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Exploring Diversification Benefits in Asia-Pacific Equity Markets

Mensah, Jones Odei - 2014

This paper examines the benefits of regionally and globally diversified portfolios from the perspective of investors holding domestic-only portfolios from different Asia-Pacific countries. Three groups of regional portfolio are constructed, with sorting based on relative strength ranking...

Persistent link: https://www.econbiz.de/10013043554

From PAYG to Private Pensions : Income Gaps, Asset Allocation and Diversification Benefits

Berk, Ales S. - 2012

expected to come with substantial benefits stemming from diversification among conceptually different sources of pension income …

Persistent link: https://www.econbiz.de/10013102070

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

Real estate as a portfolio risk diversifier

Etebari, Ahmad - In: Investment management and financial innovations 13 (2016) 2, pp. 45-52

Persistent link: https://www.econbiz.de/10011647570

A diversification framework for multiple pairs trading strategies

Lee, Kiseop; Leung, Tim; Ning, Boming - In: Risks : open access journal 11 (2023) 5, pp. 1-18

diversification within our proposed framework. …

Persistent link: https://www.econbiz.de/10014333526

Credit-Informed Tactical Asset Allocation

Klein, David - 2011

This paper outlines a tactical asset allocation (TAA) strategy that takes signals from the credit markets and applies them to the stock market. A power model is built using the Russell 2000 equity index and the Bank of America/Merrill Lynch High Yield B index. This model is then used in a...

Persistent link: https://www.econbiz.de/10013123320

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

A Quick Introduction to Quantitative Models That Discard Estimation of Expected Returns for Portfolio Construction

Colucci, Stefano - 2013

2008/09 another way to deal with diversification came up, the equally-weighted risk contribution portfolio. We give an … diversification using Expected Shortfall as risk measure and Filtered Historical Simulation as a way to estimate it. We take as a … Risk Contribution, Maximum Diversification and risk parity portfolio as in Maillard-Roncalli-Teiletche in order to study …

Persistent link: https://www.econbiz.de/10013090289

Comparison of Different Copula Assumptions and Their Application in Portfolio Construction

Stulajter, Frantisek - 2009

Article deals with modelling of mutual dependencies among financial assets. Its aim is to investigate the impacts of different copula assumptions on optimal portfolios, when CVaR optimization is used. Strategic asset allocation perspective is supposed. It is demonstrated that copula functions...

Persistent link: https://www.econbiz.de/10013156773

Portfolio Performance Under Reference-Day Risk

Gonzalez, Marcelo - 2017

Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the estimation of stock returns and their volatility and market betas have been documented. Using a dataset of daily equity mutual fund returns, we extend previous studies to analyze...

Persistent link: https://www.econbiz.de/10012968627

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