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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 Classes

Malhotra, Yogesh - 2022

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

Unraveling the value premium : a reward for risk or mispricing?

Serur, Claudio E.; Siri, Julián R.; Serur, Juan Andrés; … - 2019

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

Hedge funds and the positive idiosyncratic volatility effect

Bali, Turan G.; Weigert, Florian - 2021 - This version: December 2020

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

Active Portfolio Selection (I) : The Elegant Mathematical Principles Behind the Art of Investment Management

Cheung, Wing - 2022

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

Long-Term Investing in Triple Leveraged Exchange Traded Funds

Glenn, Lewis A. - 2021

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

Uncertainty in the Black-Litterman model : a practical note

Fuhrer, Adrian; Hock, Thorsten - 2019 - Version: July 15, 2019

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

Impact of Institutional Investors on Real Estate Risk

Cvijanovic, Dragana; Milcheva, Stanimira; Van de Minne, Alex - 2021

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

Event Risks, Illiquidity, and Portfolio Selection

Liu, Hong - 2009

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

Proportional Reinsurance and Investment in Multiple Risky Assets Under Borrowing Constraints

Yener, Haluk - 2023

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

Long-term asset allocation

Koniarski, Tim - 2014

Persistent link: https://www.econbiz.de/10010408592