Titlebook: Advanced REIT Portfolio Optimization; Innovative Tools for W. Brent Lindquist,Svetlozar T. Rachev,Abootaleb S Book 2022 The Editor(s) (if a

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https://doi.org/10.1007/978-3-030-72961-5ize of the capital requirement is determined by the value-at-risk (VaR) of the portfolio. The VaR exposure is determined through a customary set of tests under a procedure referred to as . This is the subject of this chapter. Eight standard backtests are discussed and applied to historically optimiz

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U. Hacker-Klom,W. Göhde,J. Schumannical and dynamic optimization, adding the stocks significantly improves the price performance of minimum risk portfolios by reducing the value-at-risk of the portfolios. The reverse holds for the tangent portfolio optimizations, under which adding the stocks dramatically worsens the value-at-risk an

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U. Hacker-Klom,W. Göhde,J. Schumanners the potential to detect structural breaks in a time series and forecast potential distressed market periods. Each risky asset in a portfolio contributes to the overall risk of a portfolio through the asset’s inherent risk as well as the weight assigned to it. Factor analysis is used to identify

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F. J. Otto,H. Oldiges,V. K. Jaine underlying asset, hence a model for pricing options must couple innately to the model for the underlying asset price. This chapter details option pricing based upon a so-called double subordination price model for the asset. Subordination models offer the ability to include more of the stylized fa

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Martino Grandolfo,Paolo Vecchiater develops the theory of ESG-valued option pricing using binomial trees employing discrete (rather than continuous) ESG-valued returns. Call option prices are developed using different domestic REIT tangent portfolios as the underlying and their values compared under changes of the ESG affinity pa

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Front Mattero choose what is best suited for his/her class. Specifically the following alternatives are available: (a) A one-year course on "Measure and Integration" utilizing Chapters 1 (Sections l. l-1. 3 and 1. 6), 2, 3, 4, portions of 5 (information on Lp spaces), and portions of 7 (left to the discretion o

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