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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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Arbitrage Opportunity, Impossible Frontier, and Logical Circularity in CAPM Equilibrium
Abad, Pharos - 2020
Persistent link: https://www.econbiz.de/10012841039
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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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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
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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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Financial Machine Learning
Kelly, Bryan T.; Xiu, Dacheng - National Bureau of Economic Research - 2023
We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...
Persistent link: https://www.econbiz.de/10014322889
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Multiplicative models of financial returns and what we fail to get when they are disregarded
Apreda, Rodolfo - 2011
This paper puts forward an alternative approach to multiplicative models and their assessment of returns out of financial assets. Firstly, it lays down an operative definition but also sets forth a commutative framework of mappings to provide foundations to such a definition. Next, the total...
Persistent link: https://www.econbiz.de/10009160445
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Is Systematic Risk Diversifiable? Presentation of a Portfolio Model that Eliminates Systematic Risk
Scholtz, Hellmut D. - 2014
The possibility to minimize volatility of the systematic risk while maximizing returns, is the use of an optimized buy long/sell short strategy that takes into account, that the market model is kinky. The equation of the market model – including a beta plus for increasing markets and a beta...
Persistent link: https://www.econbiz.de/10013043076