Search results for "RICS"
showing 10 items of 14086 documents
Die Herausbildung von Zufriedenheits-urteilen bei Alternativenbetrachtung
1999
Traditional elements of competitive differentiation are declining. As industries and firms worldwide face increasing competition, slower growth rates, and price pressures, greater attention is being placed on customer satisfaction. However the research in satisfaction never consider alternatives, when customer satisfaction is formed. It has been the approach of this paper to present an extension for this circumstance. Therefor the regret theory, a diversion of the expectation utility theory, is used to explain the phenomena. According to this theory, each outcome has associated with it the evaluation of the difference between the outcome and the outcome that would have been received had a d…
Integrated simulation and optimization models for tracking international fixed income indices
2001
Portfolio managers in the international fixed income markets must address jointly the interest rate risk in each market and the exchange rate volatility across markets. This paper develops integrated simulation and optimization models that address these issues in a common framework. Monte Carlo simulation procedures generate jointly scenarios of interest and exchange rates and, thereby, scenarios of holding period returns of the available securities. The portfolio manager’s risk tolerance is incorporated either through a utility function or a (modified) mean absolute deviation function. The optimization models prescribe asset allocation weights among the different markets and also resolve b…
Value preserving portfolio strategies and the minimal martingale measure
1998
We consider some relations between the minimal martingale measure and the value preserving martingale measure in a continuous-time securities market. Under the assumption of continuous share prices we show that under a structure condition both these martingale measures exist and indeed coincide. This however does not mean that the corresponding concepts of value preserving portfolio strategies and (local) risk minimisation in the area of option hedging in incomplete markets are identical.
Econometric Model to Estimate Defaults on Payment in the Spanish Financial Sector in Oliver Wyman's Stress Tests.
2016
This work develops an econometric model based on the exogenous economic variables used in Oliver Wyman´s report. In this case the model is used in order to estimate late payments (NPLs) by Spanish credit entities. A model based on variables considered to be optimal to quantify impact on the NPLs is developed by studying the aforementioned variables, modifying them and eliminating any which are superfluous. Furthermore, whether or not the model is optimal for long periods of time is corroborated. This is due to the fact that the scenario in Oliver Wyman´s report from September 2012 (Wyman 2012) is based on 30 years of Spanish economical historical data, as stated in the report itself. The re…
A fuzzy ranking strategy for portfolio selection applied to the Spanish stock market
2007
In this paper we present a fuzzy ranking procedure for the portfolio selection problem. The uncertainty on the returns of each portfolio is approximated by means of a trapezoidal fuzzy number. The expected return and risk of the portfolio are then characteristics of that fuzzy number. A rank index that accounts for both expected return and risk is defined, allowing the decision-maker to compare different portfolios. The paper ends with an application of that fuzzy ranking strategy to the Spanish stock market.
Fuzzy Portfolio Selection Models: A Numerical Study
2012
In this chapter we analyze the numerical performance of some possibilistic models for selecting portfolios in the framework of risk-return trade-off. Portfolio optimization deals with the problem of how to allocate wealth among several assets, taking into account the uncertainty involved in the behavior of the financial markets. Different approaches for quantifying the uncertainty of the future return on the investment are considered: either assuming that the return on every individual asset is modeled as a fuzzy number or directly measuring the uncertainty associated with the return on a given portfolio. Conflicting goals representing the uncertain return on and risk of a fuzzy portfolio a…
Dynamic Volatility Weighting in the Presence of Transaction Costs
2015
Numerous empirical studies demonstrate the superiority of dynamic strategies with volatility weighting over time mechanism. These strategies control the portfolio risk over time by adjusting the risk exposure according to updated volatility forecasts. Yet, in order to reap all benefits promised by volatility weighting over time, the composition of the active portfolio must be revised rather frequently. Transaction costs represent a serious obstacle to benefiting from this dynamic risk control technique. In this paper we propose a modified volatility weighting strategy that allows one to reduce dramatically the amount of trading costs. The empirical evidence shows that the advantages of the …
Linear and nonlinear interest rate exposure in Spain
2010
PurposeThis paper aims to carry out a comprehensive analysis of the influence of interest rate risk on Spanish firms at the industry level.Design/methodology/approachThe methodology employed has its origin in the two‐index linear regression model proposed by Stone. This traditional interest rate exposure model has been extended in this paper to allow for a nonlinear exposure component as well as the presence of asymmetric behaviour in the exposure pattern.FindingsInterest rate exposure is not homogeneous for all the Spanish industries. In line with other markets, highly leveraged industries (construction and real estate), regulated industries (electrical and utilities), and banking industry…
The Choice of Performance Measure Does Influence the Evaluation of Hedge Funds
2010
It is widely accepted that, when return distributions are non-normal, the use of the Sharpe ratio can lead to misleading conclusions. It is well documented that deviations of hedge fund return distributions from normality are statistically significant. The literature on performance evaluation that takes into account the non-normality of return distributions is a vast one. However, there is another stream of research that advocates that the choice of performance measure does not influence the evaluation of hedge funds. For example, Eling and Schuhmacher (2007) and Eling (2008) performed empirical studies and, judging by the values of rank correlations, concluded that the choice of performanc…
Portfolio performance evaluation with loss aversion
2011
In this paper we consider a loss-averse investor equipped with a specific, but still quite general, utility function motivated by behavioral finance. We show that, under certain concrete assumptions concerning the form of this utility, one can derive closed-form solutions for the investor's portfolio performance measure. We investigate the effects of loss aversion and demonstrate its important role in performance measurement. The framework presented in this paper also provides a sound theoretical foundation for all known performance measures based on partial moments of the distribution.