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Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...
Persistent link: https://www.econbiz.de/10011349525
Portfolio selection and risk management are very actively studied topics in quantitative finance and applied statistics. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across assets and opposite tail movements are essential to...
Persistent link: https://www.econbiz.de/10010365113
We analyse a sample of funds and other securities each assigned a total rating score by an unknown expert entity. The scores are based on a number of risk and complexity factors, each assigned a category (factor score) of Low, Medium, or High by the expert entity. A principal component analysis...
Persistent link: https://www.econbiz.de/10011557303