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Recursive portfolio selection with decision trees
Andriyashin, Anton; Härdle, Wolfgang Karl; Timofeev, Roman - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10010274142
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Recursive portfolio selection with decision trees
Andriyashin, Anton (contributor);  … - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10003636039
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Rational asset pricing bubbles and portfolio constraints
Hugonnier, Julien - 2010
This article shows that the presence of portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can bene t from the corresponding limited arbitrage opportunities. Furthermore, it is shown that when they are...
Persistent link: https://www.econbiz.de/10003966068
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Market selection of constant proportions investment strategies in continuous time
Palczewski, Jan; Schenk-Hoppé, Klaus Reiner - 2008
This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuous-time model of a …
Persistent link: https://www.econbiz.de/10003966074
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Hedge fund alphas : do they reflect managerial skills or mere compensation for liquidity risk bearing?
Gibson, Rajna; Wang, Songtao - 2008
. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund … portfolios, ldquo;alphasrdquo; represent a compensation for liquidity risk bearing. These results are robust to an alternative …
Persistent link: https://www.econbiz.de/10003966170
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Selection in asset markets : the good, the bad, and the unknown
Bottazzi, Giulio; Dindo, Pietro - 2011
We provide simple examples to illustrate how wealth-driven selection works in asset markets. Our examples deliver both good and bad news. The good news is that if individual assets demands are expressed as a fractions of wealth to be invested in each asset, e.g. because traders maximize an...
Persistent link: https://www.econbiz.de/10009009683
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Investor sentiment, flight-to-quality, and corporate bond comovement
Bethke, Sebastian; Gehde-Trapp, Monika; Kempf, Alexander - 2015 - This version: August 14, 2015
We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation reflecting time-varying flight-to-quality behavior of...
Persistent link: https://www.econbiz.de/10011308600
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Hedge fund flows and performance streaks : how investors weigh information
Baquero, Guillermo; Verbeek, Marno - 2015
We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with econometric forecasting models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly sensitive to...
Persistent link: https://www.econbiz.de/10010471775
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Investor sentiment, flight-to-quality, and corporate bond comovement
Bethke, Sebastian; Kempf, Alexander; Gehde-Trapp, Monika - 2014 - This version: August 28, 2014
We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation reflecting time-varying flight-to-quality behavior of...
Persistent link: https://www.econbiz.de/10010403525
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Investor sentiment, flight-to-quality, and corporate bond comovement
Bethke, Sebastian; Gehde-Trapp, Monika; Kempf, Alexander - 2014 - This version: December 12, 2014
We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation reflecting time-varying flight-to-quality behavior of...
Persistent link: https://www.econbiz.de/10010459209