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Optimal Asset Allocation Strategies
Stefanescu, Razvan - 2016
This study presents a survey on the current methodologies employed in the asset allocation industry. We review techniques from Modern Portfolio Theory and focus on the central role of the mean-variance optimization problem. The formalism of the Black-Litterman model is discussed with its...
Persistent link: https://www.econbiz.de/10012988090
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Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...
Persistent link: https://www.econbiz.de/10013405318
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Active Portfolio Selection (I) : The Elegant Mathematical Principles Behind the Art of Investment Management
Cheung, Wing - 2022
We derive and interpret the mathematical principles for portfolio selection. We show these principles not only guarantee efficiency and value-adding, but also ideally address Treynor and Black (1973)’s long-standing normative call for reconciling subjective analyst views with objective...
Persistent link: https://www.econbiz.de/10014030061
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Uncertainty in the Black-Litterman model : a practical note
Fuhrer, Adrian; Hock, Thorsten - 2019 - Version: July 15, 2019
allerdings nur mit Unsicherheit geschätzt werden können, dann tendiert die Mean-Varianz-Optimierung zu einer Maximierung der … Vermögensallokation weit verbreitet. Es erlaubt die Integration von Rendite-Prognosen und deren Unsicherheit. Beide Größen können mit den …-Optimierung. Im Black-Litterman-Modell wird die Unsicherheit bezüglich der leichgewichtsrenditen ausschließlich mit dem Parameter …
Persistent link: https://www.econbiz.de/10012042184
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Volatility Downside Risk
Farago, Adam - 2017
This paper derives and tests the cross-sectional predictions of an intertemporal equilibrium asset pricing model with generalized disappointment aversion and time-varying macroeconomic uncertainty. To the contrary of the existing literature, disappointment may result not only from a fall in the...
Persistent link: https://www.econbiz.de/10012974740
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A Markov Regime Switching Model for Asset Allocation
Hu, Qiaozhi (George) - 2022
This paper develops an innovative regime switching multi-factor model accounting for the different regime switching behaviors in the systematic and idiosyncratic components of asset returns. A Gibbs sampling approach for estimation is proposed to deal with the computational challenges that arise...
Persistent link: https://www.econbiz.de/10013290634
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French Households’ Portfolio : The Financial Almost Ideal Demand System Appraisal
Avouyi-Dovi, Sanvi - 2019
Over the last decades, the composition of financial wealth of French households has dramatically changed. We seek explanatory factors for these changes by estimating an extended version of Deaton and Muellbauer (1980) model applied to French households' portfolio choices. We find that most of...
Persistent link: https://www.econbiz.de/10012863426
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Investment Strategies Beating the Market : What Can We Squeeze from the Market?
Slepaczuk, Robert - 2014
The paper presents the new approach to optimizing automatic transactional systems. We propose the multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover,...
Persistent link: https://www.econbiz.de/10013045822
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Investment strategies that beat the market : what can we squeeze from the market?
Ślepaczuk, Robert; Sakowski, Paweł; Zakrzewski, Grzegorz - In: E-Finanse : finansowy kwartalnik internetowy 14 (2018) 4, pp. 36-55
The paper presents a new approach to optimizing automatic transactional systems. We propose a multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover, we...
Persistent link: https://www.econbiz.de/10011993037
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The role of financial conditions in portfolio choices : the case of insurers
Ge, Shan; Weisbach, Michael S. - 2019
Many institutional investors depend on the returns they generate to fund their operations and liabilities. How do these investors' financial conditions affect the management of their portfolios? We address this issue using the insurance industry because insurers are large investors for which...
Persistent link: https://www.econbiz.de/10012104637