author = { Kemp, Malcolm H. D. },

title = { Extreme events robust portfolio construction in the presence of fat tails },

edition = { 1. publ. } ,

publisher = {Wiley},

isbn = {9780470750131},

keywords = { Portfolio-Management , Indexderivat , Exchange traded funds , Portfolio management , Exchange Traded Fund },

year = {2011},

abstract = {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.},

booktitle = {Wiley Finance Series},

address = { Chichester },

url = { http://slubdd.de/katalog?TN_libero_mab2 }