Narrow search
Showing 1 - 10 of 4,269
Cover Image
Optimal Asset Allocation Strategies
Stefanescu, Razvan - 2016
This study presents a survey on the current methodologies employed in the asset allocation industry. We review techniques from Modern Portfolio Theory and focus on the central role of the mean-variance optimization problem. The formalism of the Black-Litterman model is discussed with its...
Persistent link: https://www.econbiz.de/10012988090
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Long-term asset allocation
Koniarski, Tim - 2014
Persistent link: https://www.econbiz.de/10010408592
Cover Image
A Markov Regime Switching Model for Asset Allocation
Hu, Qiaozhi (George) - 2022
This paper develops an innovative regime switching multi-factor model accounting for the different regime switching behaviors in the systematic and idiosyncratic components of asset returns. A Gibbs sampling approach for estimation is proposed to deal with the computational challenges that arise...
Persistent link: https://www.econbiz.de/10013290634
Cover Image
Volatility Downside Risk
Farago, Adam - 2017
This paper derives and tests the cross-sectional predictions of an intertemporal equilibrium asset pricing model with generalized disappointment aversion and time-varying macroeconomic uncertainty. To the contrary of the existing literature, disappointment may result not only from a fall in the...
Persistent link: https://www.econbiz.de/10012974740
Cover Image
French Households’ Portfolio : The Financial Almost Ideal Demand System Appraisal
Avouyi-Dovi, Sanvi - 2019
Over the last decades, the composition of financial wealth of French households has dramatically changed. We seek explanatory factors for these changes by estimating an extended version of Deaton and Muellbauer (1980) model applied to French households' portfolio choices. We find that most of...
Persistent link: https://www.econbiz.de/10012863426
Cover Image
Investment Strategies Beating the Market : What Can We Squeeze from the Market?
Slepaczuk, Robert - 2014
The paper presents the new approach to optimizing automatic transactional systems. We propose the multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover,...
Persistent link: https://www.econbiz.de/10013045822
Cover Image
Investment strategies that beat the market : what can we squeeze from the market?
Ślepaczuk, Robert; Sakowski, Paweł; Zakrzewski, Grzegorz - In: E-Finanse : finansowy kwartalnik internetowy 14 (2018) 4, pp. 36-55
The paper presents a new approach to optimizing automatic transactional systems. We propose a multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover, we...
Persistent link: https://www.econbiz.de/10011993037