英文标题：
《The Temporal Dimension of Risk》
---
作者：
Ola Mahmoud
---
最新提交年份：
2016
---
英文摘要：
Multi-period measures of risk account for the path that the value of an investment portfolio takes. In the context of probabilistic risk measures, the focus has traditionally been on the magnitude of investment loss and not on the dimension associated with the passage of time. In this paper, the concept of temporal path-dependent risk measure is mathematically formalized to capture the risk associated with the temporal dimension of a stochastic process. We discuss the properties of temporal measures of risk and show that they can never be coherent. We then study the temporal dimension of investment drawdown, its duration, which measures the length of excursions below a running maximum. Its properties in the context of risk measures are analyzed both theoretically and empirically. In particular, we show that duration captures serial correlation in the returns of two major asset classes. We conclude by discussing the challenges of path-dependent temporal risk estimation in practice.
---
中文摘要：
风险的多期度量说明了投资组合的价值所走的路径。在概率风险度量的背景下，传统上关注的是投资损失的规模，而不是与时间推移相关的维度。在本文中，时间路径相关风险度量的概念被数学形式化，以捕获与随机过程的时间维度相关的风险。我们讨论了风险的时间度量的性质，并表明它们永远不可能是一致的。然后，我们研究投资缩减的时间维度，即投资缩减的持续时间，它衡量的是低于运行最大值的游程长度。本文从理论和实证两个方面分析了风险度量的性质。特别是，我们表明，持续时间捕获了两个主要资产类别回报的序列相关性。最后，我们讨论了路径依赖的时间风险估计在实践中面临的挑战。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--

---
PDF下载：
-->