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Assymetric Dependence in Finance : Diversification, Correlation and Portfolio Management in Market Downturns.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Somerset :
John Wiley & Sons, Incorporated,
2018.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Title Page; Copyright; Contents; About the Editors; Introduction; Chapter 1: Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence; 1.1 Introduction; 1.2 From Skiadas Preferences to Asset Prices; 1.3 Consistently Measuring Asymmetric Dependence; 1.3.1 The Adjusted J Statistic; 1.4 Summary; References; Further Reading; Chapter 2: The Size of the CTA Market and the Role of Asymmetric Dependence; 2.1 Introduction; 2.2 Market Model; 2.2.1 Equilibrium Prices and Portfolios; 2.3 Computation of Moments; 2.3.1 Option and Stock; 2.3.2 Comparison with Black-Scholes Delta.
- 2.3.3 The Sign of 212.4 Example Distributions; 2.4.1 Uniform Prices; 2.4.2 Symmetric Distributions with k =; 2.4.3 Normal Distribution; 2.4.4 Scale Gamma; 2.4.5 Pareto; 2.5 Heterogeneity and CTA Market Size; 2.5.1 Institutional Demands; 2.5.2 Size of the Option Market; 2.6 Empirical Examples; 2.7 Conclusions; References; Chapter 3: The Price of Asymmetric Dependence; 3.1 Introduction; 3.2 The Asymmetric Dependence Risk Premium; 3.2.1 Empirical Design; 3.2.2 Data; 3.2.3 Factor Correlations; 3.2.4 Distribution of JAdj; 3.2.5 Conditional Dependence Patterns; 3.2.6 In-Sample Regression Results.
- 3.2.7 Out-of-Sample Regressions3.2.8 Time-Varying Risk; 3.3 Conclusion; References; Further Reading; Chapter 4: Misspecification in an Asymmetrically Dependent World: Implications for Volatility Forecasting; 4.1 Introduction; 4.2 Literature Survey; 4.3 Model Specifications; 4.3.1 Existence of Moments; 4.4 Estimating 'True' Parameter Values; 4.4.1 US Equity Returns; 4.4.2 US 10yr Bond Returns; 4.5 Evaluating Forecasting Performance; 4.6 Simulation Method and Results; 4.6.1 Results; 4.7 Conclusion; References.
- Appendix 4.A Additional Details Regarding Underlying Data Sources Used by Global Financial Data and BloombergAppendix 4.B Proof of Theorem 4.1; Appendix 4.C Proof of Corollaries 4.1 and 4.2; Chapter 5: Hedging Asymmetric Dependence; 5.1 Introduction; 5.2 Asymmetric Dependence in Implied Equity Correlation: The Implied Correlation Skew; 5.3 The Effect of Correlation Skew on Portfolio Choice; 5.3.1 The Optimal Portfolio Incorporating Stochastic Correlation; 5.3.2 Characteristics and Model Intuition; 5.3.3 Empirical Observations; 5.4 Equity Correlation Products; 5.4.1 Dispersion.
- 5.4.2 Correlation Swaps5.4.3 Worst-Of Options; 5.4.4 Basket Options; 5.4.5 Derivative Strategies to Hedge AD; 5.5 Models for Correlation Skew; 5.5.1 Instantaneous Correlation Models; 5.5.2 Local Correlation Modelling; 5.5.3 Copula Models; References; Chapter 6: Orthant Probability-Based Correlation; 6.1 Introduction; 6.2 Orthant Probabilities and Orthant Correlation; 6.3 Orthant Probability Testing; 6.4 Characteristics of Orthant Correlations; 6.5 In the Presence of Skewness and Kurtosis; 6.6 Quantifying the Complementarity of Asset Characteristics; 6.7 Conclusions; References.
- Appendix 6.A Proof of Application of Sheppardâ#x80;#x99;s Theorem to the Bivariate Elliptical.