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portfolios, we propose simple adjustments to portfolio selection strategies that utilize centralization measures from financial … network-based asset allocation strategies improve key portfolio return characteristics in an out-of-sample framework, most … notably, risk and left-tail risk-adjusted returns. Resolving portfolio model selection uncertainties further improves risk …
Persistent link: https://www.econbiz.de/10011877513
altering the portfolio in response to changes in macroeconomic indicators. Therefore, this study examines the existence of …
Persistent link: https://www.econbiz.de/10014232629
Persistent link: https://www.econbiz.de/10012169513
Persistent link: https://www.econbiz.de/10012504140
We examine the impact of dynamic hedging demand of German option and discount certificate markets on the autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate market, a structured financial product with a concave...
Persistent link: https://www.econbiz.de/10011960804
We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European stocks. Following the approach of the BARRA model, we have adopted a cross-sectional methodology. The proportion of explained variance ranges from 7.3% to 66.3% in the weekly...
Persistent link: https://www.econbiz.de/10010316262
In a two-country portfolio model with leverage constraints, I focus on private assets in order to understand how their … relative riskiness of local versus foreign collateral. The resulting portfolio solution shows that, in equilibrium, investors …
Persistent link: https://www.econbiz.de/10010316804
This paper analyzes the safety-first portfolio model under two different target assumptions, the fixed target, which is … comparing optimal expected portfolio returns of the fixed and the random target strategy. Assuming multivariate normal returns … the answer is: (1) The random target strategy outperforms the fixed target strategy if the portfolio return and the random …
Persistent link: https://www.econbiz.de/10010319288
Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...
Persistent link: https://www.econbiz.de/10010324945
This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...
Persistent link: https://www.econbiz.de/10010326025