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Probability Metrics Applied to Problems in Portfolio Theory

Stoyanov, Stoyan V. - 2010

In the paper, we consider the application of the theory of probability metrics in several areas in the eld of nance …, the methods of the theory of probability metrics can be used to arrive at a general axiomatic treatment of dispersion … metrics theory are applied to the benchmark-tracking problem significantly extending the problem setting …

Persistent link: https://www.econbiz.de/10013134897

Bayesian Inference for Hedge Funds with Stable Distribution of Returns

Güner, Biliana - 2011

Recently, a large body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up on standard Bayesian methods applied to hedge fund evaluation. Little...

Persistent link: https://www.econbiz.de/10013124433

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

Investment management

Fabozzi, Frank J.; Markowitz, Harry - In: The theory and practice of investment management, (pp. 3-14). 2002

Persistent link: https://www.econbiz.de/10001729866

How do conflicting theories about financial markets coexist?

Phoa, Wesley; Focardi, Sergio M.; Fabozzi, Frank J. - In: Journal of post-Keynesian economics : JPKE 29 (2007) 3, pp. 363-391

Persistent link: https://www.econbiz.de/10003462601

Academic, practitioner, and investor perspectives on factor investing

Cerniglia, Joseph; Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 44 (2018) 4, pp. 10-16

Persistent link: https://www.econbiz.de/10011878262

Academic, Practitioner, and Investor Perspectives on Factor Investing

Cerniglia, Joseph A. - 2020

In this article, the authors discuss the current state of affairs, critical issues, and practical considerations associated with factor research and factor investing from the perspectives of academics, practitioners, and investors. The amount of research on factors continues to grow at an...

Persistent link: https://www.econbiz.de/10012848848

Active loan trading

Fabozzi, Frank J.; Klingler, Sven; Mølgaard, Pia; … - 2018

The collateralized loan obligation, CLO, market withstood the recent financial crisis with minimal losses compared to other structured asset-backed securities. Furthermore, the issuance of new CLOs is now above pre-crisis levels, prompting an understanding of what drives CLO performance. A...

Persistent link: https://www.econbiz.de/10011862972

Optimal Financial Portfolios

Stoyanov, Stoyan V. - 2010

We consider classes of reward-risk optimization problems that arise from different choices of reward and risk measures. In certain examples the generic problem reduces to linear or quadratic programming problems. We state an algorithm based on a sequence of convex feasibility problems for the...

Persistent link: https://www.econbiz.de/10013134904

Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model

Nooshi, Nima - 2012

In this work, we propose an ARMA(1,1)-GARCH(1,1) model with standard classical tempered stable (CTS) innovations for historical daily returns of 29 selected stocks. The non-Gaussian nature of the innovations captures the fat-tail property observed in data. The dependency between different assets...

Persistent link: https://www.econbiz.de/10013109131