Purpose – In this paper, it is set out a hybrid data analysis method based on the combination of wavelet techniques and principal-components regression (PCR). The purpose of this paper is to study the dynamics of the stock returns within the French stock market. Design/methodology/approach –...

Purpose – The purpose of this paper is to evaluate two different asset selection methodologies and further examine these by forming optimal portfolios. Design/methodology/approach – This paper deals with the problem of portfolio formation, broadly in two steps: asset selection and asset...

Purpose – In this paper, it is set out a hybrid data analysis method based on the combination of wavelet techniques and principal-components regression (PCR). The purpose of this paper is to study the dynamics of the stock returns within the French stock market. Design/methodology/approach –...

Purpose – The purpose of this paper is to evaluate two different asset selection methodologies and further examine these by forming optimal portfolios. Design/methodology/approach – This paper deals with the problem of portfolio formation, broadly in two steps: asset selection and asset...

Purpose – The purpose of this paper is to examine the asymmetric dynamic rotation of beta coefficients to global investment style factor shocks in the Morgan Stanley Capital International (MSCI) universe of assets and its implications for investment management. Design/methodology/approach –...

Purpose – Aims to address a number of issues related to the use of spectral analysis in the study of insurance cycles. Design/methodology/approach – Spectral analysis has seldom been used in the study of insurance cycles. This may be due to the fact that no statistical test is readily...

Purpose – The purpose of this paper is to consider the problem of using “black-box” methods to forecast catastrophe events, and illustrate the value of independent peer review. Design/methodology/approach – The problem with black-box catastrophe forecasts is the absence of both extensive...

Purpose – This paper seeks to use spectral analysis as an alternative method to analyze whether underwriting results exhibit a cyclical behavior for the property-liability insurance industry and by lines of business. In addition, aims to use the AR(2) process to obtain information about...