This paper highlights the use of a new strategic approach within a quantitative investment methodology in the context of making prudent asset allocation decisions. Three asset classes will frame the dynamic asset allocation discussion: Equities, Fixed Income, and Hedge Funds. The quantitative...

The purpose of this article is to assess whether correct application of robust estimators in construction of minimum variance portfolios' (MVP) allows to achieve better investment results in comparison with portfolios defined using classical MLE estimators. Theoretical robust portfolios...

In this paper, a result for bivariate normal distributions (Sheppard, 1899) from statistics is transformed into a financial asset context in order to build a tool which could translate a correlation matrix into an equivalent probability matrix and vice versa. This way, the correlation...

Investment risk is addressed from the perspective of long-term investors, with key concepts being discussed and methods outlined for evaluating risk over long horizons. The main themes include: the need to focus on shortfall versus objectives and sources of sustained loss, rather than return...

Focusing on the role of the investment horizon, we analyze the inflation-hedging abilities of stocks, bonds, cash and direct commercial real estate investments. Based on vector autoregression for the UK market we find that the inflation-hedging abilities of all assets improve with the investment...

Although financial literature presents ambiguous evidence about the predicting value of fundamental and technical variables in stock markets, we find that evolving trading models based on fundamental variables substantially reduce the risk of investing in stocks. This reduction is so generous...

The aim of this paper is to determine whether forward-looking option-implied returns forecasts lead to better out-of-sample portfolio performance than conventional time series models. We consider a simple two-asset setting with a risk-free asset and the S&P 500 index the risky asset with monthly...

Compared to using the variance of index returns, managing investment by the average of the variance of index components (AV) produces significant return and ratio performance improvements. AV managed investment in the market index takes less extreme leverage making it more practical and cheaper...

This paper investigates investment strategies that exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the investment...

Accumulated imbalances in the economy and on the markets cause specific financial market dynamics that have formed characteristic patterns kept throughout long financial history. In 2008 Authors presented their expectations of key macroeconomic and selected asset class markets developments for...