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Table 1.1 Properties of risk based portfolios Table 2.1 Performance of NIFTY index over various subperiods Table 2.2 Descriptive statistics for the full period - 1 January 2001 to 30 June 2014 Table 2.3 Descriptive statistics for subperiods Table 2.4 Performance Comparison for full period - 1 January 2001 to 30 June 2014 Table 2.5 Performance Comparison for subperiods Table 2.6: Modified ratios for subperiods with negative excess returns Table 2.7 Relative performance with respect to the VW benchmark Table 2.8 Downside risk comparison Table 2.9: Precision of the covariance matrix forecast Table 3.1 Descriptive statistics 3.2 Performance of risk-based portfolio strategies with different covariance matrix es Table 3.3 Performance of risk-based portfolio strategies in different market condition Table 3.4 The effect of the choice of decay rate on portfolio performance Table 4.1 Regression of future returns with the diversification measures Table 4.2 Regression of future standard deviations with the diversification measures Table 4.3 Regression of future Sharpe ratios with the diversification measures Table 4.4 Annualized Sharpe ratios of diversification decile portfolios Table 4.5 Economic value of diversification List of Figures Figure 2.1 Optimal shrinkage intensity Figure 2.2 Capture ratio plot Figure 4.1 Average cumulative percentage of variance explained by sorted eigenvalues

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Page 1: Book 1

Table 1.1 Properties of risk based portfoliosTable 2.1 Performance of NIFTY index over various subperiods

Table 2.2 Descriptive statistics for the full period - 1 January 2001 to 30 June 2014Table 2.3 Descriptive statistics for subperiods

Table 2.4 Performance Comparison for full period - 1 January 2001 to 30 June 2014Table 2.5 Performance Comparison for subperiods

Table 2.6: Modified ratios for subperiods with negative excess returnsTable 2.7 Relative performance with respect to the VW benchmark

Table 2.8 Downside risk comparisonTable 2.9: Precision of the covariance matrix forecast

Table 3.1 Descriptive statisticsTable 3.2 Performance of risk-based portfolio strategies with different covariance matrix estimators

Table 3.3 Performance of risk-based portfolio strategies in different market conditionsTable 3.4 The effect of the choice of decay rate on portfolio performanceTable 4.1 Regression of future returns with the diversification measures

Table 4.2 Regression of future standard deviations with the diversification measuresTable 4.3 Regression of future Sharpe ratios with the diversification measures

Table 4.4 Annualized Sharpe ratios of diversification decile portfoliosTable 4.5 Economic value of diversification

List of FiguresFigure 2.1 Optimal shrinkage intensity

Figure 2.2 Capture ratio plotFigure 4.1 Average cumulative percentage of variance explained by sorted eigenvalues

Page 2: Book 1

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