Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/springer-journals/measuring-dependence-in-a-set-of-asset-returns-hP0tmpjVJi
References (47)
-
S Kou, H Wang (2004)
Option Pricing Under a Double Exponential Jump Diffusion ModelManagement Science, 50
-
Uwe Kuchler, Stefan Tappe (2008)
Bilateral gamma distributions and processes in financial mathematicsStochastic Processes and their Applications, 118
-
A. Cherny, D. Madan (2007)
New Measures for Performance EvaluationCapital Markets: Market Efficiency eJournal
-
P. Samuelson (1967)
General Proof that Diversification PaysJournal of Financial and Quantitative Analysis, 2
-
P. Carr, Juan Alvarez, D. Madan (2010)
Markets, Profits, Capital, Leverage and ReturnCapital Markets: Asset Pricing & Valuation eJournal
-
S. Kou, Hui Wang (2001)
Option Pricing Under a Double Exponential Jump Diffusion ModelJournal of Financial Abstracts eJournal
-
D. Madan, P. Carr, E. Chang (1998)
The Variance Gamma Process and Option PricingReview of Finance, 2
-
A. Shapiro, P. Moles (2014)
International Financial Management -
Luis Viceira, Zixuan Wang (2018)
Global Portfolio Diversification for Long-Horizon InvestorsMutual Funds
-
Bala Arshanapalli, John Doukas (1993)
International stock market linkages: Evidence from the pre- and post-October 1987 periodJournal of Banking and Finance, 17
-
R. Fernholz, B. Shay (1982)
Stochastic Portfolio Theory and Stock Market EquilibriumJournal of Finance, 37
-
Umberto Cherubini, E. Luciano, Walter Vecchiato (2004)
Copula Methods in Finance: Cherubini/Copula -
David Booth, E. Fama (1992)
Diversification Returns and Asset ContributionsFinancial Analysts Journal, 48
-
C. Marfels (1971)
ABSOLUTE AND RELATIVE MEASURES OF CONCENTRATION RECONSIDERED ‐ REPLYKyklos, 24
-
P Carr, DB Madan, JJ Vicente Alvarez (2011)
Markets, Profits, Capital, Leverage and ReturnsJournal of Risk, 14
-
(1990)
Growing international co - movement in stock price indexes -
S. Kusuoka (2001)
On law invariant coherent risk measures -
P Artzner (1999)
203Mathematical Finance, 9
-
D. Madan, W. Schoutens, King Wang (2018)
Bilateral Multiple Gamma Returns: Their Risks and RewardsEconometrics: Mathematical Methods & Programming eJournal
-
D. Quinn, H. Voth (2008)
A Century of Global Equity Market CorrelationsThe American Economic Review, 98
-
D. Madan (2015)
Conic Portfolio TheoryRobert H. Smith School of Business Research Paper Series
-
Arjan Berkelaar, Roy Kouwenberg, T. Post (2000)
Optimal Portfolio Choice under Loss AversionReview of Economics and Statistics, 86
-
Walt Woerheide (1993)
An index of portfolio diversificationFinancial Services Review, 2
-
NJ Barn (1990)
15Quarterly Review of Economics and Business, 30
-
H. Tsukahara (2009)
ONE‐PARAMETER FAMILIES OF DISTORTION RISK MEASURESMathematical Finance, 19
-
DB Madan (2016)
Conic Portfolio TheoryInternational Journal of Theoretical and Applied Finance, 19
-
D. Madan, E. Seneta (1990)
The Variance Gamma (V.G.) Model for Share Market ReturnsThe Journal of Business, 63
-
D. Hunter (2006)
Measuring sectoral diversification in an asymptotic multifactor frameworkJournal of Credit Risk
-
G. Koumou (2020)
Diversification and portfolio theory: a reviewFinancial Markets and Portfolio Management, 34
-
Philippe Artzner, F. Delbaen, J. Eber, D. Heath (1999)
Coherent Measures of RiskMathematical Finance, 9
-
B Arshanapalli (1993)
193Journal of Banking and Finance, 17
-
WN Goetzman, L Li, KG Rouwenhorst (2005)
Long-term global market correlationsJournal of Business, 78
-
DP Quinn, HJ Voth (2008)
A Century of Global Equity CorrelationsThe American Economic Review, 98
-
John Evans, S. Archer (1968)
DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSISJournal of Finance, 23
-
P. Embrechts, H. Furrer, R. Kaufmann (2009)
Different Kinds of Risk -
(2001)
credit, including © notice, is given to the source. Long-Term Global Market Correlations -
DB Madan, K Wang (2017)
Asymmetries in Financial ReturnsInternational Journal of Financial Engineering, 4
-
D. Madan, King Wang (2017)
Asymmetries in Financial ReturnsEconometrics: Single Equation Models eJournal
-
D. Madan, W. Schoutens (2016)
Applied Conic Finance -
A Cherny, D Madan (2009)
New Measures for Performance EvaluationReview of Financial Studies, 22
-
A Meucci (2009)
Managing DiversificationRisk, 22
-
Alexander Rudin, J. Morgan (2006)
A Portfolio Diversification Index, 32
-
J. Sankaran, Ajay Patil (1999)
On the optimal selection of portfolios under limited diversificationJournal of Banking and Finance, 23
-
L. Fisher, J. Lorie (1970)
Some Studies of Variability of Returns on Investments in Common StocksThe Journal of Business, 43
-
DB Madan, W Schoutens, K Wang (2017)
Measuring and Monitoring the Efficiency of MarketsInternational Journal of Theoretical and Applied Finance, 20
-
D. Madan, W. Schoutens, King Wang (2017)
Measuring and Monitoring the Efficiency of MarketsMicroeconomics: General Equilibrium & Disequilibrium Models of Financial Markets eJournal
-
H. Bierman (1978)
Diversification, 5
- Publisher
- Springer Journals
- Copyright
- Copyright © The Author(s), under exclusive licence to Springer Japan KK, part of Springer Nature 2022
- ISSN
- 1387-2834
- eISSN
- 1573-6946
- DOI
- 10.1007/s10690-022-09378-4
- Publisher site
- See Article on Publisher Site
Abstract
An index measuring the degree of dependence in a set of asset returns is defined as the ratio of an equivalent number of independent assets to the number of assets. The equivalence is based on either attaining the same optimized value enhancement or spread reduction. The value enhancement is the difference in value of a value maximizing portfolio and the maximum value delivered by the components. The spread reduction is the percentage reduction attained by a spread minimizing portfolio relative to the smallest spread for the components. Asset values or bid and ask prices of portfolios, are modeled by conservative valuation operators from the theory of two price economies. The dependence indices fall with the number of assets in the portfolio and they are explained by a measure of concentration applied to normalized eigenvalues of the correlation matrix along with the average level of correlation, the level of the (Rudin and Morgan, 2006) portfolio diversification index and the number of assets in the portfolio. A time series of the indices constructed on the basis of the S&P\documentclass[12pt]{minimal}\usepackage{amsmath}\usepackage{wasysym}\usepackage{amsfonts}\usepackage{amssymb}\usepackage{amsbsy}\usepackage{mathrsfs}\usepackage{upgreek}\setlength{\oddsidemargin}{-69pt}\begin{document}$$ S \& P$$\end{document} 500 index and the nine sector ETF’s reveals a collapse during the financial crisis with no recovery until 2016, with a peak in February 2020 and a COVID crash in March of 2020. Furthermore, factor dependence benefits are richer than those found in equity indices. Dependence benefits across global indices are not as strong as dependence benefits across an equal number of domestic assets, but they rise substantially for longer horizons of up to three years.
Journal
Asia-Pacific Financial Markets – Springer Journals
Published: Jun 1, 2023
Keywords: Bilateral Gamma; Acceptable Risks; Distorted Expectations; G10; G11; G12