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Leoni, Patrick (2007) Monte-Carlo Estimations of the Downside Risk of Derivative Portfolios. UNSPECIFIED. (Unpublished)
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Abstract
We simulate the performance of a standard derivatives portfolio to evaluate the relevance of benchmarking in terms of doenside risk reduction. The simulation shows that benchmarking always leads to significantly more servere losses in average than those generated by letting the portfolio reach the end of a given horizon. Moreover, switching from a 0-correlation across underlyings to a very mild form of correclation significantly increased the probability of reaching the downside benchmark before maturity, whereas aadding more correlation does not significantly increase this figure.
| Item Type: | Other |
|---|---|
| Additional Information: | Department of Economics Working paper Series 1760607 |
| Keywords: | Derivatives; Portfolio management; Benchmarking; Downside risk; Monte-Carlo simulations |
| Academic Unit: | Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: | 567 |
| Depositing User: | Ms Sandra Doherty |
| Date Deposited: | 19 Jun 2007 |
| Refereed: | No |
| Related URLs: | |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/567 |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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