Tải thêm nhiều sách www.topfxvn.com : Portfolio Risk Analysis Tải thêm nhiều sách : www.topfxvn.com This page intentionally left blank Tải thêm nhiều sách : www.topfxvn.com Portfolio Risk Analysis Gregory Connor Lisa R Goldberg Robert A Korajczyk Princeton University Press Princeton and Oxford Tải thêm nhiều sách : www.topfxvn.com Copyright © 2010 by Princeton University Press Published by Princeton University Press, 41 William Street, Princeton, New Jersey 08540 In the United Kingdom: Princeton University Press, Oxford Street, Woodstock, Oxfordshire OX20 1TW All Rights Reserved Library of Congress Cataloging-in-Publication Data Connor, Gregory Portfolio risk analysis / Gregory Connor, Lisa R Goldberg, Robert A Korajczyk p cm Includes bibliographical references and index ISBN 978-0-691-12828-3 (alk paper) Portfolio management Risk management I Goldberg, Lisa R II Korajczyk, Robert A., 1954– III Title HG4529.5.C657 2010 332.6–dc22 2009050913 British Library Cataloging-in-Publication Data is available This book has been composed in LucidaBright using TEX Typeset and copyedited by T&T Productions Ltd, London Printed on acid-free paper ∞ press.princeton.edu Printed in the United States of America 10 Tải thêm nhiều sách : www.topfxvn.com To our families Tải thêm nhiều sách : www.topfxvn.com This page intentionally left blank Tải thêm nhiều sách : www.topfxvn.com Contents Acknowledgments xi Introduction xiii Key Notation xix Measures of Risk and Return 1.1 Measuring Return 1.2 The Key Portfolio Risk Measures 1.3 Risk–Return Preferences and Portfolio Optimization 1.4 The Capital Asset Pricing Model and Its Applications to Risk Analysis 1.5 The Objectives and Limitations of Portfolio Risk Analysis 1 12 Unstructured Covariance Matrices 2.1 Estimating Return Covariance Matrices 2.2 The Error-Maximization Problem 2.3 Portfolio Choice as Decision Making under Uncertainty 36 36 47 54 Industry and Country Risk 3.1 Industry–Country Component Models 3.2 Empirical Evidence on the Relative Magnitudes of Country and Industry Risks 3.3 Sector–Currency Models of Corporate Bond Returns 61 61 Statistical Factor Analysis 4.1 Types of Factor Models 4.2 Approximate Factor Models 4.3 The Arbitrage Pricing Theory 4.4 Small-n Estimation Methods 4.5 Large-n Estimation Methods 4.6 Number of Factors 79 79 82 86 88 93 98 The Macroeconomy and Portfolio Risk 5.1 Estimating Macroeconomic Factor Models 5.2 Event Studies of Macroeconomic Announcements Tải thêm nhiều sách : www.topfxvn.com 23 31 73 77 101 101 110 viii Contents 5.3 5.4 5.5 Macroeconomic Policy Endogeneity Business Cycle Betas Empirical Fit and the Relative Value of Macroeconomic Factor Models 112 115 Security Characteristics and Pervasive Risk Factors 6.1 Equity and Fixed-Income Characteristics 6.2 Characteristic-Based Factor Models of Equities 6.3 The Fama–French Model and Extensions 6.4 The Semiparametric Approach to Characteristic-Based Factor Models 117 117 122 130 Measuring and Hedging Foreign Exchange Risk 7.1 Definitions of Foreign Exchange Risk 7.2 Optimal Currency Hedging 7.3 Currency Covariances with Stock and Bond Returns 7.4 Macroeconomic Influences on Currency Returns 134 134 142 149 151 Integrated Risk Models 8.1 Global and Regional Integration Trends 8.2 Risk Integration across Asset Classes 8.3 Segmented Asset Allocation and Security Selection 8.4 Integrated Risk Models 155 155 158 159 162 Dynamic Volatilities and Correlations 9.1 GARCH Models 9.2 Stochastic Volatility Models 9.3 Time Aggregation 9.4 Downside Correlation 9.5 Option-Implied Volatility 9.6 The Volatility Term Structure at Long Horizons 9.7 Time-Varying Cross-Sectional Dispersion 167 167 178 180 181 184 187 188 116 132 10 Portfolio Return Distributions 10.1 Characterizing Return Distributions 10.2 Estimating Return Distributions 10.3 Tail Risk 10.4 Nonlinear Dependence between Asset Returns 191 191 196 203 207 11 Credit Risk 11.1 Agency Ratings and Factor Models of Spread Risk 11.2 Rating Transitions and Default 11.3 Credit Instruments 11.4 Conceptual Approaches to Credit Risk 11.5 Recovery at Default 11.6 Portfolio Credit Models 11.7 The 2007–8 Credit-Liquidity Crisis 212 213 217 218 220 232 232 238 12 Transaction Costs and Liquidity Risk 12.1 Some Basic Terminology 12.2 Measuring Transactions Cost 241 241 246 Tải thêm nhiều sách : www.topfxvn.com Contents ix 12.3 Statistical Properties of Liquidity 12.4 Optimal Trading Strategies and Transaction Costs 261 266 13 Alternative Asset Classes 13.1 Nonsynchronous Pricing and Smoothed Returns 13.2 Time-Varying Risk, Nonlinear Payoff, and Style Drift 13.3 Selection and Survivorship Biases 13.4 Collectibles: Measuring Return and Risk with Infrequent and Error-Prone Observations 13.5 Summary 271 271 284 291 14 Performance Measurement 14.1 Return-Based Performance Measurement 14.2 Holdings-Based Performance Measurement and Attribution 14.3 Volatility Forecast Evaluation 14.4 Value-at-Risk Hit Rates 14.5 Forecast and Realized Return Densities 299 299 303 309 316 317 15 Conclusion 15.1 Some Key Messages 15.2 Questions for Future Research 319 319 320 References 323 Index 345 Tải thêm nhiều sách : www.topfxvn.com 295 298 340 References Michaud, F.-L., and C Upper 2008 What drives interbank rates? 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Harvard Business Review 44(4):131–36 Venkatesh, P C., and R Chiang 1986 Information asymmetry and the dealer’s bid–ask spread: a case study of earnings and dividend announcements Journal of Finance 41:1089–102 Weil, P 1990 Nonexpected utility in macroeconomics Quarterly Journal of Economics 105:29–42 Weisman, A B., and J D Abernathy 2000 The dangers of historical hedge fund data In Risk Budgeting: A New Approach to Investing (ed L Rahl) London: Risk Books White, H., and I Domowitz 1984 Nonlinear regression with dependent observations Econometrica 52:143–62 Woodward, S E 2005 Measuring and managing alternative assets risk Global Association of Risk Professionals 24:21–24 Woodward, S E., and R E Hall 2003 Bechmarking the returns to venture Working Paper, Sand Hill Econometrics (available at http://ssrn.com/abstract= 474181) Wu, X 2002 A conditional multifactor analysis of return momentum Journal of Banking & Finance 26(8):1675–96 Tải thêm nhiều sách : www.topfxvn.com This page intentionally left blank Tải thêm nhiều sách : www.topfxvn.com Index 130/30 funds, abnormal returns, 56 active return, 6, 19, 149; mean, 19; portfolio weights, 6, 20 active risk, 19–20, 24, 31, 161; covariance matrix, 19; optimization, 19; variance, 19 affine models, 229 Akaike information criterion (AIC), 99 Akaike- and Bayesian-informationcriterion-based tests, 99 alpha, 56 alpha-mixing, 194–95 alternative asset classes, 271–98 Amihud, Y., 257–58, 260, 262 Amivest liquidity ratio, 260 Anderson, G., 165–66 Ang, A., 183–84 appraisal prices, 272 approximate factor models, 83–85, 93, 99, 101, 126 arbitrage portfolio: approximate, 88 arbitrage pricing theory (APT), 57, 86–87, 156 arithmetic returns, 2–5, 193 Asness, C., 277–79 asset allocation, 20; dynamic, 57 asset-specific: covariance matrix, 67, 92, 98; return, 63, 79, 83–86, 91–97, 102, 128–29, 131, 163, 189–90, 195, 300–1, 306–7; risk, 80–82 asset-specific returns, 79 asymmetric dependence, 167, 181 asymmetric generalized autoregressive conditional heteroskedasticity model, 169–71 asymptotic principal components, 93–97, 107–8, 110 asymptotic tail dependence, 210 asynchronous trade prices, 42 August 2007, 265 autocorrelated fund flows, 270 autocorrelation, 42 Baba, Engle, Kraft, and Kroner (BEKK) model, 178 backfill biases, 271, 291–92 Bae, J., 171 Bai, J., 196–97 Baillie, R T., 172 bandwidth, 199–200 basket trade, 51 Bayesian information criterion (BIC), 99 Bayesian prior distribution, 55 Bayesian statistical methods, 35, 54 Bekaert, G., 171, 183–84 benchmark, 6; portfolio, 31; return, 6, 19 Berkowitz, J., 317 Bertsimas, D., 267–68 beta, 27, 285 bias, 58; statistic, 310; test, 309, 311 bilinear regression, 133 binomial–normal mixture, 197–98 Black Monday, 192 Black, F., 146, 224–26, 230–31 Black–Scholes option pricing model, 184–85 Bodnar, G M., 150 Bollerslev, T., 171–72, 176 Bondarenko, O., 290 book-to-price ratio, 130 bootstrap resampled estimates, 60 bottom-up index spread, 234–35 Breger, L., 214 Brinson model, 308–9 Brinson, G P., 308–9 Brown, S J., 295 budget constraint, 18 business cycle, 113, 115–16 butterfly factor, 119–20 Tải thêm nhiều sách : www.topfxvn.com 346 Index Campbell, J Y., 148–49, 187, 189–90 Capaul, C., 157 capital asset pricing model (CAPM), 1, 23–27, 29, 56–57, 87, 105, 155 capital flow integration, 156 capital market integration, 155 capitalization, 130; weights, 40, 69–70, 74 Carhart, M M., 132 Carr, P., 186 central bank, 112; intervention, 151, 153 central limit theorem, 85, 193–95 central moments, 193 Chan, Y L., 148–49 change of numeraire, 141–42 characteristic: country, 123; currency exposure, 123; dividend yield, 123; equity, 117–21, 157; equity factor models, 122–30; fixed-income, 117–21; fundamental, 116; industry, 123; leverage, 123; liquidity, 123; momentum, 123; security, 57, 117–33; size, 123, 130; value, 123, 130–31; volatility, 123 characteristic-based factor models, 65, 121, 123–24, 126–29, 132–33, 162–63 Chaumeton, L., 121, 157 Cheyette, O., 216 chi-squared test, 92 Chicago Board of Options Exchange, 185 Chordia, T., 262–63 Chow, E H., 149–50 classical statistical methods, 54 Cohen, K J., 273, 275, 277 collateralized debt obligation (CDO), 218, 220, 264; tranche, 236, 238 collateralized mortgage obligation (CMO), 218 collectibles, 271, 295–98 commodities, 271 compound product, compound return, condition number, 52 conditional rate of default, 227 confidence level, 12 Connor, G., 121, 127–28, 132–33, 157, 189 constant absolute risk aversion (CARA), 16, 29 constant relative risk aversion (CRRA), 14 constant-correlation (CCOR) model, 176–77 constant-correlation matrix, 58 constrained return-maximization problem, 15–16 constrained risk-minimization problem, 15–16, 23, 25 consumption factor, 105 consumption-based asset pricing, 105 contagion, 154 convex, 23–24 convexity, 121 copula, 208–10; Gaussian, 209 corporate bond spreads, 213–14 corporate events, 265 correlation matrix, 42–44, 58, 61–62, 84, 157, 209 correlations: dynamic, 167–90; extreme-tail, 183 co-skewness, 208 counterparties, 265 country, 65, 74 country factors, 61–62, 68, 77 country index returns, 61–63 country–industry: decomposition, 61, 71, 75; factor integration, 76 covariance matrix, 26, 140–41, 208; currency, 140; dynamic, 175; estimation, 52, 60, 66; factor, 66 covered interest rate parity, 137–40 Cox, J C., 224–26, 230–31 credit: event, 218; index, 234; instruments, 218–20; quality, 40; rating, 35, 213; risk, 7, 212–40; spread puzzle, 159, 214; spread risk model, 215 credit-liquidity crisis of 2007–8, 210, 219, 238–40, 264, 291 crisis conditions, 30 cross-correlation, 42, 276 cross-product matrices, 94–96 Tải thêm nhiều sách : www.topfxvn.com Index 347 cross-sectional dispersion, 188–90 cross-sectional variance, 189 cumulative distribution, 191–92 cumulative probability, 28 Curds, R., 121, 157 currency, 137, 139, 142, 153; covariance matrix, 140; crises, 153–54; devaluation, 154; exposure, 149; factors, 140–41; hedging, 139, 142–49; return, 135, 139, 142, 145, 149–50; risk, 134, 140; risk premium, 78 currency management: integrated, 146; overlay, 146 Daníelsson, J., 194, 206 Daniel, K., 306–7 Das, S R., 184 data-snooping bias, 200 Davis, M., 164 default leg, 219, 236 default rates, 35 default swap, 219–20; indices, 219 demeaned return, 7, 9, 33 Dempster, A P., 38 density functions, derivatives-based investment strategies, de Vries, C G., 206 diagonal matrix, 58 diagonal-market model, 26, 58 Diamond model, 239 Diebold–Mariano forecast comparison, 313–14 Dimson, E., 273, 275 dirty float, 153 distance to default, 225 distribution function, diversifiable (asset-specific) risk, 22, 45, 69–70, 80–82, 87, 96–97, 99, 129, 163, 189–90, 195, 297 diversifiable risk, 80–81 diversification, 18, 44–47, 85, 157, 181, 190, 214, 291 diversification curve, 44–47 dividends, 107 Dowd, K., 202 downside correlation, 181–84 drawdown, 202 drill-down consistency, 165–66 Duffie, D., 230 duration, 40, 118–19 dynamic: asset allocation, 57; beta, 115; dynamic conditional correlation (DCC), 177; portfolio optimization, 14; regime-switching model, 183 E-step, 38 earnings, 107–8 Eckbo, B E., 262 economic factor model, 128 effective currency return, 137 efficiency, 24 efficient: markets, 33; portfolios, 24 Eichengreen, B., 154 eigenvalues, 82–83, 88, 90, 98 eigenvectors, 88–91, 94 Embrechts, P., 206–7 empirical Bayesian method, 55–56 empirical distribution, 12, 199 Engle, R F., 169–70, 172, 177, 315 equilibrium, 24, 27, 30 Erb, C B., 181–82 error maximization, 51–52, 54, 59–60 errors-in-variables (EIV), 103, 105, 110–12, 131 estimation: bias, 58; error, 7, 34, 48, 50–59, 69; moments, 196–97; parameters, 58, 174 event forecasting, 226–27 exceedence correlation, 182–83, 210–11 excess: kurtosis, 8, 193; log return, 5; over a threshold, 206–7; returns, exchange rate, 151–52; direct, 135; fixed, 153; forward, 137; indirect, 135; spot, 137 exchange rate regimes, 113 expectation–maximization (EM) algorithm, 38, 95 expected: inflation, 104, 114; return, 24; shortfall (ES), 12–13, 34, 191, 198, 203, 207, 319; utility, 13–15, 17, 28; value, exponential: distribution, 206; filter, 175; tails, 205 Tải thêm nhiều sách : www.topfxvn.com 348 Index exponentially weighted average variance, 175 extended market models, 73 extreme-tail correlations, 183 factor: analysis, 96; betas, 22, 79, 81–82, 85, 87, 89–91, 93, 113, 120; covariance matrix, 22, 66; returns, 79; risk premium, 87, 95, 105; variance, 80 factor model, 161, 178; characteristic, 127–30; consumption, 105; economic, 122; fixed income, 120; hybrid, 129; macroeconomic, 127–30; misspecification, 87; noiseless, 81, 87, 89; scalar, 81, 89–90; statistical, 127–30; strict, 58 factor-mimicking portfolios, 105–6, 126–27 factor-related characteristics, 58 Fama, E F., 126–27, 130–31, 133, 159 Fama–French model, 130–32, 158, 298 feasible portfolio, 20 feasible weighted least squares, 69 Federal Reserve Board, 113–14 filtering problem, 174 Financial Times and London Stock Exchange (FTSE), 135–36 fixed income: factor model, 120 forecasting problem, 174 foreign cash return, 135 foreign exchange risk, 134–54 forward contract, 138 Foster, D P., 175 fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) model, 172 French, K R., 130–31, 133, 159 frequency, 3, 103 Frey, R., 207 Friedman, M., 14 Froot, K A., 148 Fung, W., 290, 293–94 futures, xv, 271, 277–79, 281, 283–84, 289–90 Garber, P., 153 Gaussian copula, 210, 236 generalized autoregressive conditional heteroskedasticity (GARCH) model, 167–78, 180, 186; asymmetric, 169–71; fractionally integrated, 172; integrated, 172, 176; multiple components, 172; multivariate, 176 generalized Pareto distribution, 207, 211 Gentry, W M., 150 geometric random walk, 147 Giesecke, K., 210, 230 global: covariance matrix, 140–41; factors, 149, 166; risk models, 165 Glosten, L R., 252–54, 256–57, 267–68, 290 Goetzmann, W., 295–96 Goldberg, L R., 165–66, 207, 214, 230 Greenspan, A., 114 Griffin, J M., 149–50, 158 Grinblatt, M., 306–7 Grinblatt–Titman (GT) model, 306–8 Grinold Bayesian shrinkage formula, 56 Grinold, R., 56, 162–63 gross domestic product (GDP) growth, 108 gross national product (GNP), 112 growth portfolio, 157 Harris, L E., 253–54, 256–57, 267–68 Harvey, C R., 181–82 Hasbrouck, J., 262 Hawawini, G A., 273, 275, 277 hedge funds, 6, 12, 31, 86, 271, 277–84 hedge ratios, 107, 148 hedging, 138–39, 142–49 hedging costs, 145 Hendricks, D., 201 Henriksson, R D., 288, 302–3, 306 herding, 291 Heston, S L., 270 heteroskedasticity, 81 Heyde, C C., 206 Tải thêm nhiều sách : www.topfxvn.com Index 349 high-frequency approximations, 174–76 Hill estimator, 206–7 histogram, 199 historical simulation, 200 holdings-based performance measurement, 305 home bias, 156 homoskedasticity, 111 Hong, C H., 315 Hotelling T test, 106 Hsieh, D A., 290, 293–94 Huberman, G., 268, 270 Hull, J C., 236 hybrid factor model, 128 Ibbotson, R G., 295 idiosyncratic variance, 80 implementation shortfall, 245 implied volatility, 167, 184–87 incomplete information, 230–31 index: default swap, 220; option, 29; portfolio, 6; swap, 235, 237 index spread, 220, 236; bottom-up, 234–35 index-tracking fund, 51 indirect credit risk, 212, 240 industrial production, 104, 106, 108–10 industry, 61, 68 industry and country factor integration, 75 industry components model, 84 industry factors, 62–65, 77, 149, 162–63 industry index returns, 61, 74, 150 industry–country decompositions, 65, 77 industry–country segmentation, 77 inflation, 110, 112 inflation-targeting regime, 114 inhomogeneous Poisson process, 228 inliers, 12 integrated GARCH (IGARCH) model, 172, 176 integrated risk models, 155, 162 integration: capital flow, 156; capital market, 155; pricing, 155 intensity, 227 interbank lending, 265 interest rates, 112–13 Jagannathan, R., 288, 290, 303, 306 Jarrow, R A., 217 Jegadeesh, N., 132 Jensen model, 299–301 Jensen’s alpha, 272 Jensen’s inequality, 146 joint probability distribution, 86 Jones, C S., 189 Joreskog algorithm, 91–92 Jorion P., 263–64 jump-to-default risk, 231 Kalman filter, 114 Kane, A., 315 Kat, H M., 284 Kercheval, A N., 165–66, 214 kernel-based density estimate, 199 Kim, C., 171 Klúppelberg, C., 206 Korajczyk, R A., 189, 262–63, 266–67, 270, 288, 303, 306 Kou, S G., 206 Krail, R., 277–79 Krugman, P., 151 Kuiper statistic, 207 kurtosis, 8–9, 149–50, 154, 171, 183, 186, 193–98 Kyle model, 253, 258, 267–68 Kyle, A S., 252, 257 Lagrange multipliers, 59 Laird, N M., 38 Lando, D., 217, 230 large-n: approximation, 86; covariance matrix, 93; test, 98 law of large numbers, 93, 201 Ledford, A W., 211 Lee, G G J., 172 Lee, W Y., 149–50 legal risk, 7, 32 Lehmann, B N., 127 Leland, H., 224 Lesmond, D A., 251 Lettau, M., 189–90 leverage effect, 6, 170–71 leverage ratio, 6, 86–87, 123, 170–71, 222–25 Tải thêm nhiều sách : www.topfxvn.com 350 Index leveraged investment vehicles, 12, 31 Liew, J., 277–79 likelihood function, 37 limited liability, 193 linear factor decomposition, 79–80 linear mean–variance: objective functions, 22; optimization, 16, 19; preference, 48 linear projection, 80 linear-beta models, 29 linearized present-value relation, 108 Linton, O., 132–33, 189 liquidity, 240, 271, 277 liquidity risk, 7, 87, 241–70 Litterman, R., 118, 121 Lo, A W., 17, 184, 203–4, 267–68, 293 local asset: covariances, 141; returns, 142; risk, 140 log return, 3–5, 34 logarithmic utility, 14 lognormal distribution, 206 long positions, Long Term Capital Management, 87, 210, 247, 260, 264, 269, 293 long-horizon: investors, 187; risk, 188; variance forecast, 169 long–short: portfolio, 6; return, long-term government bonds, 104 Longin, F., 183, 210–11, 291 Longstaff, F., 224 loss limit, 202 loss probabilities, 210 LOT estimator, 251 low-grade bond spread, 106 low-grade corporate bonds, 104 M-step, 38 MacBeth, J D., 126–27 macroeconomic: announcements, 110–11; factor models, 101–2, 107, 110, 112–13, 116, 128; policy, 112–13; risk models, 109; series, 109–10; shocks, 82, 106, 109–10, 113; states, 115; time series, 111; variables, 101–4, 107, 109–10, 115 Maier, S F., 273, 275, 277 Malkiel, B G., 189–90 marginal: contributions to risk, 20–23, 27; expected utility, 13, 28 Mark, N., 151 market: beta, 25–27, 58, 115; capitalization, 39, 72, 106, 130; crisis, 34; factor, 63–64, 75, 158; insurance provision portfolio, 9; integration, 156; microstructure, 180; model, 25–27, 58; portfolio, 23–27, 29, 56, 71, 105–6, 115; return, 25, 27; risk, 7; risk premium, 115; timing, 285, 302–3 matrix: correlation, 42–44, 58, 61–62, 84, 157, 209; covariance, 26, 140–41, 208; diagonal, 58; inversion, 52 maximum-likelihood estimation, 37, 91–92 maximum-likelihood factor analysis, 96 Mazuy, K K., 288, 303 McNeil, A J., 207 mean: return, 7, 9, 15, 33; reversion, 147, 188 mean–variance: analysis, 29, 160; efficiency, 23–25; optimization, 15–16, 21, 41, 47, 59; preferences, 23 measurement errors, 43 Meese, R., 151 Merton model, 221–25 Merton, R C., 289 Merton, R C., 14, 221–25, 288, 302–3, 306 Michaud, F.-L., 264–65 Mikkelson, H O., 172 Mikosch, T., 206 Milgrom, P., 252 Miller, G., 129, 165–66, 207 minimum variance: hedge, 143–44; portfolio, 188 misspecified model, 34 mixing, 86 model risk, 7, 34–35 Modest, D M., 127 Tải thêm nhiều sách : www.topfxvn.com Index 351 moments, 7–9, 191–95; central, 193; co-skewness, 208; covariance, 26, 91–92, 140–41, 208, 272–73; kurtosis, 8–9, 149–50, 154, 171, 183, 186, 193–98; mean, 4, 7, 9, 15, 33, 193; sample, 67, 91–92, 196–98; skewness, 8, 193–98; variance, 7–9, 12–13, 15, 191 momentum, 39, 132, 188; characteristic, 132; factor, 132 monetary policy, 112–14 money-supply-based policy functions, 114 Monte Carlo: risk estimates, 201; simulation, 200–2 Moody’s KMV, 226 moral hazard, 32 Morris, S., 154 mortgage: credit-scoring models, 35; debtors, 35 multi-asset-class risk models, 166 multiple industry and country weightings, 72–73 multiple-components generalized autoregressive conditional heteroskedasticity model, 172 multivariate generalized autoregressive conditional heteroskedasticity model, 176 multivariate normal: distribution, 90; returns, 5, 15 myopic: optimization, 14; risk modeling, 14–15; strategy, 14 negative: skewness, 9; symmetry, 137, 142 Nelson, C R., 171 Nelson, D B., 174–76 Newey–West estimator, 181 news impact curve, 170 Ng, S., 196–97 Ng, V K., 170 Noh, J., 315 noiseless factor models, 81, 87, 89 nonarbitrage, 118 nonlinear: dependence, 207–11; objective function, 15; optimization, 17 nonnormal, 4, 12, 186, 194, 197–98, 208, 320 nonparametric estimation, 199–200, 203 nonseparable preferences, 30 nonsingular rotation, 90 nonsynchronous observation of prices, 98, 271–73, 276–77 Norli, Ø., 262 normal: approximation, 194; density, 9; distribution, 4, 8–9, 12, 17, 191–92, 194, 197, 206 numeraire currency, 135, 137, 149 Obstfeld, M., 154 Ogden, J P., 251 Oomen, R C A., 284 operational risk, optimal: expected return, 15; portfolio, 15, 18, 20, 56; trading strategies, 266–70; variance, 15 optimization, 17–18, 23; mean–variance, 15–16, 21, 41, 47, 59 options, 17, 167; call, 29, 32; implied volatility, 167, 184–87; out-of-the-money, 9, 29; portfolio, 8; put, 9, 29 order statistics, 196, 203 orthogonal double Procrustes problem, 166 out-of-the-money: call options, 29; put options, 9, 29 outliers, 12 paper portfolio returns, 245 parameter bias, 54 Pareto distribution, 207, 211 passive investment strategy, 24 Pástor, ˇ L., 259–60 Pástor–Stambaugh liquidity measure, 263 Patton, A J., 313 penalty function, 99–100 pension fund, 22, 31 performance measurement, 299–318; holdings-based, 305 performance persistence, 295 performance-related salaries, 32 Perold, A F., 142 pervasive: factors, 83, 87; risk, 80, 87, 101 pervasiveness conditions, 99 peso problem, 134, 154 Tải thêm nhiều sách : www.topfxvn.com 352 Index phase locking, 184, 291 physical probability of default, 225–26 Pickands, J., 207, 211 Poisson process, 184, 227–29 Poon, S., 210 portfolio: choice problem, 14; credit instruments, 232; credit models, 232–38; grouping, 39–40; optimization, 1, 15, 22; performance, 285, 299–318; return, 2, 19; return density, 7; tilt, 20; variance, position limits, 59–60 positive semidefinite matrix, 89 posterior distribution, 55, 58 Postler, B., 216 power curve, 226 power laws, 205–6 preferred habitat, 159 premium leg, 219, 235–36 price impact, 242, 246, 251, 253 price smoothing, 272 prices: appraisal, 272 pricing integration, 155 principal components, 89–90, 94 prior probability distribution, 54, 58 private equity, 271 probability density, 28, 191, 193 Procrustes problem, orthogonal double, 166 Puchkov, A V., 164 purchasing power parity, 147 pure arbitrage opportunity, 87–88 put option, 9, 29 quantile functions, 195, 210 random coefficient models, 65, 68 rating: agencies, 35; transitions, 217–18 real currency returns, 148 real estate, 271 realized: inflation, 114; variation, 179–80, 190 Rebonato, R., 34 receiver operating characteristic (ROC) curve, 226 recovery, 232 reduced-form: credit model, 227; factor model, 112, 114; pricing, 227–29 reference curve, 214–15 reference entities, 218 regime switching, 115 reinvestment risk, 14, 148 resampling method, 60 return: active, 6, 19, 149; asset-specific, 7–9; benchmark, 6, 19; compound, 3; covariance matrices, 36; currency, 135, 139, 142, 145, 149–50; densities, 317–18; distributions, 7–8, 191–211; excess, 5; factor, 79; frequencies, 2, 9–12, 37; horizons, 8, 34; log, 3–5, 34; moments, 193–98; nonmarket, 25–27; tails, 191–92; variance, reverse causality, 103 risk: active, 19–20, 24, 31, 161; allocation, 22; asset-specific, 22, 45, 69–70, 80–82, 87, 96–97, 99, 129, 163, 189–90, 195, 297; aversion, 13, 16–19, 24; budget, 15–16, 21–23; country, 61–78; credit, 7, 212–40; factor, 79–100, 117–33; foreign exchange, 134–54; horizons, 31; idiosyncratic, 80; industry, 61–78; integration, 155–66; jump-to-default, 231; legal, 7, 32; liquidity, 7, 87, 241–70; macroeconomic, 101–16; market, 1–35, 58, 115; model, 7, 34–35; operational, 7; premium, 30, 66, 93–94, 104–7, 115–16; tail, 203–7 risk–return: incentives, 19; performance, 25; preferences, risk-adjusted performance, 272 risk-budgeted positions, 23 risk-neutral: density, 28–29, 186; pricing, 29; probability, 28, 226 riskless: asset, 17, 21, 24; interest rate, 135; returns, 5–6 RiskMetrics model, 175 Rockinger, M., 210 Rogoff, K., 148, 151 Tải thêm nhiều sách : www.topfxvn.com Index 353 Roll model, 250, 253 Roll, R., 19, 41, 62–65, 74, 151, 249–53, 262–64 rolling peg, 153 Rose, A., 154 Rosenberg, B., 122–26, 132 Ross, S A., 295 rotational indeterminacy, 81–82, 89, 133 Rowley, I., 157 Rubin, D B., 38 Rudd, A., 162–63 Russian financial crisis, 260, 263, 291 Sadka, R., 254–56, 262–63, 266–67, 270 sample distribution, 58 sample moment, 37, 91 Samuelson, P A., 14 scalar factor model, 81, 89–90 scenario modeling, 202 Scheinkman, J., 118, 121 Scholes, M., 273–76 Schwartz, E., 224 Schwartz, R A., 273, 275, 277 security selection, 20, 159–62 segmented asset allocation, 159–62 segmented risk model, 155, 160 selection biases, 291–93 semicorrelation, 181–82 semiparametric estimation, 132–33 Seppi, D J., 262 Sharpe measure, 272 Sharpe, W F., 157 Shepard, P G., 166 Shephard, N., 180 Sheppard, K., 169 shift factor, 120, 157 Shin, H., 154 short-sale, 6, 31 shrinkage estimator, 55, 58–59 Shulman, E C., 142 signal volatility, 57 simulation, 200; noise, 45, 201 size: characteristic, 132; factor, 158 skewness, 8, 193–98; negative, small-n: approach, 90; estimates, 26, 88, 90, 95, 98; maximum-likelihood estimations, 98; test, 98 smoothed valuations, 271–72, 276–77 Solnik, B., 183, 190, 210–11, 291 Solt, M E., 149–50 Sorge, K., 165–66 specification error, 55–56, 58, 73 spot exchange rate, 138 spread risk, 214 square-root-of-time rule, 180, 194–95 stale pricing, 42–43, 277 Stambaugh, R F., 259–60 standardized: moments, 193; return, Stanzl, W., 268, 270 stationarity, 168, 172 stationary mean reversion, 147–48, 152 statistical arbitrage, 86–88 statistical factor models, 57, 79, 116, 127–29 Stefek, D., 162–64 stochastic intensity models, 229 stochastic volatility (SV) models, 167, 173, 178–80 stock market crash of 1987, 260–61, 263 stress testing, 202, 270 strict factor model, 58 structural or cause-and-effect credit model, 221 Student’s t-distribution, 197–98 Student’s t-test, 68, 106 Stulz, R M., 149–50 style drift, 271 Subrahmanyam, A., 262–63 survivorship biases, 271, 291–95 Svensson, L., 153 symmetric positive semidefinite matrices, 82 T -period: log return, 3; return, tail dependence, 210–11 tail events, 210 tail index, 183, 205–7; Hill estimator, 206 tail risk, 203–7, 318 target zone, 152 Tải thêm nhiều sách : www.topfxvn.com 354 Index TASS, 294 Tawn, J A., 210–11 Taylor, W M., 297 temporal aggregation of risk, term structure of interest rates, 117–18; butterfly factor, 119; shift factor, 118–19; twist factor, 119 term-spread factor, 105 termination biases, 291 tilt portfolio, 21 time aggregation, 167, 172, 180–81 Titman, S., 132, 306–7 Toft, K., 224 trader option, 32 transaction costs, 241–70 Treynor, J L., 288, 303, 306 Treynor–Mazuy model, 306 true probability density, 28 Trzcinka, C A., 251 Turnbull, S M., 217 twenty-stock rule, 45, 190 twist factor, 120, 157 two-tier factor model, 164 unbalanced panel, 38, 95 uncovered interest rate parity, 145 unemployment, 107, 110 unexpected inflation, 104, 106–7, 114 unit hedge, 143 unit-cost portfolio, 6, 12–13 Uppal, R., 184 Upper, C, 264–65 utility function, 13–14, 16, 28 valuation signal, 56 value factor, 158 value portfolio, 157 value-at-risk (VaR), 12–13, 34, 160, 186, 191, 194–95, 198, 201, 203–5, 316, 318–19 variance, 7–9, 12–13, 15, 191; gamma, 186; ratio statistic, 147; risk premium, 186; swaps, 185–87 vector autoregression, 187–88 venture capital, 279 Viceira, L M., 148–49, 187 Viskanta, T E., 181–82 volatility, 7, 12, 39; dynamics, 167–90, 198; feedback, 170–71; forecast evaluation, 309–16; persistence, 171; regime-switching model, 198; term structure, 187–88 volatility index (VIX), 185–87; new, 185; old (VXO), 185–86 Volker, P., 114 Weinstein, J., 207 Wermers, R., 306–7 Whitcomb, D K., 273, 275, 277 White, A., 236 Williams, J., 273–76 Wishart distribution, 37 Wu, X., 171, 186 Wyplosz, C., 154 Xu, Y., 189–90 zero-beta condition, 86 zero-cost: constraint, 6; portfolio, 20 Zigrand, J P., 194 Tải thêm nhiều sách : www.topfxvn.com