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Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?

Jondeau, Eric; Rockinger, Michael - Swiss Finance Institute - 2005

from normality, the mean-variance criterion can lead to portfolio weights that differ signifficantly from those obtained … use the sub- optimal mean-variance criterion can be very large. …

Persistent link: https://www.econbiz.de/10005612065

Non-Standard Errors in Portfolio Sorts

Walter, Dominik; Weber, Rüdiger; Weiss, Patrick - 2022

We study the size and drivers of non-standard errors (Menkveld et al., 2021) in portfolio sorts across 14 common methodological decision nodes and 40 sorting variables. These non-standard errors range between 0.05 and 0.26 percent and are, on average, larger than standard errors. Supposedly...

Persistent link: https://www.econbiz.de/10013404257

Cross-sectional and time-series tests of return predictability : what is the difference?

Goyal, Amit; Jegadeesh, Narasimhan - 2015

We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...

Persistent link: https://www.econbiz.de/10011296939

Selectivity and market timing ability of fund managers : comparative analysis of Islamic and conventional HSBC Saudi mutual funds

Zouaoui, Marwa - In: International Journal of Financial Studies : open … 7 (2019) 3/48, pp. 1-19

This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis...

Persistent link: https://www.econbiz.de/10012150279

Asset management in volatile markets

Haiss, Peter R.; Sammer, Bernhard; Gartner, Martin; … - New Trends in Asset Management: Exploring the … - 2010

The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...

Persistent link: https://www.econbiz.de/10011705329

The impact of network connectivity on factor exposures, asset pricing and portfolio diversification

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017 - This version: October 2016

This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...

Persistent link: https://www.econbiz.de/10011598385

Quantile hedging

Föllmer, Hans; Leukert, Peter - 1998

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

Persistent link: https://www.econbiz.de/10009574876

Investment Horizon Related Momentum in Volatility Scaled Momentum Strategies

Butt, Hilal Anwar - 2020

momentum strategy, by the inverse of its historical volatility. However, we find that the higher Sharpe ratio and the alphas of … the volatility scaled momentum strategy, in comparison to traditional momentum strategy, depends on the length of the … investment horizon. Such that, the longer the investment horizon the better is the performance of the volatility scaled momentum …

Persistent link: https://www.econbiz.de/10012853066

Long-Term Stock Returns in Brazil : Volatile Equity Returns for U.S.-Like Investors

Araújo, Eurilton - 2020

volatility discourages heavier investments in stocks …

Persistent link: https://www.econbiz.de/10012831921

Momentum Crashes and Variations to Market Liquidity

Butt, Hilal Anwar - 2019

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...

Persistent link: https://www.econbiz.de/10012895183

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