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Challenges of Indexation in S&P 500 Index Volatility Investment Strategies
Sundberg, Margaret - 2019
S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a … cardinal characteristics of options on S&P 500 Index, central to designing viable volatility investment strategies, are …
Persistent link: https://www.econbiz.de/10012865881
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Can Return Forecasts Enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach
Chondrogiannis, Ilias; Vivian, Andrew; Wohar, Mark E. - 2022
We examine whether real-time return forecasts are valuable to an investor looking to allocate their portfolio across a wide selection of countries. We expand the Sum-of-Parts (SoP) method for forecasting stock returns to an international setup by adding FX returns as an additional component. We...
Persistent link: https://www.econbiz.de/10013403620
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Künstliche neuronale Netze zur Risikomessung bei Aktien und Renten : am Beispiel deutscher Lebensversicherungsunternehmen
Rauscher, Markus - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013420595
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International Illiquidity
Malkhozov, Aytek; Mueller, Philippe; Vedolin, Andrea; … - 2017
We build a parsimonious international asset pricing model in which deviations of government bond yields from a fitted yield curve of a country measure the tightness of investors' capital constraints. We compute these measures at daily frequency for six major markets and use them to test the...
Persistent link: https://www.econbiz.de/10014122253
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Recursive Portfolio Selection with Decision Trees
Andriyashin, Anton - 2017
volatility variable, when included into the training sample, boosts the predictive power of the model significantly …
Persistent link: https://www.econbiz.de/10012966264
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Recursive portfolio selection with decision trees
Andriyashin, Anton (contributor);  … - 2008
volatility variable, when included into the training sample, boosts the predictive power of the model significantly. -- CART …
Persistent link: https://www.econbiz.de/10003636039
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On the Risk Return Relationship
Wang, Jian-xin - 2012
While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional … volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the …
Persistent link: https://www.econbiz.de/10013107127
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On the Risk Return Relationship
Yang, Minxian - 2012
While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional … volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the …
Persistent link: https://www.econbiz.de/10013107156
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How Do Oil Shocks Affect Stock Market Risk
Zhang, Yilin - 2014
combined with the theory shed light on a risk-based explanation for the observed predictability. A preliminary test of this … risk. Using U.S. data, I find supporting evidence that oil price changes have significant effects on the second moments of … correlations. Based on the estimated second moments, I construct the time-varying empirical risk premia. My empirical results …
Persistent link: https://www.econbiz.de/10013062104
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What Do Asset Prices Have to Say About Risk Appetite and Uncertainty?
Bekaert, Geert - 2015
Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental … Germany and the US. We find that the variance premium contains a substantial amount of information about risk aversion whereas … the credit spread has a lot to say about uncertainty. We link our risk aversion and uncertainty estimates to practitioner …
Persistent link: https://www.econbiz.de/10013020862