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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...

Persistent link: https://www.econbiz.de/10009576319

What Difference Do New Factor Models Make in Portfolio Allocation?

Fabozzi, Frank J. - 2016

This paper examines the economic implications of new factor models and shows that the Hou, Xue, and Zhang (HXZ, 2015a) four-factor model outperforms the Fama and French (FF5, 2015a) five-factor model for investing in anomalies in- and out-of-sample. The difference in certainty-equivalent returns...

Persistent link: https://www.econbiz.de/10012996353

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

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

Portfolio selection in the presence of systemic risk

Biglova, Almira; Ortobelli, Sergio; Fabozzi, Frank J. - In: The journal of asset management 15 (2014) 5, pp. 285-299

Persistent link: https://www.econbiz.de/10010476238

Robust portfolio optimization and management

Fabozzi, Frank J.; Kolm, Petter N.; Pachamanova, … - 2007

Persistent link: https://www.econbiz.de/10003555153

The theory and practice of investment management : asset allocation, valuation, portfolio construction, and strategies

Fabozzi, Frank J. (contributor); Markowitz, H. (contributor) - 2011 - 2nd ed (Online-Ausg.)

"An updated guide to the theory and practice of investment management Many books focus on the theory of investment … management and leave the details of the implementation of the theory up to you. This book illustrates how theory is applied in … practice while stressing the importance of the portfolio construction process. The Second Edition of The Theory and Practice of …

Persistent link: https://www.econbiz.de/10012683193

Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes

Akyildirim, Erdinc - 2019

We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the risky asset holding must go to zero in time. Existence of statistical...

Persistent link: https://www.econbiz.de/10012865818

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

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