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Strategic informed trades, diversification, and expected returns
Caskey, Judson; Hughes, John S.; Liu, Jun - In: The accounting review : a publication of the American … 90 (2015) 5, pp. 1811-1837
Persistent link: https://www.econbiz.de/10011375825
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Principal Component Analysis of Time Variations in the Mean-Variance Efficient Frontier
Steiner, Andreas - 2013
We explain the variability of the mean-variance efficient frontier over time with a statistical three factor model. For an asset universe consisting of 22 stocks listed in Switzerland, the model explains more than 99% of the time variations in the efficient frontier.The three factors can be...
Persistent link: https://www.econbiz.de/10013085742
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Is Your Covariance Matrix Still Relevant? An Asset Allocation-Based Analysis of Dynamic Volatility Models
Colon, James - 2013
Ever since Harry Markowitz published his seminal paper on portfolio selection, investors have incorporated estimates of future volatilities and correlations into their asset allocation process. While portfolio construction methods continue to evolve, many investors continue to forecast...
Persistent link: https://www.econbiz.de/10013086014
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Information Ratio Analysis of Momentum Strategies
Ferreira, Fernando - 2015
In the past 20 years, momentum or trend following strategies have become an established part of the investor toolbox. We introduce a new way of analyzing momentum strategies by looking at the information ratio (IR, average return divided by standard deviation). We calculate the theoretical IR of...
Persistent link: https://www.econbiz.de/10013034189
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Frontier market transaction costs and diversification
Marshall, Ben R.; Nguyen, Nhut; Visaltanachoti, Nuttawat - In: Journal of financial markets 24 (2015), pp. 1-24
Persistent link: https://www.econbiz.de/10011477227
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Risk perception and diversification behaviour in investment decisions
Siebenmorgen, Niklas - 2001
Persistent link: https://www.econbiz.de/10001553464
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Decisions, Stocks, and Time Diversification
McLeavey, Dennis W. - 2013
This paper presents three definitions of time diversification and analyzes their implications for investment horizons …. Using decision quality criteria and methodology, we question standard advice. In analyzing time diversification with a … minimum of assumptions, we answer two main questions: how to rigorously define time diversification and what conditions favor …
Persistent link: https://www.econbiz.de/10013089732
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Short Sales Constraints and the Diversification Puzzle
Reed, Adam V. - 2019
Disagreement about stock valuation, combined with short-sales constraints, can increase asset prices. We build a model showing that, so long as investor beliefs are not perfectly correlated, investors will disagree less about the value of a conglomerate than about each of its individual...
Persistent link: https://www.econbiz.de/10012904133
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Strategic Informed Trades, Diversification, and Expected Returns
Caskey, Judson - 2015
We examine how strategic trade affects expected returns in a large economy. In our model, both a monopolist (strategic) informed trader and uninformed traders consider the impact of their demands on prices. In contrast to settings with price-taking traders, private information never eliminates a...
Persistent link: https://www.econbiz.de/10013037157
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Survival and pricing puzzles
Altieri, Michela; Nicodano, Giovanna - 2020
Persistent link: https://www.econbiz.de/10012297368