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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 decade though, it led in a rather systematic way to bad investments decisions. One of MPT's main assumptions, investor risk aversion that translates into volatility aversion, biases...
Persistent link: https://www.econbiz.de/10012905661
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Private Capital : Expected Return and Risk, Asset Allocation
Verbiest, Eddy H. - 2022
Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine with Listed liquid assets in a traditional mean-variance framework. We find expected returns of 11%-12% for PE and 8% for PD, PC detailed per subclass. Risk is decomposed in Class...
Persistent link: https://www.econbiz.de/10014238291
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Chapter 10 Arbitrage, state prices and portfolio theory
Dybvig, Philip H.; Ross, Stephen A. - 2003
equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …
Persistent link: https://www.econbiz.de/10014023861
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Technical analysis accuracy at Macedonian Stock Exchange
Ivanovski, Zoran; Ivanovska, Nadica; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 8 (2017) 2, pp. 105-118
The main task of this paper is to determine accuracy of some of widely used technical analysis techniques for MBI-10 stocks price forecast at MSE. We are testing accuracy of several technical analysis techniques: MACD (Moving-Average Convergence/Divergence), RSI (Relative Strength Index),...
Persistent link: https://www.econbiz.de/10011780553
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Asset pricing with arbitrage activity
Hugonnier, Julien; Prieto, Rodolfo - 2013
arbitrage opportunities that emerge endogenously in reaction to the portfolio imbalance generated by constrained agents. The … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …
Persistent link: https://www.econbiz.de/10010257492
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Arbitrage Opportunity, Impossible Frontier, and Logical Circularity in CAPM Equilibrium
Abad, Pharos - 2020
Persistent link: https://www.econbiz.de/10012841039
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MAX, lottery-type stocks, and the cross-section of stock returns : evidence from the Chinese stock market
Hoang Van Hai - In: Cogent economics & finance 11 (2023) 1, pp. 1-33
This study empirically investigates a relationship between MAX and lottery-type stocks in the Chinese stock markets. We find that the lottery-type stocks, which are preferred for lottery demand of investors, are negatively priced in the Chinese market. Moreover, the MAX effect as a proxy for...
Persistent link: https://www.econbiz.de/10014500653
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Re-Evaluating the Value of Modern Portfolio Theory and Asset Pricing Models Based on Behavioral Insights from Benjamin Graham's Value Investing Paradigm
Otuteye, Eben - 2017
's value investing paradigm. We propose that if, instead of getting fixated on investors' optimal rational decision making, we … adopt Benjamin Graham's value investing perspective which explicitly acknowledges that investor decision making is by … definition imperfect due to psychological biases, we could derive better investment decision making processes …
Persistent link: https://www.econbiz.de/10012954957
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Combination Return Forecasts and Portfolio Allocation with the Cross-Section of Book-to-Market Ratios
Detzel, Andrew L. - 2017
In this paper, we forecast industry returns out-of-sample using the cross-section of book-to-market ratios and investigate whether investors can exploit this predictability in portfolio allocation. Cash-flow and return forecasting regressions show that cross-industry book-to-market ratios...
Persistent link: https://www.econbiz.de/10012968901
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A Critique of Modern Portfolio Theory and Asset Pricing Models Based on Behavioral Insights from Benjamin Graham's Value Investing Paradigm
Otuteye, Eben - 2017
decision making, we adopt Benjamin Graham's value investing perspective which explicitly acknowledges that investor decision … decision making processes …
Persistent link: https://www.econbiz.de/10012948474