Savings goals and wealth allocation in household financial portfolios

2020 ◽  
pp. 106028
Author(s):  
Frederick Kibon Changwony ◽  
Kevin Campbell ◽  
Isaac T. Tabner
Keyword(s):  
Financial Portfolios ◽  
Wealth Allocation

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.

THE VEIL OF IGNORANCE VIOLATES PRIORITY

2008 ◽  
Vol 24 (2) ◽  
pp. 233-257 ◽  
Author(s):  
Juan D. Moreno-Ternero ◽  
John E. Roemer
Keyword(s):  
Veil Of Ignorance ◽  
Distribution Of Wealth ◽  
The Veil ◽  
Wealth Allocation ◽  
John Harsanyi ◽  
Do So

The veil of ignorance has been used often as a tool for recommending what justice requires with respect to the distribution of wealth. We complete Harsanyi's model of the veil of ignorance by appending information permitting objective comparisons among persons. In order to do so, we introduce the concept of objective empathy. We show that the veil-of-ignorance conception of John Harsanyi, so completed, and Ronald Dworkin's, when modelled formally, recommend wealth allocations in conflict with the prominently espoused view that priority should be given to the less able in wealth allocation. We finally argue that the veil of ignorance should be rejected as a tool for discovering what justice requires.

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.

Sign in / Sign up

Export Citation Format

Share Document