Portfolio risk management in a data-rich environment
We study risk assessment using an optimal portfolio in which the weights are functions of latent factors and firm-specific characteristics (hereafter, diffusion index portfolio). The factors are used to summarize the information contained in a large set of economic data and thus reflect the state of...
Gespeichert in:
| Veröffentlicht in: | Financial markets and portfolio management 2012-12, Vol.26 (4), p.469-494 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 494 |
|---|---|
| container_issue | 4 |
| container_start_page | 469 |
| container_title | Financial markets and portfolio management |
| container_volume | 26 |
| creator | Bouaddi, Mohammed Taamouti, Abderrahim |
| description | We study risk assessment using an optimal portfolio in which the weights are functions of
latent factors
and firm-specific characteristics (hereafter, diffusion index portfolio). The factors are used to summarize the information contained in a large set of economic data and thus reflect the state of the economy. First, we evaluate the performance of the diffusion index portfolio and compare it to both that of a portfolio in which the weights depend only on firm-specific characteristics and an equally weighted portfolio. We then use value-at-risk, expected shortfall, and downside probability to investigate whether the weights-modeling approach, which is based on factor analysis, helps reduce market risk. Our empirical results clearly indicate that using economic factors together with firm-specific characteristics helps protect investors against market risk. |
| doi_str_mv | 10.1007/s11408-012-0199-9 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_journals_1462012383</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>3138907571</sourcerecordid><originalsourceid>FETCH-LOGICAL-c436t-87ed1087ff0517f542ccaa58237517a0b73347791272ba9959f0159af62a407a3</originalsourceid><addsrcrecordid>eNp1UE1LAzEQDaJgqf0B3hY8Rydfm81Ril9Q0IOew3Sb1K3dpCZbwX9vlvXgxcMwDPPemzePkEsG1wxA32TGJDQUGC9lDDUnZMaFFrRR3JySGTNCUqmUPCeLnHcAwJSuhahnRL7ENPi472KVuvxR9Rhw63oXhqoLFVYbHJCmrn2vXPjqUgzj6oKcedxnt_jtc_J2f_e6fKSr54en5e2KtlLUA2202zBotPegmPZK8rZFVE2xVmaEtRZCam0Y13yNxijjizGDvuYoQaOYk6tJ95Di59Hlwe7iMYVy0jJZ8_KvaERBsQnVpphzct4eUtdj-rYM7JiPnfKxBW_HfKwpHD5xcsGGrUt_lP8l_QD4rmVy</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1462012383</pqid></control><display><type>article</type><title>Portfolio risk management in a data-rich environment</title><source>SpringerLink Journals - AutoHoldings</source><creator>Bouaddi, Mohammed ; Taamouti, Abderrahim</creator><creatorcontrib>Bouaddi, Mohammed ; Taamouti, Abderrahim</creatorcontrib><description>We study risk assessment using an optimal portfolio in which the weights are functions of
latent factors
and firm-specific characteristics (hereafter, diffusion index portfolio). The factors are used to summarize the information contained in a large set of economic data and thus reflect the state of the economy. First, we evaluate the performance of the diffusion index portfolio and compare it to both that of a portfolio in which the weights depend only on firm-specific characteristics and an equally weighted portfolio. We then use value-at-risk, expected shortfall, and downside probability to investigate whether the weights-modeling approach, which is based on factor analysis, helps reduce market risk. Our empirical results clearly indicate that using economic factors together with firm-specific characteristics helps protect investors against market risk.</description><identifier>ISSN: 1934-4554</identifier><identifier>EISSN: 2373-8529</identifier><identifier>DOI: 10.1007/s11408-012-0199-9</identifier><identifier>CODEN: SCIEAS</identifier><language>eng</language><publisher>New York: Springer US</publisher><subject>Business and Management ; Consumption ; Diffusion index ; Discriminant analysis ; Expected values ; Finance ; Investments ; Macroeconomics ; Management ; Portfolio management ; Portfolio performance ; Principal components analysis ; Risk assessment ; Risk management ; Skewness ; Studies</subject><ispartof>Financial markets and portfolio management, 2012-12, Vol.26 (4), p.469-494</ispartof><rights>Swiss Society for Financial Market Research 2012</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c436t-87ed1087ff0517f542ccaa58237517a0b73347791272ba9959f0159af62a407a3</citedby><cites>FETCH-LOGICAL-c436t-87ed1087ff0517f542ccaa58237517a0b73347791272ba9959f0159af62a407a3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://link.springer.com/content/pdf/10.1007/s11408-012-0199-9$$EPDF$$P50$$Gspringer$$H</linktopdf><linktohtml>$$Uhttps://link.springer.com/10.1007/s11408-012-0199-9$$EHTML$$P50$$Gspringer$$H</linktohtml><link.rule.ids>314,780,784,27924,27925,41488,42557,51319</link.rule.ids></links><search><creatorcontrib>Bouaddi, Mohammed</creatorcontrib><creatorcontrib>Taamouti, Abderrahim</creatorcontrib><title>Portfolio risk management in a data-rich environment</title><title>Financial markets and portfolio management</title><addtitle>Financ Mark Portf Manag</addtitle><description>We study risk assessment using an optimal portfolio in which the weights are functions of
latent factors
and firm-specific characteristics (hereafter, diffusion index portfolio). The factors are used to summarize the information contained in a large set of economic data and thus reflect the state of the economy. First, we evaluate the performance of the diffusion index portfolio and compare it to both that of a portfolio in which the weights depend only on firm-specific characteristics and an equally weighted portfolio. We then use value-at-risk, expected shortfall, and downside probability to investigate whether the weights-modeling approach, which is based on factor analysis, helps reduce market risk. Our empirical results clearly indicate that using economic factors together with firm-specific characteristics helps protect investors against market risk.</description><subject>Business and Management</subject><subject>Consumption</subject><subject>Diffusion index</subject><subject>Discriminant analysis</subject><subject>Expected values</subject><subject>Finance</subject><subject>Investments</subject><subject>Macroeconomics</subject><subject>Management</subject><subject>Portfolio management</subject><subject>Portfolio performance</subject><subject>Principal components analysis</subject><subject>Risk assessment</subject><subject>Risk management</subject><subject>Skewness</subject><subject>Studies</subject><issn>1934-4554</issn><issn>2373-8529</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2012</creationdate><recordtype>article</recordtype><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNp1UE1LAzEQDaJgqf0B3hY8Rydfm81Ril9Q0IOew3Sb1K3dpCZbwX9vlvXgxcMwDPPemzePkEsG1wxA32TGJDQUGC9lDDUnZMaFFrRR3JySGTNCUqmUPCeLnHcAwJSuhahnRL7ENPi472KVuvxR9Rhw63oXhqoLFVYbHJCmrn2vXPjqUgzj6oKcedxnt_jtc_J2f_e6fKSr54en5e2KtlLUA2202zBotPegmPZK8rZFVE2xVmaEtRZCam0Y13yNxijjizGDvuYoQaOYk6tJ95Di59Hlwe7iMYVy0jJZ8_KvaERBsQnVpphzct4eUtdj-rYM7JiPnfKxBW_HfKwpHD5xcsGGrUt_lP8l_QD4rmVy</recordid><startdate>20121201</startdate><enddate>20121201</enddate><creator>Bouaddi, Mohammed</creator><creator>Taamouti, Abderrahim</creator><general>Springer US</general><general>Springer Nature B.V</general><scope>AAYXX</scope><scope>CITATION</scope><scope>0U~</scope><scope>1-H</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>885</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ANIOZ</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRAZJ</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>L.0</scope><scope>M0C</scope><scope>M1F</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>20121201</creationdate><title>Portfolio risk management in a data-rich environment</title><author>Bouaddi, Mohammed ; Taamouti, Abderrahim</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c436t-87ed1087ff0517f542ccaa58237517a0b73347791272ba9959f0159af62a407a3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2012</creationdate><topic>Business and Management</topic><topic>Consumption</topic><topic>Diffusion index</topic><topic>Discriminant analysis</topic><topic>Expected values</topic><topic>Finance</topic><topic>Investments</topic><topic>Macroeconomics</topic><topic>Management</topic><topic>Portfolio management</topic><topic>Portfolio performance</topic><topic>Principal components analysis</topic><topic>Risk assessment</topic><topic>Risk management</topic><topic>Skewness</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Bouaddi, Mohammed</creatorcontrib><creatorcontrib>Taamouti, Abderrahim</creatorcontrib><collection>CrossRef</collection><collection>Global News & ABI/Inform Professional</collection><collection>Trade PRO</collection><collection>ProQuest Central (Corporate)</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Global (Alumni Edition)</collection><collection>Banking Information Database (Alumni Edition)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>Accounting, Tax & Banking Collection</collection><collection>Proquest Central</collection><collection>Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>Accounting, Tax & Banking Collection (Alumni)</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Professional Standard</collection><collection>ABI/INFORM Global</collection><collection>Banking Information Database</collection><collection>One Business (ProQuest)</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central Basic</collection><jtitle>Financial markets and portfolio management</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Bouaddi, Mohammed</au><au>Taamouti, Abderrahim</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Portfolio risk management in a data-rich environment</atitle><jtitle>Financial markets and portfolio management</jtitle><stitle>Financ Mark Portf Manag</stitle><date>2012-12-01</date><risdate>2012</risdate><volume>26</volume><issue>4</issue><spage>469</spage><epage>494</epage><pages>469-494</pages><issn>1934-4554</issn><eissn>2373-8529</eissn><coden>SCIEAS</coden><abstract>We study risk assessment using an optimal portfolio in which the weights are functions of
latent factors
and firm-specific characteristics (hereafter, diffusion index portfolio). The factors are used to summarize the information contained in a large set of economic data and thus reflect the state of the economy. First, we evaluate the performance of the diffusion index portfolio and compare it to both that of a portfolio in which the weights depend only on firm-specific characteristics and an equally weighted portfolio. We then use value-at-risk, expected shortfall, and downside probability to investigate whether the weights-modeling approach, which is based on factor analysis, helps reduce market risk. Our empirical results clearly indicate that using economic factors together with firm-specific characteristics helps protect investors against market risk.</abstract><cop>New York</cop><pub>Springer US</pub><doi>10.1007/s11408-012-0199-9</doi><tpages>26</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 1934-4554 |
| ispartof | Financial markets and portfolio management, 2012-12, Vol.26 (4), p.469-494 |
| issn | 1934-4554 2373-8529 |
| language | eng |
| recordid | cdi_proquest_journals_1462012383 |
| source | SpringerLink Journals - AutoHoldings |
| subjects | Business and Management Consumption Diffusion index Discriminant analysis Expected values Finance Investments Macroeconomics Management Portfolio management Portfolio performance Principal components analysis Risk assessment Risk management Skewness Studies |
| title | Portfolio risk management in a data-rich environment |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-07T06%3A31%3A55IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Portfolio%20risk%20management%20in%20a%20data-rich%20environment&rft.jtitle=Financial%20markets%20and%20portfolio%20management&rft.au=Bouaddi,%20Mohammed&rft.date=2012-12-01&rft.volume=26&rft.issue=4&rft.spage=469&rft.epage=494&rft.pages=469-494&rft.issn=1934-4554&rft.eissn=2373-8529&rft.coden=SCIEAS&rft_id=info:doi/10.1007/s11408-012-0199-9&rft_dat=%3Cproquest_cross%3E3138907571%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1462012383&rft_id=info:pmid/&rfr_iscdi=true |