Approximation of Pro t - and - Loss Distributions ( Management

نویسندگان

  • Karl Frauendorfer
  • Pierre-Yves Moix
  • Olivier Schmid
چکیده

The evaluation of a portfolio and its risk exposure with respect to market movements become di cult as soon as contingent claims are involved. In case only the performance of a portfolio has to be determined, practitioners use the mark-to-market pricing each trading day and observe the value changes of the underlying portfolio ex post. A price series becomes available which reveals not only the performance but also the risk-return pattern of the various nancial activities untertaken by the portfolio manager. Practitioners prefer this approach due to its simplicity, there is no need for information ex ante, neither for determining the value functions of the nancial instruments nor for assessing the probability distribution of the risk factors. However, it is this lack of information, that makes it di cult to rebalance the portfolio for achieving an improved risk-return pattern in an e cient way.

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تاریخ انتشار 1999