to mitigate data-snooping problems, we apply a test for superior predictive ability to determine which model significantly minimizes this expected loss function. We find that the minimum average loss of the mixed Copula-CVaR approach is smaller than the average performance of the Gaussian Copula-CVaR.","PeriodicalId":344568,"journal":{"name":"Advanced Risk & Portfolio Management® Research Paper Series","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133807479","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: 4