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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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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 …
Persistent link: https://www.econbiz.de/10012905661
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Alpha, Beta and the Endowment Model
Karris, Michael - 2019
Alpha, or outperformance of a benchmark, can be generated in many ways within a portfolio. It can be created by picking the top hedge fund managers, or by capturing the illiquidity premium via alternative assets. Venture capital is a major source of alpha for long-term investors. Alpha can also...
Persistent link: https://www.econbiz.de/10012861515
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The Relative Asset Pricing Model : Toward a Unified Theory of Asset Pricing
Muralidhar, Arun - 2015
Since the development of modern portfolio theory (MPT) in the late 1950s and early 1960s, academics have offered … of the market portfolio and the asset's beta to the market portfolio. Arbitrage pricing theory (APT) suggests that … address specific factors. Prospect theory or behavioral finance (PT) finds that investors do not behave as predicted by MPT …
Persistent link: https://www.econbiz.de/10013032935
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Machine Learning and the Implementable Efficient Frontier
Jensen, Theis Ingerslev; Kelly, Bryan T.; Malamud, Semyon; … - 2022
We propose that investment strategies should be evaluated based on their net-of-trading-cost return for each level of risk, which we term the "implementable efficient frontier." While numerous studies use machine learning return forecasts to generate portfolios, their agnosticism toward trading...
Persistent link: https://www.econbiz.de/10013492674
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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
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Lazy Momentum with Growth-Trend timing : Resilient Asset Allocation (RAA)
Keller, Wouter J. - 2021
Resilient Asset Allocation (RAA) is a more aggressive version of our Lethargic Asset Allocation (LAA) strategy. It combines a more robust “All Weather” portfolio with even slower growth-trend (GT) filter and a faster market crash-protection. GT timing goes risk-off only when both the US...
Persistent link: https://www.econbiz.de/10013242285
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Low-beta investment strategies
Korn, Olaf; Kuntz, Laura-Chloé - 2016 - This version: October 2016
This paper compares several investment strategies designed to exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the...
Persistent link: https://www.econbiz.de/10011553310
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Risk Management of Alpha Models
Elavia, Tony - 2010
After posting good performance and impressive business growth for over two decades, quantitative equity investment managers have recently produced weak returns. We develop a measure of risk and show how changes in risk provide a common framework to explain past under-performance, as well as...
Persistent link: https://www.econbiz.de/10013139850
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Evaluating Alternative Beta Strategies
Kang, Xiaowei - 2012
In recent years, there has been a proliferation of alternatively weighted (“alternative beta”) indices, such as fundamentally weighted indices, equal-weighted indices and low-volatility indices. We have surveyed a broad range of alternative beta strategies that have gained significant...
Persistent link: https://www.econbiz.de/10013101531