'Asset returns' diaporamas de présentation

Section 2: Risk Management for Institutional Investors

Section 2: Risk Management for Institutional Investors. Financial Risk Management UC Berkeley Prof. Jeff (YuQing) Shen. The BIG Picture. Institutional Investor. Investment Bank. Hedge Fund. Theory Efficient Frontier Asset/Liability Framework Alpha/Beta risk budgeting Practice

1.39k views • 117 slides

Module 3 GARCH Models

869 views • 66 slides

Economic and Capital Markets Update

Economic and Capital Markets Update. November 16, 2017.

714 views • 44 slides

Euro Area Accounts Household Sector Report

ECB-RESTRICTED. Euro Area Accounts Household Sector Report. Antonio Matas Mir Macroeconomic Statistics Division European Central Bank. UN Economic Commission for Europe Group of Experts on National Accounts Geneva, 6-9 May 2014.

515 views • 32 slides

Multifractality. Theory and Evidence An Application to the Romanian Stock Market

Multifractality. Theory and Evidence An Application to the Romanian Stock Market. MSc Student: Cristina-Camelia Paduraru Supervisor: PhD Professor Moisa Altar. Presentation contents. Motivation Review of the Literature Basics of Multifractal Modeling Methodology to Detect Multifractality

448 views • 32 slides

Multifractality. Theory and Evidence An Application to the Romanian Stock Market

Multifractality. Theory and Evidence An Application to the Romanian Stock Market. MSc Student: Cristina-Camelia Paduraru Supervisor: PhD Professor Moisa Altar. Presentation contents. Motivation Review of the Literature Basics of Multifractal Modeling Methodology to Detect Multifractality

327 views • 32 slides

Stress-Testing - Better Portfolio Mgmt

517 views • 27 slides

Financial Econometrics

Financial Econometrics. Financial Econometrics.

419 views • 25 slides

Portfolio Selection with Skew Normal Asset Returns Quan Gan Discipline of Finance, University of Sydney

Portfolio Selection with Skew Normal Asset Returns Quan Gan Discipline of Finance, University of Sydney. Apologies. Due to the expended scope of my paper. I change the title of the paper. The previous title was: Performance of Equity REITs: Does a Skew Factor Matter?. BUSINESS SCHOOL.

351 views • 21 slides

Capital Asset Pricing Model and the Arbitrage Pricing Theorem

Capital Asset Pricing Model and the Arbitrage Pricing Theorem. Lecture XXV. Deriving the Capital Asset Pricing Model. Using the results from the Expected Value-Standard Deviation frontier, we can derive the security market line (SML). Security Market Line (SML).

383 views • 21 slides

The Trade-off Between Risk and Return

The Trade-off Between Risk and Return. Professor Dr. Rainer Stachuletz International Markets and Corporate Finance Berlin School of Economics and Law. Risk and Return. The return earned on investments represents the marginal benefit of investing.

468 views • 20 slides

Inflation-Protecting Asset Allocation: A Downside Risk Analysis ERES Conference, 5 th July 2013

Inflation-Protecting Asset Allocation: A Downside Risk Analysis ERES Conference, 5 th July 2013. Tim Koniarski, Steffen Sebastian. Motivation. The study is motivated by two facts:

261 views • 13 slides

ECN 160B Lecture 4 International Macroeconomics

ECN 160B Lecture 4 International Macroeconomics Galina A. Schwartz Department of Economics University of CA, Davis Brief on Money (next lecture) Currencies = Monies Money as a store of value, KO, p. 334 this is one of the functions of money Demand for Currency ~ Demand for Money

400 views • 12 slides

Inflation and Asset Returns

249 views • 6 slides

CAPM Testing & Implementing Porftolio Theory

CAPM Testing & Implementing Porftolio Theory. Professor Thomas Chemmanur. TESTING THE CAPM. RUN A CROSS-SECTIONAL REGRESSION: ACROSS STOCKS, IN A GIVEN PERIOD. IF THE CAPM HOLDS, WE SHOULD GET:. THEORETICAL (CAPM) LINE. ACTUAL (EMPIRICAL) LINE. ? i. 2.

45 views • 4 slides