Siegel Measuring Risk - A Case Study in Portfolio Management

Transcription

1 Inhoudstafel beleggingsleer en fin producten DEEL 1 0 introductory remarks financial returns are set in a stochastic context drift factor, Wiener process equity returns in a DDM Holding Period Return, P/E as a catch-all, Duration required risk premium risk premia on equity realized volatility, implied volatility (VIX) risk premia on other asset classes creditspreads financial mechanics components earnings, risk premia, rates equity & bond correlation revisited economic growth & equity returns GDP/capita, aggregate GDP, Dimsonm Marsh & Staunton equity returns & the probability of economic scenario s summer, autumn, winter, spring, LT rate, Growth, scenario based returns 1 the historic profile of equity & bond returns the concept of return: ex post ppt (GR, AR, Ln(S), CR) the equity premium paradox: ex post Mehra & Prescott, Siegel the long term returns of equity & bonds: ex post equity duration paradox (notities) long term forecasts of equity returns arithmetic and geometric returns forecasting returns dividends: major contributions to historical returns Shiller ratio (P/E) fixed income returns total real returns and the impact of inflation and taxes productivity growth holding period returns of equity and bonds inflation hedge? Siegel Mehra (2003) a solution to the equity premium paradox historical coincidence? survivorship bias? US & Sweden, dividend omission, Sharpe ratio systemic risk? TED/OIS spread, asset/funding liquidity risk

2 2 expected returns Fama & French models (2001) equity premium the historical profile of expected returns avarage rate of captial gain, dividend growth model, earnings growth model causes for unexpected capital gains unexpected dividend growth? unexpected earnings growth? declining expected returns! 3 portfolio risk Introduction assumptions meet reality? Risk measurement: the search for the holy grail standard deviation as a risk measure alpha, semi-variance covariance and correlation some comments on correlation assumption of linear relationship, the law of average covariance modern portfolio theory: a primer 4 downside risk measurement enkel dia 50 en 51, risk/return verschillende financiële producten 5 risk, return, and diversification introductory remarks risk reducing proporties of portfolio size risks of concentration: dispersion Campbell et al., volatility (MKT, IND, FIRM) on diversification 6 expected utility expected utility theory and risk aversion St Petersburgparadox (Bernoulli), RRA, ARA, loss aversion expected utility and the risk premium Taylor series-expansion, π decreasing risk aversion? ARA, RRA, Arrow-Pratt iso utility curves and the efficient frontier expected utility and modern portfolio theory Tobin s seperation theorem Low, average, high risk tolerance

3 the Markowitz-Tobin analysis of the μ-σ framework numerical example Optimal portfolio, cash, market portfolio, impact risk aversion, tracking error, changing benchmark further analysis of the optimal portfolio revisiting the optimal solution RAP (comparing) risk adjusted returns M² (Modigliani-Modigliani) the capital market line 7 individual risk aversion risk aversion profiling RRAI some patterns in risk aversion some conclusion on risk aversion and portfolio optimization further anecdotical documentation on risk aversion the impact of risk aversion on the optimized portfolio comments on the calibration of risk aversion calculation of the optimized portfolio impact of correlation (revisited) coherent asset allocation appendix: currency risk 8 risk, return, and asset allocation exercises DEEL 2 1 de evolutie van risk management products inleiding the world becomes a riskier place... gevolg van stijgend financieel risico voor ondernemingen? transaction exposure, economic/competitive exposure reacties van de ondernemingen reactie van de markt 2 introductie tot het proces van risicobeheer het risicoprofiel van de onderneming forwards (termijncontracten) opties call, put, US vs. EU opties, put-call pariteit swaps currency swap, currency coupon swap, Interest Rate Swap (IRS)

4 managing exposure at/out/in the money (notities) participating forward 3 forwards en futures forwards close-out, physical delivery, settlement in cash futures commodities, marking to market (margin account, maintenance margin,...) arbitrage-vrije forward/futureprijzen prijszetting, met/zonder dividend, opslagkosten, convenience yield waardering van bestaande forwardcontracten samenvattende tabel 4 trading strategieën voor opties hedges write covered call, ververse hedge, hedge met put spreads duizend verschillende soorten spreads combinations straddle, strangle specifieke payoffs m.b.v. opties condor 5 bepalen van optieprijzen volgens het binomiale model calls determinanten/ niet-determinanten risico-neutrale waardering pseudo-waarschijnlijkheden, formule waarde call puts invloed dividend (notities) Black-Scholes formule 6 hedging analyse van optieposities Δ, γ, Θ, vega, ρ enkele eenvoudige voorbeelden van een delta-neutrale positie een voorbeeld van een delta-en gamma-neutrale positie een delta-en vega-neutrale positie

5 7a exotic, path-independent options digital (binary) options gap option paylater (contingent) options compound options call on call, put on call, call on put, put on put chooser ( as you like it ) options 7b exotic, path-dependent options barrier options (double knock) out/in-options lookback options duur! Asian (average) options