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Jurczyk, Jan ; Eckrot, Alexander ; Morgenstern, Ingo

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.



Involved Institutions


Details

Item typeArticle
Journal or Publication TitlePLoS ONE
PublisherPLOS
Open Access TypeGold (with APC)
Place of PublicationSAN FRANCISCO
Volume11
Number of Issue or Book Chapter6
Page Rangee0158444
Date28 June 2016
Date of publication25 Aug 2016 08:09
InstitutionsPhysics > Institute of Theroretical Physics > Professor Morgenstern > Group Ingo Morgenstern
Physics > Institute of Theroretical Physics > Professor Morgenstern > Group Ingo Morgenstern
Identification Number
ValueType
10.1371/journal.pone.0158444DOI
Article-ID: e0158444Other
KeywordsPORTFOLIO SELECTION-PROBLEMS; HYBRID LOCAL SEARCH; CROSS-CORRELATIONS; OPTIMIZATION; TRANSITIONS; MARKET;
Dewey Decimal Classification500 Science > 530 Physics
StatusPublished
RefereedYes, this version has been refereed
Created at the University of RegensburgYes
URN of the UB Regensburgurn:nbn:de:bvb:355-epub-344706
Item ID34470

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