Asset Allocation, Performance Measurement and Downside Risk

0 avg rating
( 0 ratings by Goodreads )
 
9783838632216: Asset Allocation, Performance Measurement and Downside Risk

Inhaltsangabe:Abstract: Investors should not and in fact do not hold a single asset, they hold groups or portfolios of assets. An important aspect in portfolio theory is that the risk of a portfolio is more complex than the risk of its components. It depends on how much the assets represented in the portfolio move together, that is, on the correlation between the single assets. In portfolio theory, there are several definitions of risk: First of all, the Capital Asset Pricing Model (CAPM) relies on the beta factor of an asset relative to the market as a measure for the asset’s risk. On the other hand, also downside risk can be used in order to determine a portfolio’s risk. The kind of risk in question is market risk, which is the risk of losses arising from adverse movements in market prices or rates. Market risk can be subdivided into interest rate risk, equity price risk, exchange rate risk and commodity price risk. For many investment decisions, there is a minimum return that has to be reached in order to meet different criteria. Returns above this minimum acceptable return ensure that these goals are reached and thus are not considered risky. Standard deviation captures the risk associated with achieving the mean, while downside risk assumes that only those returns that fall below the minimal acceptable return incur risk. One has to distinguish between good and bad volatility. Good volatility is dispersion above the minimal acceptable return, the farther above the minimal acceptable return, the better it is. One way of measuring downside risk is to consider the shortfall probability or chances of falling below the minimal acceptable return. Another possibility is measuring downside variance, i.e. variance of the returns falling below the minimal acceptable return. As a consequence, downside variance is very sensitive to the estimate of the mean of the return function, while standard deviation does not suffer from this problem. Thus the calculation of downsid

"synopsis" may belong to another edition of this title.

Top Search Results from the AbeBooks Marketplace

1.

Alexandra Elisabeth Janovsky
Published by Diplom.de (2001)
ISBN 10: 3838632214 ISBN 13: 9783838632216
New Quantity Available: > 20
Print on Demand
Seller:
Pbshop
(Wood Dale, IL, U.S.A.)
Rating
[?]

Book Description Diplom.de, 2001. PAP. Book Condition: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Bookseller Inventory # IP-9783838632216

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 68.10
Convert Currency

Add to Basket

Shipping: US$ 3.99
Within U.S.A.
Destination, Rates & Speeds

2.

Janovsky, Alexandra Elisabeth
Published by diplom.de (2016)
ISBN 10: 3838632214 ISBN 13: 9783838632216
New Paperback Quantity Available: 1
Print on Demand
Seller:
Ria Christie Collections
(Uxbridge, United Kingdom)
Rating
[?]

Book Description diplom.de, 2016. Paperback. Book Condition: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Bookseller Inventory # ria9783838632216_lsuk

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 68.17
Convert Currency

Add to Basket

Shipping: US$ 5.18
From United Kingdom to U.S.A.
Destination, Rates & Speeds

3.

Janovsky, Alexandra Elisabeth
Published by Diplom.De (2001)
ISBN 10: 3838632214 ISBN 13: 9783838632216
New Softcover Quantity Available: 15
Print on Demand
Seller:
Rating
[?]

Book Description Diplom.De, 2001. Book Condition: New. This item is printed on demand for shipment within 3 working days. Bookseller Inventory # LP9783838632216

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 70.30
Convert Currency

Add to Basket

Shipping: US$ 3.52
From Germany to U.S.A.
Destination, Rates & Speeds

4.

Alexandra Elisabeth Janovsky
Published by Diplom.de (2001)
ISBN 10: 3838632214 ISBN 13: 9783838632216
New Quantity Available: > 20
Print on Demand
Seller:
Books2Anywhere
(Fairford, GLOS, United Kingdom)
Rating
[?]

Book Description Diplom.de, 2001. PAP. Book Condition: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. Bookseller Inventory # IP-9783838632216

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 63.71
Convert Currency

Add to Basket

Shipping: US$ 12.05
From United Kingdom to U.S.A.
Destination, Rates & Speeds

5.

Alexandra Elisabeth Janovsky
Published by diplom.de
ISBN 10: 3838632214 ISBN 13: 9783838632216
New Paperback Quantity Available: > 20
Seller:
BuySomeBooks
(Las Vegas, NV, U.S.A.)
Rating
[?]

Book Description diplom.de. Paperback. Book Condition: New. 124 pages. Dimensions: 8.3in. x 5.8in. x 0.3in.Diploma Thesis from the year 2001 in the subject Business economics - Investment and Finance, grade: 1, 0, University of Vienna (unbekannt, Betriebswirtschaftslehre), language: English, abstract: Inhaltsangabe: Abstract: Investors should not and in fact do not hold a single asset, they hold groups or portfolios of assets. An important aspect in portfolio theory is that the risk of a portfolio is more complex than the risk of its components. It depends on how much the assets represented in the portfolio move together, that is, on the correlation between the single assets. In portfolio theory, there are several definitions of risk: First of all, the Capital Asset Pricing Model (CAPM) relies on the beta factor of an asset relative to the market as a measure for the assets risk. On the other hand, also downside risk can be used in order to determine a portfolios risk. The kind of risk in question is market risk, which is the risk of losses arising from adverse movements in market prices or rates. Market risk can be subdivided into interest rate risk, equity price risk, exchange rate risk and commodity price risk. For many investment decisions, there is a minimum return that has to be reached in order to meet different criteria. Returns above this minimum acceptable return ensure that these goals are reached and thus are not considered risky. Standard deviation captures the risk associated with achieving the mean, while downside risk assumes that only those returns that fall below the minimal acceptable return incur risk. One has to distinguish between good and bad volatility. Good volatility is dispersion above the minimal acceptable return, the farther above the minimal acceptable return, the better it is. One way of measuring downside risk is to consider the shortfall probability or chances of falling below the minimal acceptable return. Another possibility is measuring downside variance, i. e. variance of the returns falling below the minimal acceptable return. As a c This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Paperback. Bookseller Inventory # 9783838632216

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 77.20
Convert Currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, Rates & Speeds

6.

Alexandra Elisabeth Janovsky
Published by diplom.de (2001)
ISBN 10: 3838632214 ISBN 13: 9783838632216
New Paperback Quantity Available: > 20
Print on Demand
Seller:
The Book Depository EURO
(London, United Kingdom)
Rating
[?]

Book Description diplom.de, 2001. Paperback. Book Condition: New. Language: English . Brand New Book ***** Print on Demand *****.Inhaltsangabe: Abstract: Investors should not and in fact do not hold a single asset, they hold groups or portfolios of assets. An important aspect in portfolio theory is that the risk of a portfolio is more complex than the risk of its components. It depends on how much the assets represented in the portfolio move together, that is, on the correlation between the single assets. In portfolio theory, there are several definitions of risk: First of all, the Capital Asset Pricing Model (CAPM) relies on the beta factor of an asset relative to the market as a measure for the asset s risk. On the other hand, also downside risk can be used in order to determine a portfolio s risk. The kind of risk in question is market risk, which is the risk of losses arising from adverse movements in market prices or rates. Market risk can be subdivided into interest rate risk, equity price risk, exchange rate risk and commodity price risk. For many investment decisions, there is a minimum return that has to be reached in order to meet different criteria. Returns above this minimum acceptable return ensure that these goals are reached and thus are not considered risky. Standard deviation captures the risk associated with achieving the mean, while downside risk assumes that only those returns that fall below the minimal acceptable return incur risk. One has to distinguish between good and bad volatility. Good volatility is dispersion above the minimal acceptable return, the farther above the minimal acceptable return, the better it is. One way of measuring downside risk is to consider the shortfall probability or chances of falling below the minimal acceptable return. Another possibility is measuring downside variance, i.e. variance of the returns falling below the minimal acceptable return. As a consequence, downside variance is very sensitive to the estimate of the mean of the return function, while standard deviation does not suffer from this problem. Thus the calculation of downsid. Bookseller Inventory # APC9783838632216

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 116.28
Convert Currency

Add to Basket

Shipping: US$ 4.01
From United Kingdom to U.S.A.
Destination, Rates & Speeds