Dynamic asset trees and portfolio analysis

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Dynamic Asset Allocation: Using Momentum to Enhance Portfolio Risk Management

The repeated stresses the capital markets have experienced over the past decade have caused many financial planners to question all they thought they knew about invest­ ment management. Modern portfolio theory (MPT) and its core component strategies. asset allocation and rebalanc­ ing-indeed. any investment strategy not involving cash in mattresses-came under attack. After experiencing Signific...

متن کامل

Asset correlations and credit portfolio risk – an empirical analysis

In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody’s KMV asset values for around 2,000 European firms from 1996 to 2004. We compare correlation and value-atrisk (VaR) estimates in a one–factor or market model and a multi-factor or sec...

متن کامل

Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing

Bank of Canada working papers are theoretical or empirical works-in-progress on subjects in economics and finance. The views expressed in this paper are those of the authors. No responsibility for them should be attributed to the Bank of Canada. ii Acknowledgements We thank Scott Hendry, Kenneth Judd and Wally Speckert for very helpful conversations. We thank seminar participants at the EC 2 Co...

متن کامل

Exact Arbitrage and Portfolio Analysis in Large Asset Markets

We provide a detailed portfolio analysis for a nancial market with an atomless continuum of assets. In the context of an exact arbitrage pricing theory (EAPT), we go beyond the characterization of the existence of important portfolios (normalized riskless, mean, cost, factor and mean-variance eÆcient portfolios) to furnish exact portfolio compositions in terms of explicit portfolio weights. Suc...

متن کامل

Asset liquidity and international portfolio choice

——————————————————————————————————— We study optimal portfolio choice in a two-country model where assets represent claims on future consumption and facilitate trade in markets with imperfect credit. Assuming that foreign assets trade at a cost, agents hold relatively more domestic assets. Consequently, agents have larger claims to domestic over foreign consumption. Moreover, foreign assets tur...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: The European Physical Journal B - Condensed Matter

سال: 2002

ISSN: 1434-6028,1434-6036

DOI: 10.1140/epjb/e2002-00380-9