| Description |
xv, 397 pages : illustrations ; 24 cm |
| Contents |
Contents note continued: 10.3.2.Utility Loss -- 10.4.Utility Loss Caused by Trading Restrictions and Transaction Costs -- 10.4.1.Discrete-Time CPPI -- 10.4.2.Discrete-Time Option-Based Strategy -- 10.4.3.Comments on Utility Loss and Shortfall Probability -- 10.5.Utility Loss Caused by Guarantees and Borrowing Constraints -- 10.6.Conclusion -- ch. 11 Portfolio Insurances, CPPI and CPDO, Truth or Illusion? / Wim Schoutens -- 11.1.Introduction -- 11.2.Credit Risk and Credit Default Swaps -- 11.2.1.Credit Risk -- 11.2.2.Credit Default Swaps (CDS) -- 11.3.Portfolio Insurances -- 11.4.Modeling of CPPI Dynamics Using Multivariat Jump-Driven Processes -- 11.4.1.Multivariate Variance Gamma Modeling -- 11.4.2.Swaptions on Credit Indices -- 11.4.2.1.Black's Model -- 11.4.2.2.The variance gamma model -- 11.4.3.Spread Modeling by Correlated VG Processes -- 11.4.3.1.The pricing of CPPIs -- 11.4.3.2.Gap risk -- 11.5.Recent Developments for CPPI -- |
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Contents note continued: 11.5.1.Portfolio Insurance: The Extreme Value Approach to the CPPI Method -- 11.5.2.VaR Approach for Credit CPPI -- 11.5.3.CPPI with Cushion Insurance -- 11.6.A New Financial Instrument: Constant Proportion Debt Obligations -- 11.6.1.The Struture -- 11.6.2.CPDOs in the Spotlight -- 11.6.3.Rating CPDOs Under VG Dynamics -- 11.7.Comparison Between CPPI and CPDO -- 11.8.Conclusion -- ch. 12 On the Benefits of Robust Asset Allocation for CPPI Strategies / Ralf Werner -- 12.1.Motivation -- 12.2.The Financial Market -- 12.2.1.The Basic Financial Market -- 12.2.2.The Basic Financial Market -- 12.2.3.The Risky Asset -- 12.2.4.Classical Mean-Variance Analysis -- 12.2.5.The Trading Strategy -- 12.3.The Standard CPPI Strategy -- 12.3.1.The Simple Case -- 12.3.2.The General Case -- 12.3.3.Shortfall Probability of CPPI Strategies -- 12.3.4.Improving CPPI Strategies -- 12.3.5.CPPI Strategies Under Estimation Risk -- |
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Contents note continued: 12.4.Robust Mean-Variance Optimization and Improved CPPI Strategies -- 12.4.1.Robust Mean-Variance Analysis -- 12.4.2.Uncertainty Sets Via Expert Opinions or Related Estimators -- 12.4.3.Uncertainty Sets Via Confidence Sets -- 12.4.4.Usage and Implications for CPPI Strategies -- 12.4.5.CPPIs with Robust Asset Allocations -- 12.5.Conclusion -- ch. 13 Robust Asset Allocation Under Model Risk / Sandrine Tobelem -- 13.1.Background -- 13.2.A Robust Approach to Model Risk -- 13.2.1.The Absolute Ambiguity Robust Adjustment -- 13.2.2.Relative Ambiguity Robust Adjustment -- 13.2.3.ARA Parametrization -- 13.3.Some Definitions Relative to the Ambiguity-Adjusted Asset Allocation -- 13.4.Empirical Tests -- 13.4.1.Portfolios Tested -- 13.4.2.Performance Measures -- 13.4.3.Results -- 13.4.3.1.Performances of the different models -- 13.4.3.2.SEU portfolio -- 13.4.3.3.Ambiguity robust portfolios -- 13.5.Conclusion -- |
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Contents note continued: 15.5.Numerical Illustration |
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Contents note continued: 2.2.4.2.Buyout funds -- 2.2.4.3.Leveraged buyouts (LBO) -- 2.3.Investment Possibilities---One Asset, Many Classes -- 2.3.1.Direct Investments -- 2.3.2.Private Equity Funds -- 2.3.2.1.Key players -- 2.3.3.Cash Flow Structure of a Private Equity Fund -- 2.3.4.Fund-of-Funds -- 2.3.4.1.Structure of a private equity fund-of-funds -- 2.3.4.2.Advantages -- 2.3.4.3.Disadvantages -- 2.3.5.Publicly Traded Private Equity -- 2.3.6.Secondary Transactions -- 2.3.6.1.Types of secondary transactions -- 2.3.6.2.Buyer's motivation -- 2.4.Private Equity as Alternative Asset Class in an Investment Portfolio -- 2.4.1.Characteristics of LPE Return Series -- 2.4.2.Modeling Return Series with Markov-Switching Processes -- 2.4.2.1.Markov-Switching models -- 2.4.2.2.Fitting the parameters -- 2.4.2.3.Simulation of return paths -- 2.4.3.Listed Private Equity in Asset Allocation -- 2.4.3.1.Performance measurement -- 2.4.3.2.Portfolio optimization frameworks -- |
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Contents note continued: 2.4.3.3.Definition of investor types -- 2.4.3.4.Optimization of portfolios -- 2.5.Conclusion -- ch. 3 Alternative Real Assets in a Portfolio Context / Sebastian Willutzky -- 3.1.Introduction -- 3.2.Overview on Alternative Real Assets -- 3.3.Modeling Photovaltaic Investments -- 3.3.1.General Appraoach -- 3.3.2.Definition of the Investment Project -- 3.3.3.Modeling of Risk Factors -- 3.3.3.1.Economic factors -- 3.3.3.2.Non-economic Factors -- 3.3.3.3.Historical analysis of monthly global irradiance -- 3.3.3.4.Monte Carlo analysis of yearly global irradiance -- 3.4.Photovoaltaic Investments in a Porfolio Context -- 3.4.1.Setting the Port folio Context -- 3.4.2.Including Photovoltaic Investments in a Portfolio -- 3.4.3.Results -- 3.5.Conclusion -- ch. 4 The Freight Market and Its Derivatives / Patrick Scherer -- 4.1.Introduction: the Freight Market -- 4.1.1.Vessels -- 4.1.2.Cargo -- 4.1.3.Routes -- 4.2.Freight Rates: What Drives the Market? -- |
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Contents note continued: 4.2.1.Demand for Shipping Capacity -- 4.2.2.Supply of Shipping Capacity -- 4.2.3.Costs -- 4.3.Freight Derivatives: Hedging or Speculating? -- 4.3.1.Forward Freight Agreement -- 4.3.2.Freight Futures -- 4.4.Explanatory Variables -- 4.4.1.Explanatory Power -- 4.4.2.Granger Causality -- 4.4.3.Selection Algorithm "Top Five" -- 4.4.4.Cointegration -- 4.5.Predicting Freight Sopt and Futures Rates -- 4.6.The Backtesting Algorithm -- 4.7.Conclusion -- ch. 5 On Forward Price Modeling in Power Markets / Fred Espen Benth -- 5.1.Introduction -- 5.2.HJM Approach to Power Forward Pricing -- 5.3.Power Forwards and Approximation by Geometric Brownian Motion -- 5.3.1.A Geometric Brownian Motion Dynamics by Volatility Averaging -- 5.3.2.A Geometric Brownian Motion Dynamics by Moment Matching -- 5.3.3.The Covariance Structure Between Power Forwards -- 5.3.4.The Distribution of a Power Forward -- 5.3.5.Numerical Analysis of the Power Forward Distribution -- |
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Contents note continued: 5.4.Pricing of Options on Power Forwards -- 5.5.Conclusion -- ch. 6 Pricing Certificates Under Issuer Risk / Marcos Escobar -- 6.1.Introduction -- 6.2.The Model -- 6.3.Pricing of Certificates Under Issuer Risk -- 6.3.1.Buiding Blocks -- 6.3.2.Index Certificates -- 6.3.3.Participation Guarantee Certificates -- 6.3.4.Bonus Guarantee Certificates -- 6.3.5.Discount Certificates -- 6.3.6.Bonus Certificates -- 6.4.Conclusion -- ch. 7 Asset Allocation with Credit Instruments / Rudi Zagst -- 7.1.Introduction -- 7.2.Simulation Framework -- 7.3.Framework for Total Return Calculation -- 7.4.Optimization Framework -- 7.4.1.Mean-Variance Optimization -- 7.4.2.CVaR Optimization -- 7.5.Model Calibration and Simulation Results -- 7.5.1.Mean-Variance Approach -- 7.5.2.Conditional Value at Risk -- 7.5.3.Comparison of Selected Optimal Portfolios -- 7.6.Summary and Conclusion -- ch. 8 Cross Asset Portfolio Derivatives / Philip Seegerer -- |
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Contents note continued: 8.1.Introduction to Cross Asset Portfolio Derivatives -- 8.1.1.Definitions and Examples -- 8.2.Collateralized Obligations -- 8.3.A Comparison of CFO with CTSO -- 8.3.1.Structural Features of CFO -- 8.3.2.Structural Features of CTSO -- 8.3.3.The Different Risks -- 8.3.4.Correlation of Tail Events in CTSO -- 8.4.Pricing Cross Asset Portfolio Derivatives -- 8.4.1.Pricing Trigger Swaps -- 8.4.2.Pricing nth-to-Trigger Baskets -- 8.4.3.Pricing CTSO -- 8.4.4.Modeling Approaches -- 8.4.4.1.The structural approach -- 8.4.4.2.The copula approach -- 8.4.5.An Example for an nth-to Trigger Basket -- 8.4.5.1.A pricing exercise of Example 3 (structural approach) -- 8.4.5.2.A pricing exercise of Example 3 (copula approach) -- 8.4.5.3.Resulting model spreads -- 8.5.Outlook -- 8.6.Conclusion -- pt. II Alternative Strategies -- ch. 9 Dynamic Portfolio Insurance Without Options / Dominik Dersch -- 9.1.Introduction -- 9.2.Simple Strategies -- 9.2.1.Buy-and-Hold -- |
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Contents note continued: 9.2.2.Stop-Loss -- 9.2.3.The Bond Floor Strategy -- 9.2.4.Plain Vanilla CPPI -- 9.3.Historical Simulation I -- 9.4.Advanced Features -- 9.4.1.Transaction Costs -- 9.4.2.Transaction Filter -- 9.4.3.Lock-in Levels -- 9.4.4.Leverage and Constrain of Exposure -- 9.4.5.Rebalancing Strategies for the Risky Portfolio -- 9.4.6.CPPI and Beyond -- 9.5.Historical Simulation II -- 9.5.1.Transaction Costs and Transaction Filter -- 9.5.2.Lock-in Levels -- 9.5.3.The Use of Leverage -- 9.5.4.CPPI on a Multi-Asset Risky Portfolio -- 9.6.Implement a Dynamic Protection Strategy with ETF -- 9.7.Closing Remarks -- ch. 10 How Good are Portfolio Insurance Strategies? / Antje Mahayni -- 10.1.Introduction -- 10.2.Optimal Portfolio Selection with Finite Horizons -- 10.2.1.Problem (A) -- 10.2.2.Problem (B) -- 10.2.3.Problem (C) -- 10.2.4.Comparison of Optimal Solutions -- 10.3.Utility Loss Caused by Guarantees -- 10.3.1.Justification of Guarantees and Empirical Observations -- |
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Contents note continued: ch. 14 Semi-Static Hedging Strategies for Exotic Options / Philipp Mayer -- 14.1.Introduction -- 14.2.Hedging Path-Independent Options -- 14.2.1.Plain Vanilla Options with Arbitrary Strikes are Liquid -- 14.2.2.Finitely Many Liquid Strikes -- 14.3.Hedging Barrier and Other Weakly Path Dependent Options -- 14.3.1.Model-Dependent Strategies: Perfect Replication -- 14.3.2.Model-Dependent Strategies: Approximations -- 14.3.3.Model-Independent Strategies: Robust Strategies -- 14.4.Hedging Strongly Path-Dependent Options -- 14.4.1.Lookback Options -- 14.4.2.Asian Options -- 14.5.Case Study: Model-Dependent Hedging of Discretely Sampled Options -- 14.6.Conclusion and Future Research -- ch. 15 Discrete-Time Variance-Optimal Hedging in Affine Stochastic Volatility Models / Natalia Shenkman -- 15.1.Introduction -- 15.2.Discrete-Time Variance-Optimal Hedging -- 15.3.The Laplace Transform Approach -- 15.4.Application to Affine Stochastic Volatility Models -- |
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Machine generated contents note: pt. I Alternative Investments -- ch. 1 Socially Responsible Investments / Rudi Zagst -- 1.1.Introduction -- 1.2.Recent Research on SRI -- 1.3.How Sustainable is Sustainability? -- 1.3.1.Description of the Dataset -- 1.3.2.Introduction to Markov Transition Matrices -- 1.3.3.Results of Markov Transition Matrices -- 1.4.SRI in Portfolio Context -- 1.4.1.Description of the Dataset and Statistical Properties -- 1.4.2.Markov-Switching Model -- 1.4.3.Fitting the Model Parameters -- 1.4.4.Simulation of Returns -- 1.4.5.Portfolio Optimization Models -- 1.4.6.Definition of Investor Types -- 1.4.7.Optimal Portfolios -- 1.5.Conclusion -- ch. 2 Listed Private Equity in a Portfolio Context / Rudi Zagst -- 2.1.Introduction -- 2.2.Defining Private Equity Categories -- 2.2.1.Financing Stages -- 2.2.2.Divestment Strategies -- 2.2.3.Type of Financing -- 2.2.4.Classification of Private Equity Fund Investments -- 2.2.4.1.Venture capital funds -- |
| Summary |
This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, real alternative assets (RAA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options |
| Notes |
Formerly CIP. Uk |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Print version record |
| Subject |
Asset allocation.
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Investments -- Moral and ethical aspects.
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Investments.
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Portfolio management -- Moral and ethical aspects.
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Portfolio management.
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| Author |
Kiesel, Rüdiger, 1962-
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Scherer, Matthias, 1979-
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Zagst, Rudi, 1961-
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| LC no. |
2010013167 |
| ISBN |
9789814280105 |
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9814280100 |
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