第十四届亚太财务经济及会计会议暨.pptVIP

Funds of Funds 2.9% 2.2% 1.3% 0.6% Fund Returns 0.2 0.4 0.6 0.8 SP500 Returns 0.2 0.6 0.8 0.4 Beta = .14, rho = .22 第三十页，共四十一页。 Relationship to LIBOR 1.0% 0.8% 0.5% 0.3% Fund Returns 0.2 0.4 0.6 0.8 LIBOR return 0.2 0.6 0.8 0.4 Beta = 0.0, rho = 0.0 第三十一页，共四十一页。 Fixed income arbitrage 2.0% 1.5% 1.0% 0.5% Fund Returns 0.2 0.4 0.6 0.8 LIBOR return 0.2 0.6 0.8 0.4 Beta = -.02, rho = -.05 第三十二页，共四十一页。 Simple measures of tail risk exposure Independence an unrealistic benchmark Consider MV Normal with the same sample correlation MV Student with 3 df 第三十三页，共四十一页。 Simple measures of tail ris