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Application of Genetic Algorithms to Quantitative Asset Allocation Models
Phillip, Andrew - 2013
This paper discusses the role that Genetic Algorithms (GA) can have in determining asset allocation for multi sector funds. We present an asset allocation model where the investors' utility function departs from the quadratic utility function assumed by the standard Mean-Variance optimisation....
Persistent link: https://www.econbiz.de/10013084579
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Portfolio optimization on Croatian capital market
Ivanovic, Zoran; Baresa, Suzana; Bogdan, Sinisa - In: UTMS journal of economics / University of Tourism and … 4 (2013) 3, pp. 269-282
Purpose of this paper was to research portfolio optimization problem on Croatian capital market using Markowitz theory …
Persistent link: https://www.econbiz.de/10010222861
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When Prospect Theory Preference Meets Mean-Reverting Asset Returns : A Dynamic Asset Allocation Model
Gao, Jianjun - 2019
prospect-theory preferences. Particular attention is paid to the trading incentives created by the interaction between prospect-theory … results demonstrate that the combination of prospect theory and mean reversion can generate the disposition effect close to … seriously misleading if the prospect theory allocation framework ignores time-variation in expected returns such as mean …
Persistent link: https://www.econbiz.de/10012899580
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Application of Stochastic Optimal Control to Financial Market Debt Crises
Stein, Jerome L. - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10014210945
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Forecasting the Dynamics of Financial Markets : Empirical Evidence in the Long Term
Duqi, Andi - 2013
This study aims to verify whether there are any macroeconomic variables that have significant power in predicting the dynamics of financial markets. In particular, we want to identify an econometric model that can guide the strategies of operators in building their investment portfolios. The...
Persistent link: https://www.econbiz.de/10013075743
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Asymmetry in Liquidity Pricing in the Cross-Section and Time Series of Corporate Bond Returns
Dienemann, Fabian - 2020
The asymmetry in price pressure from seller vs. buyer-initiated transactions is identified as valuable measure of downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate bonds is mixed, the aggregate liquidity asymmetry has a...
Persistent link: https://www.econbiz.de/10012835834
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The Real Term Premium in a Stationary Economy with Segmented Asset Markets
Chien, YiLi - 2019
This paper proposes an equilibrium model to explain the positive and sizable term premia observed in the data. We introduce a slow mean-reverting process of consumption growth and a segmented asset market mechanism with heterogeneous trading technology to otherwise a standard heterogeneous agent...
Persistent link: https://www.econbiz.de/10012897692
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The Real Term Premium in a Stationary Economy with Segmented Asset Markets
Chien, YiLi - 2019
This article proposes a general equilibrium model to explain the positive and sizable term premia implied by the data. The authors introduce a slow mean-reverting process of consumption growth and a segmented asset-market mechanism with heterogeneous trading technologies into an otherwise...
Persistent link: https://www.econbiz.de/10012858651
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Revisiting the Bond Duration-Convexity Approximation
Rakotondratsimba, Yves - 2010
Usually people make use of sensitivities in order to hedge a portfolio sensitive to interest rates risks. Actually the bond relative price change is approximated by the opposite of its duration times the interest rate change added by the convexity times the square of this interest rate change....
Persistent link: https://www.econbiz.de/10012716716
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Cross-section Instability in Financial Markets : Impatience, Extrapolation, and Switching
Dieci, Roberto; He, Xuezhong - 2021
This paper presents a stylized model of interaction among boundedly rational heterogeneousagents in a multi-asset financial market to examine how agents' impatience, extrapolation, andswitching behaviours can affect cross-section market stability. Besides extrapolation and performance based...
Persistent link: https://www.econbiz.de/10013219229