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Demystifying Rebalancing Premium : A Methodological Path to Risk Premia Engineering
Dubikovsky, Vladislav - 2015
Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio … framework that encompasses various investment styles and portfolio construction methodologies. Modern Portfolio Theory is a one … theory. We show that Markowitz portfolios and Warren Buffett's investment style are valid special cases of optimal growth …
Persistent link: https://www.econbiz.de/10013018815
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …
Persistent link: https://www.econbiz.de/10012237439
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Risk-Free versus Risky Assets : Teaching a Portfolio Model With Application to the Stock Market
Berga, Dolors - 2019
In this paper we present an application where advanced undergraduate students can solve the expected utility portfolio model with a risk-free and a risky asset with both up and down returns in the Stock Market. With real Stock Market data, we use Excel Solver to find the portfolio decision and...
Persistent link: https://www.econbiz.de/10012860660
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Firm size and stock returns : a meta-analysis
Astakhov, Anton; Havránek, Tomáš; Novák, Jiri - 2017
A prominent factor used in most models predicting stock returns is firm size. Yet no consensus has emerged on the magnitude and stability of the size premium, with some researchers even questioning the usefulness of the factor. To take stock of the voluminous academic literature on the size...
Persistent link: https://www.econbiz.de/10011716607
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Portfolio Theory
Viole, Fred - 2016
extension of modern portfolio theory, namely the redefinition of the second stage via partial moments and the probabilistic …
Persistent link: https://www.econbiz.de/10012989591
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The Price of Risk : From Modern Portfolio Theory to Leveraged Portfolio Theory
Le Marois, Olivier - 2019
The Modern Portfolio Theory (MPT) has been the cornerstone of the asset allocation for over 40 years. In the past …, such as the recent sub-prime crisis. The proposed Leveraged Portfolio Theory (LPT) removes the most fundamental axiom of … distribution for assets return, we obtain the classical CAPM beta in LPT framework. We show that extreme risk underestimation by …
Persistent link: https://www.econbiz.de/10012905661
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Asset Price Trend Theory : Reframing Portfolio Theory from the Ground Up
Dubois, Robert - 2013
Traditional portfolio optimization models specify placement of capital as rather irrevocably and fully at risk through investment horizon(s) or continuously. Under this constraint, asset class allocation typically serves as primary mode of diversification, pursuing risk moderation by seeking to...
Persistent link: https://www.econbiz.de/10013084090
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Properly discounted asset prices are semimartingales
Bálint, Dániel; Schweizer, Martin - 2019 - This version: October 3, 2019
We study general undiscounted asset price processes, which are only assumed to be non- negative, adapted and RCLL (but not a priori semimartingales). Traders are allowed to use simple (piecewise constant) strategies. We prove that under a discounting-invariant condition of absence of arbitrage,...
Persistent link: https://www.econbiz.de/10012134260
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A Mean-Variance Capital Asset Pricing Model for Long Short Equity Hedge Fund Portfolios
Hampton, David - 2011
Persistent link: https://www.econbiz.de/10012714317
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Equity Machine Factor Models
Noguer i Alonso, Miquel; Zoonekynd, Vincent - 2022
We examine in this paper the training and test set performance of several equity factor models with a dataset of 20 years of data, 1,200 stocks and 100 factors. First, we examine several models to forecast expected returns, which can be used as baselines for more complex models: linear...
Persistent link: https://www.econbiz.de/10014255242