Development of an econometric model for dynamic management of recession risk in equity portfolios : construction of an empirical measure of time-varying recession risk : estimation of cross-sectional differences in recession risk exposure among equities and associated differences in risk premia
Thesis (M. Fin.)--Massachusetts Institute of Technology, Sloan School of Management, Master of Finance Program, 2011.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2011
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| Online Access: | http://hdl.handle.net/1721.1/66174 |
| _version_ | 1811090850443165696 |
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| author | Chousakos, Kyriakos |
| author2 | Leonid Kogan. |
| author_facet | Leonid Kogan. Chousakos, Kyriakos |
| author_sort | Chousakos, Kyriakos |
| collection | MIT |
| description | Thesis (M. Fin.)--Massachusetts Institute of Technology, Sloan School of Management, Master of Finance Program, 2011. |
| first_indexed | 2024-09-23T14:52:57Z |
| format | Thesis |
| id | mit-1721.1/66174 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T14:52:57Z |
| publishDate | 2011 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/661742019-04-12T14:55:40Z Development of an econometric model for dynamic management of recession risk in equity portfolios : construction of an empirical measure of time-varying recession risk : estimation of cross-sectional differences in recession risk exposure among equities and associated differences in risk premia Construction of an empirical measure of time-varying recession risk Estimation of cross-sectional differences in recession risk exposure among equities and associated differences in risk premia Chousakos, Kyriakos Leonid Kogan. Sloan School of Management. Master of Finance Program. Sloan School of Management. Master of Finance Program. Sloan School of Management. Master of Finance Program. Thesis (M. Fin.)--Massachusetts Institute of Technology, Sloan School of Management, Master of Finance Program, 2011. Cataloged from PDF version of thesis. Includes bibliographical references (p. 31). Recessions are an inherent part of economic cycles. During the last decade we have experienced two extended periods of significant economic slowdown accompanied by major downturns in most of the asset classes and especially in equities. Investors during recessions suffer from severe losses and diversification does not provide the optimal solution. Through the development of an econometric model for dynamic management of recession risk in equity portfolios based on an empirical measure of timevarying recession risk, I plan to estimate cross-sectional differences in recession risk exposure among equities and associated differences in risk premia. The analysis is expanded on an industry level, where among industries clear patterns are identified in terms recession risk exposure. In the last part of the report I explore the possibility of creating a trading strategy which is able to generate significant performance benefiting from the market underreaction to recession risk. by Kyriakos Chousakos. M.Fin. 2011-10-04T17:30:42Z 2011-10-04T17:30:42Z 2011 2011 Thesis http://hdl.handle.net/1721.1/66174 749930416 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 [6], 31 p. application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management. Master of Finance Program. Chousakos, Kyriakos Development of an econometric model for dynamic management of recession risk in equity portfolios : construction of an empirical measure of time-varying recession risk : estimation of cross-sectional differences in recession risk exposure among equities and associated differences in risk premia |
| title | Development of an econometric model for dynamic management of recession risk in equity portfolios : construction of an empirical measure of time-varying recession risk : estimation of cross-sectional differences in recession risk exposure among equities and associated differences in risk premia |
| title_full | Development of an econometric model for dynamic management of recession risk in equity portfolios : construction of an empirical measure of time-varying recession risk : estimation of cross-sectional differences in recession risk exposure among equities and associated differences in risk premia |
| title_fullStr | Development of an econometric model for dynamic management of recession risk in equity portfolios : construction of an empirical measure of time-varying recession risk : estimation of cross-sectional differences in recession risk exposure among equities and associated differences in risk premia |
| title_full_unstemmed | Development of an econometric model for dynamic management of recession risk in equity portfolios : construction of an empirical measure of time-varying recession risk : estimation of cross-sectional differences in recession risk exposure among equities and associated differences in risk premia |
| title_short | Development of an econometric model for dynamic management of recession risk in equity portfolios : construction of an empirical measure of time-varying recession risk : estimation of cross-sectional differences in recession risk exposure among equities and associated differences in risk premia |
| title_sort | development of an econometric model for dynamic management of recession risk in equity portfolios construction of an empirical measure of time varying recession risk estimation of cross sectional differences in recession risk exposure among equities and associated differences in risk premia |
| topic | Sloan School of Management. Master of Finance Program. |
| url | http://hdl.handle.net/1721.1/66174 |
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