Showing 1 - 6 of 6
We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...
Persistent link: https://www.econbiz.de/10008922905
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It is well known that non-normality plays an important role in asset and risk management. However, handling a large number of assets has long been a challenge. In this paper, we present a statistical technique that extends Principal Component Analysis to higher moments such as skewness and...
Persistent link: https://www.econbiz.de/10008922906
We revisit the apparent historical success of technical trading rules on daily prices of the DJIA from 1897 to 2008. We use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules and di- versies...
Persistent link: https://www.econbiz.de/10005222551
This paper develops a simple technique that properly controls for “false discoveries,” or mutual funds that exhibit significant alphas by luck alone, to evaluate the performance of actively managed U.S. domestic-equity mutual funds during the 1975 to 2006 period. Our approach precisely...
Persistent link: https://www.econbiz.de/10005222556
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