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Investors' expectations, management fees and the underperformance of mutual funds

Huesler, Andreas D.; Malevergne, Yannick; Sornette, Didier - 2012

-agent model with a representative investor and a fund manager in an asymmetric information framework. This model shows that the … Fee ; Mutual Fund ; Asymmetric Information ; Principal-Agent Relationship ; Markup …

Persistent link: https://www.econbiz.de/10009561613

Replicating hedge fund indices with optimization heuristics

Gilli, Manfred; Schumann, Enrico; Cabej, Gerda; Lula, Jonela - 2010

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...

Persistent link: https://www.econbiz.de/10003979515

Using economic and financial information for stock selection

Roko, Ilir (contributor); Gilli, Manfred (contributor) - 2006

A major inconvenience of the traditional approach in portfolio choice, based upon historical information, is its … inability to anticipate sudden changes of price tendencies. Introducing information about future behavior of the assets … exogenous information to the asset prices is not straightforward. Classification trees can be used to construct partitions of …

Persistent link: https://www.econbiz.de/10003394276

Anomalous returns in a neural network equity-ranking predictor

Satinover, Jeffrey; Sornette, Didier - 2008

Persistent link: https://www.econbiz.de/10003961709

Constructing long/short portfolios with the Omega ratio

Gilli, Manfred; Schumann, Enrico; Tollo, Giacomo di; … - 2008

We construct portfolios with an alternative selection criterion, the Omega function, which can be expressed as the ratio of two partial moments of the returns distribution. Finding Omega-optimal portfolios, in particular under realistic constraints like cardinality restrictions, requires to...

Persistent link: https://www.econbiz.de/10003966094

The acceleration effect and gamma factor in asset pricing

Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015

We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....

Persistent link: https://www.econbiz.de/10011411974

Portfolio selection with exploration of new investment opportunities

Sornette, Didier; Strub, Moris Simon - 2020

We introduce a model for portfolio selection with an extendable investment universe where the agent faces a trade-off between exploiting existing and exploring for new investment opportunities. An agent with mean-variance preferences starts with an existing investment universe consisting of a...

Persistent link: https://www.econbiz.de/10012271124

Super-exponential RE bubble model with efficient crashes

Kreuser, Jerome; Sornette, Didier - 2017

We propose a dynamic Rational Expectations (RE) bubble model of prices with the intention to exploit it for and evaluate it on optimal investment strategies. Our bubble model is defined as a geometric Brownian motion combined with separate crash (and rally) discrete jump distributions associated...

Persistent link: https://www.econbiz.de/10011865575