Investors have traditionally relied on mean-variance analysis to determine a portfolio’s optimal asset mix, but they have struggled to incorporate private equity into this framework because they do not know how to estimate its risk. The observed volatility of private equity returns is...

In this paper, we examine the validity of hedonic models for estimating heterogeneous assets returns. We look into the art markets, and show that the returns on hedonic indices strictly depend on the specifications of the model. Different sets of variables lead to different returns. This means...

The Prediction of a dynamic, volatile and unpredictable stock market has been a challenging issue for the researchers over the past few years. This paper discusses stock market related technical indicators, computing mathematical models , most preferred algorithms used in data science industries...

The Information Ratio IR is the conventional metric to gauge the ex post risk-adjusted performance of a market timing strategy. A deficiency of this metric is that it does not account for an average “long bias”, which can confound the timing ability of the evaluated strategy. In this paper,...

When stock returns are assumed to be lognormally distributed, there are well known formulae for converting the mean and variance of log returns into the mean and variance of proportional returns, and vice versa. We derive an approximation to the mean and variance of proportional returns when log...

The relationship between risk and return has been one of the most important and extensively investigated issues in the financial economics literature. The theoretical results predict a positive relation between the two. Nevertheless, the empirical findings so far have been contradictory....

The appearance of negative bond yields presents significant challenges for the fixed income markets, which mainly concern related forecasting models. The Nelson-Siegel-Svensson model (NSS) is one of the models that is most frequently used by central banks to estimate the term structure of...

We introduce a methodology for dynamic modelling and forecasting of realized covariance matrices based on generalization of the heterogeneous autoregressive model (HAR) for realized volatility. Multivariate extensions of popular HAR framework leave substantial information unmodeled in residuals....

In a highly interconnected financial economy, deciphering co-dependencies between asset prices and their time-varying dynamics is challenging and important for sound financial decisions. This paper develops a framework to study dynamic features of a financial network, that incorporates...