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Time-varying combinations of Bayesian dynamic models and equity momentum strategies
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016
and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …
Persistent link: https://www.econbiz.de/10011563065
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Does risk seeking drive asset prices? : A stochastic dominance analysis of aggregate investor preferences
Post, Thierry; Levy, Haim - 2002
Persistent link: https://www.econbiz.de/10001689309
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Equilibrium under uncertain inflation : a discrete time approach
Levy, Haim - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 3, pp. 285-297
Persistent link: https://www.econbiz.de/10001037500
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The investment home bias with peer effect
Levy, Haim - In: Journal of risk and financial management : JRFM 13 (2020) 5/94, pp. 1-19
Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the Standard and Poor's 500 stock index (S&P 500 stock index) may...
Persistent link: https://www.econbiz.de/10012304869
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Forecast density combinations of dynamic models and data driven portfolio strategies
Basturk, Nalan; Borowska, Agnieszka; Grassi, Stefano; … - 2018
-strategy combination performs better in terms of expected return and risk than a larger basic model-strategy combination. Dynamic patterns …, from a risk-management perspective. …
Persistent link: https://www.econbiz.de/10011916443