Environmental Risk Allocation in the Asset Rationalization Process
نویسندگان
چکیده
منابع مشابه
Risk sensitive asset allocation
This paper develops a continuous time modeling approach for making optimal asset allocation decisions. Macroeconomic and "nancial factors are explicitly modeled as Gaussian stochastic processes which directly a!ect the mean returns of the assets. We employ methods of risk sensitive control theory, thereby using an in"nite horizon objective that is natural and features the long run expected grow...
متن کاملRisk Sensitive Dynamic Asset Allocation
This paper develops a continuous time portfolio optimization model where the mean returns of individual securities or asset categories are explicitly affected by underlying economic factors such as dividend yields, a firm's ROE, interest rates, and unemployment rates. The factors are Gaussian processes, and the drift coefficients for the securities are aEne hnctions of these factors. We employ ...
متن کاملRobust portfolio asset allocation and risk measures
Many financial optimization problems involve future values of security prices, interest rates and exchange rates which are not known in advance, but can only be forecast or estimated. Several methodologies have therefore been proposed to handle the uncertainty in financial optimization problems. One such methodology is Robust Statistics, which addresses the problem of making estimates of the un...
متن کاملAsset Allocation: Risk Models for Alternative Investments
Often, the lack of mark-to-market data lures investors into the misconception that alternative asset classes and strategies represent somewhat of a “free lunch.” This article proposes solutions to measuring mark-tomarket risk in alternative and illiquid investments. The authors describe how to estimate risk factor exposures when the available asset return series may be smoothed (owing to the di...
متن کاملDynamic Asset Allocation and Downside-Risk Aversion
This paper considers dynamic asset allocation in a mean versus downside-risk framework. We derive closed-form solutions for the optimal portfolio weights when returns are lognormally distributed. Moreover, we study the impact of skewed and fat-tailed return distributions. We nd that the optimal fraction invested in stocks is V-shaped: at low and high levels of wealth the investor increases the ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Alberta Law Review
سال: 1992
ISSN: 1925-8356,0002-4821
DOI: 10.29173/alr684