An Index for Ranking Financial Portfolios According to Internal Turnover

2009 ◽  
pp. 445-452
Author(s):  
Laura Attardi ◽  
Domenico Vistocco
Keyword(s):  
Financial Portfolios

scholarly journals ESTIMATING VALUE-AT-RISK BASED ON NON-NORMAL DISTRIBUTIONS

2015 ◽  
Vol 3 ◽  
pp. 188-195 ◽  
Author(s):  
Mária Bohdalová ◽  
Michal Greguš
Keyword(s):  
At Risk ◽  
Risk Factor ◽  
Value At Risk ◽  
Likelihood Method ◽  
Normal Distributions ◽  
Confidence Levels ◽  
Portfolio Returns ◽  
Distribution Parameters ◽  
Financial Portfolios ◽  
Daily Changes

The article presents a comparative study of parametric linear value-at-risk (VaR) models used for estimating the risk of financial portfolios. We illustrate how to adjust VaR for auto-correlation in portfolio returns. The article presents static and dynamic methodology to compute VaR, based on the assumption that daily changes are independent and identically distributed (normal or non-normal) or auto-correlated in terms of the risk factor dynamics. We estimate the parametric linear VaR over a risk horizon of 1 day and 10 days at 99% and 95% confidence levels for the same data. We compare the parametric VaR and a VaR obtained using Monte Carlo simulations with historical simulations and use the maximum likelihood method to calibrate the distribution parameters of our risk factors. The study investigated whether the parametric linear VaR applies to contemporary risk factor analysis and pertained to selected foreign rates.

scholarly journals Robust profit opportunities in risky financial portfolios

2005 ◽  
Vol 33 (4) ◽  
pp. 331-340 ◽  
Author(s):  
Mustafa Ç. Pınar ◽  
Reha H. Tütüncü
Keyword(s):  
Financial Portfolios

Scenario optimization technique for the assessment of downside-risk and investable portfolios in post-financial crisis

2015 ◽  
Vol 02 (03) ◽  
pp. 1550028 ◽  
Author(s):  
Mazin A. M. Al Janabi
Keyword(s):  
Portfolio Management ◽  
Value At Risk ◽  
Management Practices ◽  
Optimization Technique ◽  
Downside Risk ◽  
Scenario Optimization ◽  
Risk Algorithm ◽  
Financial Portfolios ◽  
Risk Parameters ◽  
Risk Limits

The aim of this paper is to develop an optimization technique for the assessment of downside-risk limits and investable financial portfolios under crisis-driven outlooks subject to applying meaningful financial and operational constraints. The simulation and testing methods are based on the renowned concept of liquidity-adjusted value-at-risk (LVaR) along with the development of an optimization risk-algorithm utilizing matrix–algebra technique. With the purpose of demonstrating the effectiveness of LVaR and stress-testing techniques, real-world quantitative analysis of structured equity portfolios are depicted for the Gulf Cooperation Council (GCC) financial markets. To this end, several structural simulations studies are accomplished with the goal of establishing realistic financial modeling algorithm for the calculation of downside-risk parameters and to empirically assess portfolio managers' optimal and investable portfolios. The developed methodology and risk valuation algorithms can aid in advancing risk assessment and portfolio management practices in emerging markets, particularly in the wake of the most recent credit crunch and the subsequent financial turmoil.

Equities and Commodities Comovements: Evidence from Emerging Markets

2018 ◽  
Vol 18 (3) ◽  
pp. 20170075 ◽  
Author(s):  
Maria E. de Boyrie ◽  
Ivelina Pavlova
Keyword(s):  
Emerging Markets ◽  
Latin American ◽  
Explanatory Power ◽  
Precious Metals ◽  
Equity Markets ◽  
Investment Strategy ◽  
Volatility Spillovers ◽  
Developed Markets ◽  
Financial Portfolios ◽  
Index Investment

The financialization of commodities and their inclusion in financial portfolios as part of an investment strategy may result in higher correlations and volatility spillovers between commodity and equity markets. In this paper, we estimate the correlation between equity markets and commodities using the dynamic conditional correlation (DCC) model, while emphasizing the differences between emerging and developed markets co-movements with commodities. The results reveal that certain emerging markets, especially those in Asia, show a much lower level of co-movement with commodities than developed markets do, while Latin American equities exhibit a higher level of integration with commodities. Furthermore, it is found that both agricultural and precious metals commodities offer better diversification possibilities in the less developed markets. We also find that increases in the CBOE Volatility Index (VIX) are related to higher agriculture commodities-equities correlations, while commodity net index investment has limited explanatory power in our study.

Stock Market Volatility

2022 ◽  
pp. 204-230
Author(s):  
Ezaz Ahmed ◽  
Md. Mahadi Hasan ◽  
Zakir Hossen Shaikh ◽  
Mohammad Irfan
Keyword(s):  
Warning Signal ◽  
Coefficient Matrix ◽  
Market Volatility ◽  
Strong Positive Correlation ◽  
Stock Market Volatility ◽  
Considerable Influence ◽  
Stock Volatility ◽  
Preventative Measures ◽  
The Government ◽  
Financial Portfolios

Researchers examine stock volatility in emerging (E7) nations prior to and during COVID-19 announcements using multiple volatility estimations. The correlation coefficient matrix indicates that there is a strong positive correlation between the specified volatility estimators in the pre-COVID-19 and post-COVID-19 periods. Rogers-Satchell standard deviation has the first rank, and Garman-Klass has the last position in the pre-post-COVID-19 analysis volatility estimators. However, the authors discover a considerable influence of pre-post COVID-19 on the world's E7 countries. The findings' primary implication is that post-COVID-19 volatility is greater than pre-COVID-19 volatility. This means that investors' financial portfolios should be rebalanced to favor industries that are less impacted by COVID-19. Additionally, it serves as an early warning signal for investors and the government to take preventative measures in the event that it occurs again in the future.

scholarly journals Individual Investors and Portfolio Diversification in Late Victorian Britain: How Diversified Were Victorian Financial Portfolios?

2018 ◽  
Vol 78 (2) ◽  
pp. 435-471 ◽  
Author(s):  
Dimitris P. Sotiropoulos ◽  
Janette Rutterford
Keyword(s):  
Nineteenth Century ◽  
Risk Reduction ◽  
Portfolio Diversification ◽  
Individual Investors ◽  
England And Wales ◽  
Financial Advice ◽  
Victorian Britain ◽  
Portfolio Strategies ◽  
Financial Portfolios ◽  
Financial Securities

This article investigates Victorian investor financial portfolio strategies in England and Wales during the second half of the nineteenth century. We find that investors held on average about half of their gross wealth in the form of four or five liquid financial securities, but were reluctant to adopt fully contemporary financial advice to invest equal amounts in securities or to spread risk across the globe. They generally held under-diversified portfolios and proximity to their investments may have been an alternative to diversification as a means of risk reduction, especially for the less wealthy.

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