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Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model
Article
Jurczyk, Jan, Eckrot, Alexander and Morgenstern, Ingo (2016) Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model. PLoS ONE 11 (6), e0158444.DOI to cite this document: 10.5283/epub.34470
Abstract
The world is still recovering from the financial crisis peaking in September 2008. The triggering event was the bankruptcy of Lehman Brothers. To detect such turmoils, one can investigate the time-dependent behaviour of correlations between assets or indices. These cross-correlations have been connected to the systemic risks within markets by several studies in the aftermath of this crisis. We ...
The world is still recovering from the financial crisis peaking in September 2008. The triggering event was the bankruptcy of Lehman Brothers. To detect such turmoils, one can investigate the time-dependent behaviour of correlations between assets or indices. These cross-correlations have been connected to the systemic risks within markets by several studies in the aftermath of this crisis. We study 37 different US indices which cover almost all aspects of the US economy and show that monitoring an average investor's behaviour can be used to quantify times of increased risk. In this paper the overall investing strategy is approximated by the ground-states of the mean-variance model along the efficient frontier bound to real world constraints. Changes in the behaviour of the average investor is utlilized as a early warning sign.
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| Item type | Article | ||||||
| Journal or Publication Title | PLoS ONE | ||||||
| Publisher | PLOS | ||||||
| Open Access Type | Gold (with APC) | ||||||
| Place of Publication | SAN FRANCISCO | ||||||
| Volume | 11 | ||||||
| Number of Issue or Book Chapter | 6 | ||||||
| Page Range | e0158444 | ||||||
| Date | 28 June 2016 | ||||||
| Date of publication | 25 Aug 2016 08:09 | ||||||
| Institutions | Physics > Institute of Theroretical Physics > Professor Morgenstern > Group Ingo Morgenstern Physics > Institute of Theroretical Physics > Professor Morgenstern > Group Ingo Morgenstern | ||||||
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| Keywords | PORTFOLIO SELECTION-PROBLEMS; HYBRID LOCAL SEARCH; CROSS-CORRELATIONS; OPTIMIZATION; TRANSITIONS; MARKET; | ||||||
| Dewey Decimal Classification | 500 Science > 530 Physics | ||||||
| Status | Published | ||||||
| Refereed | Yes, this version has been refereed | ||||||
| Created at the University of Regensburg | Yes | ||||||
| URN of the UB Regensburg | urn:nbn:de:bvb:355-epub-344706 | ||||||
| Item ID | 34470 |
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