Concepts: Rate of Interest
Risk and Risk Premium
Measures of Returns
Simple Return vs Continuous Compounding Return
Arithmetic Mean Return vs Geometric Mean Return
Dollar-weighted (Money-weighted) vs Time-weighted Average Return
Measures of Risks
Value at Risk (VaR)
Lower Partial Standard Deviation (LPSD)
Lower Partial Moment ( LPM)
Expected Shortfall (ES)
Distribution of returns: Skewness, Kurtosis, Jarque-Bera Test
基金報告
上機操作; Python, MATLAB及EXCEL應用
Python Code
Matlab Code
BKM 5
Grootveld, H. and W. Hallerbach, (1999), “Variance vs downside risk: Is there really that much difference?”, European Journal of Operational Research 114, p.304-319.
Fabozzi, F.J., S.M. Focardi, and P.N. Klom (2006), "Ch5: Incorporating Higher Moments and Extreme risk Measures", in Financial Modeling of the Equity Market, Wiley.
Bali, Turan G., Ozgur Demirtas, and Haim Levy. 2009. "Is There an Intertemporal Relation between Downside Risk and Expected Returns?." Journal of Financial and Quantitative Analysis 44, no. 4: 883-909.
Artzner, P., F. Delbaen, J-M. Eber and D. Heath (1999): “Coherent Measures of Risk,”Mathematical Finance 9, no. 3, 203-228.
Dowd, K., Measuring Market Risk, 2nd Edition (West Sussex, England: Wiley, 2005). Chapter 2&3
Dichev, Ilia D. and Yu, Gwen (2011), Higher Risk, Lower Returns: What Hedge Fund Investors Really Earn. Journal of Financial Economics, 100, 248-263.
Estrada, Javier, Rethinking Risk (August 30, 2013). Available at SSRN: http://ssrn.com/abstract=2318961 or http://dx.doi.org/10.2139/ssrn.2318961
The World Bank, Negative Interest Rates in Europe: A Glance at their Causes and Implications, Global Economic Prospects, June 2015.