The thrust of this paper is to develop a new theoretical framework, based on large deviations theory, for the problem of optimal asset allocation in large portfolios. This problem is, apart from being theoretically interesting, also of practical relevance; examples include, inter alia, hedge funds...

The VARLINEX (value at risk linear exponent) forecasting procedure is presented in this paper, which explicitly adjusts the forecasts when the loss functions of the forecaster are asymmetric. The theory of order statistics is applied to derive the VARLINEX forecasts and their corresponding...

"Research on the role of real estate in the mixed asset portfolio, whether in the form of direct private holdings or indirect securitised forms of property investment, has focused on the diversification potential of the asset class. In addition to the investment characteristics of real estate...

This article examines claims about the diversification benefits of real estate. In particular, does real estate investment in a mixed asset portfolio provide protection when other asset classes are performing badly? Conventional portfolio strategy models utilising covariance statistics may...

The purpose of this paper is to examine the properties of locally explosive regimes in the light of steady state results for threshold auto-regressive (TAR) models recently derived by Knight and Satchell (2011) [Journal of Time Series Econometrics, 3]. We study the conditions under which a...

The purpose of this paper is to examine the properties of bubbles in the light of steady state results for threshold auto-regressive (TAR) models recently derived by Knight and Satchell (2011). We assert that this will have implications for econometrics. We study the conditions under which we...

We examine a popular practitioner methodology used in the construction of linear factor models whereby particular factors are increased/decreased in relative importance within the model. This allows model builders to customise models and, as such, reflect those factors that the client/modeller...

We revisit the problem of calculating the exact distribution of optimal investments in a mean variance world under multivariate normality. The context we consider is where problems in optimisation are addressed through the use of Monte-Carlo simulation. Our findings give clear insight as to when...