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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 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
A value investing strategy consists of purchasing stocks relatively undervalued to their funda-mental values and selling those relatively overvalued. Finding this kind of companies has been one of the most challenging goals for investors throughout the history. The main objective of this paper...
Persistent link: https://www.econbiz.de/10012125294
While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...
Persistent link: https://www.econbiz.de/10012416051
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
The phrase long-term investing in triple leveraged ETFs is somewhat of an anathema for investment academicians. As a result of daily rebalancing and so-called beta slippage or “the constant leverage trap” it is highly likely over the long term to significantly deviate from the targeted...
Persistent link: https://www.econbiz.de/10013242704
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
Private real estate markets have experienced signi ficant in inflows of institutional capital over the last couple of decades. In this paper we seek to understand what are the implications of this recent development. Employing a generalized Hamiltonian Monte Carlo Bayesian procedure we find...
Persistent link: https://www.econbiz.de/10013323794
The most recent financial crisis highlights the importance of event risks and the ensuing market illiquidity and worsening investment opportunity set for optimal portfolio selection. However, the existing portfolio selection literature does not consider the joint impact of these risks. In this...
Persistent link: https://www.econbiz.de/10013153116
In this paper, we consider the ruin probability minimization of an insurance company that buys proportional reinsurance and invests in markets where borrowing is constrained. We use a diffusion approximation model for the surplus process of this company and assume that the company invests its...
Persistent link: https://www.econbiz.de/10014355605
Persistent link: https://www.econbiz.de/10010408592