Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue.
Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks.
Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques
Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
By:
J Alcock
Edited by:
Stephen Satchell
Imprint: John Wiley & Sons Inc
Country of Publication: United States
Dimensions:
Height: 249mm,
Width: 173mm,
Spine: 22mm
Weight: 702g
ISBN: 9781119289012
ISBN 10: 1119289017
Series: Wiley Finance
Pages: 312
Publication Date: 27 April 2018
Audience:
Professional and scholarly
,
Undergraduate
Format: Hardback
Publisher's Status: Active
About the Editors ix Introduction xi CHAPTER 1 Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence 1 Jamie Alcock and Anthony Hatherley CHAPTER 2 The Size of the CTA Market and the Role of Asymmetric Dependence 17 Stephen Satchell and Oliver Williams CHAPTER 3 The Price of Asymmetric Dependence 47 Jamie Alcock and Anthony Hatherley CHAPTER 4 Misspecification in an Asymmetrically Dependent World: Implications for Volatility Forecasting 75 Salman Ahmed, Nandini Srivastava and Stephen Satchell CHAPTER 5 Hedging Asymmetric Dependence 110 Anthony Hatherley CHAPTER 6 Orthant Probability-Based Correlation 133 Mark Lundin and Stephen Satchell CHAPTER 7 Risk Measures Based on Multivariate Skew Normal and Skew t -Mixture Models 152 Sharon X. Lee and Geoffrey J. McLachlan CHAPTER 8 Estimating Asymmetric Dynamic Distributions in High Dimensions 169 Stanislav Anatolyev, Renat Khabibullin and Artem Prokhorov CHAPTER 9 Asymmetric Dependence, Persistence and Firm-Level Stock Return Predictability 198 Jamie Alcock and Petra Andrlikova CHAPTER 10 The Most Entropic Canonical Copula with an Application to 'Style' Investment 221 Ba Chu and Stephen Satchell CHAPTER 11 Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It? 263 Rand Kwong Yew Low, Jamie Alcock, Robert Faff and Timothy Brailsford Index 291
JAMIE ALCOCK, PHD, is Associate Professor of Finance at the University of Sydney Business School. He has previously held appointments at the University of Cambridge, Downing College Cambridge, and the University of Queensland. Dr. Alcock's research interests include asset pricing, corporate finance, and real estate finance. The quality of his research has been recognized through multiple international research prizes, including most recently the EPRA Best Paper prize at the 2016 European Real Estate Society conference. STEPHEN SATCHELL, PHD, PHD, is a Life Fellow at Trinity College Cambridge, a Professor of Finance at the University of Sydney and was an Honorary Visiting Professor at Birkbeck College, University of London. He is the Emeritus Reader in Financial Econometrics at the University of Cambridge and is an Honorary Member of the Institute of Actuaries. He specializes in finance and econometrics, on which he has written at least 200 papers.
