Extreme financial risks and asset allocation

Extreme financial risks and asset allocation / Olivier Courtois, EM Lyon Business School, France, Christian Walter, Fondation Maison des Sciences de l'Homme, France.

Each financial crisis calls for - by its novelty and the mechanisms it shares with preceding crises - appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are e...

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Bibliographic Details
Main Authors: Le Courtois, Olivier (Author), Walter, Christian, 1957- (Author)
Format: eBook
Language:English
Published: London : Imperial College Press, [2014]
Series:Series in quantitative finance ; volume 5.
Subjects:
Portfolio management.
Investment analysis.
Stock price forecasting.
Corporations > Finance.
Business enterprises > Finance.
BUSINESS & ECONOMICS > Finance.
Corporations > Finance
Business enterprises > Finance
Investment analysis
Portfolio management
Stock price forecasting
Online Access:Click for online access
Table of Contents:
  • 1. Introduction
  • 2. Market framework. 2.1. Studied quantities. 2.2. The question of time
  • 3. Statistical description of markets. 3.1. Construction of a representation. 3.2. Normality tests. 3.3. Discontinuity test. 3.4. Continuity test. 3.5. Testing the finiteness of the activity
  • 4. Levy processes. 4.1. Definitions and construction. 4.2. The Levy-Khintchine formula. 4.3. The moments of Levy processes of finite variation
  • 5. Stable distributions and processes. 5.1. Definitions and properties. 5.2. Stable financial models
  • 6. Laplace distributions and processes. 6.1. The first Laplace distribution. 6.2. The asymmetrization of the Laplace distribution. 6.3. The Laplace distribution as the limit of hyperbolic distributions
  • 7. The time change framework. 7.1. Time changes. 7.2. Subordinated Brownian motions. 7.3. Time-changed Laplace process
  • 8. Tail distributions. 8.1. Largest values approach. 8.2. Threshold approach. 8.3. Statistical phenomenon approach. 8.4. Estimation of the shape parameter
  • 9. Risk budgets. 9.1. Risk measures. 9.2. Computation of risk budgets
  • 10. The psychology of risk
  • 10.1. Basic principles of the psychology of risk. 10.2. The measurement of risk aversion. 10.3. Typology of risk aversion
  • 11. Monoperiodic portfolio choice. 11.1. The optimization program. 11.2. Optimizing with two moments. 11.3. Optimizing with three moments. 11.4. Optimizing with four moments. 11.5. Other problems
  • 12. Dynamic portfolio choice. 12.1. The optimization program. 12.2. Classic approach. 12.3. Optimization in the presence of jumps
  • 13. Conclusion.

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