We studied the CBOE Market Volatility Index from 1995 to 2004 and the Cross-Sectional Volatility of MSCI US and MSCI AC Asia ex Japan of the same period. Tracking Error calculations and Market Volatility Analyses were...We studied the CBOE Market Volatility Index from 1995 to 2004 and the Cross-Sectional Volatility of MSCI US and MSCI AC Asia ex Japan of the same period. Tracking Error calculations and Market Volatility Analyses were performed. We selected a portfolio, Dragon, for Risk Analysis, Risk Decomposition and Risk Characteristics identification purposes. A conclusion relating Dragon’s Tracking Error and its Portfolio Size was drawn.展开更多
Background: While working as risk consultants at Barra in 1990’s, the first two authors decided to start collaborating on a research project with its first paper titled “Application of Volatility in Portfolio Constr...Background: While working as risk consultants at Barra in 1990’s, the first two authors decided to start collaborating on a research project with its first paper titled “Application of Volatility in Portfolio Construction” [1]. The third author was then a risk manager of a financial institution which was a client of Barra’s. Bringing his expertise in portfolio risk management, he joined the research team. Aim: The core of this paper lies in the construction of an investment portfolio with a main objective of value appreciation while examining its tracking error [1]-[3], a risk measurement with reference to a benchmark [1] [4]. The authors believe, while tracking error measurement is a common tool for portfolio risk management, total risk measurement is more important. The management goal is to minimize drawbacks using the technique of risk budgeting. These topics will be discussed in future research papers.展开更多
文摘We studied the CBOE Market Volatility Index from 1995 to 2004 and the Cross-Sectional Volatility of MSCI US and MSCI AC Asia ex Japan of the same period. Tracking Error calculations and Market Volatility Analyses were performed. We selected a portfolio, Dragon, for Risk Analysis, Risk Decomposition and Risk Characteristics identification purposes. A conclusion relating Dragon’s Tracking Error and its Portfolio Size was drawn.
文摘Background: While working as risk consultants at Barra in 1990’s, the first two authors decided to start collaborating on a research project with its first paper titled “Application of Volatility in Portfolio Construction” [1]. The third author was then a risk manager of a financial institution which was a client of Barra’s. Bringing his expertise in portfolio risk management, he joined the research team. Aim: The core of this paper lies in the construction of an investment portfolio with a main objective of value appreciation while examining its tracking error [1]-[3], a risk measurement with reference to a benchmark [1] [4]. The authors believe, while tracking error measurement is a common tool for portfolio risk management, total risk measurement is more important. The management goal is to minimize drawbacks using the technique of risk budgeting. These topics will be discussed in future research papers.
