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Conditioning the information in portfolio optimization
Sala, Carlo; Barone-Adesi, Giovanni - 2015
utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a …This paper proposes a theoretical analysis on the impacts of using a suboptimal information set on the three main … complete information set thus a fully conditional measure, and what is instead achievable by en econometrician. Searching for …
Persistent link: https://www.econbiz.de/10011506342
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Optimal Portfolios and Efficient Frontiers
Athaide, Malcolm - 2012
This study focuses on the background and relationship of asset pricing, optimal portfolios and efficient portfolio frontiers. This has been discussed in light of multiple crisis; right from the Asian Crisis of 1997, dotcom of 2001 till the financial crisis of 2008. This study tracks the changes...
Persistent link: https://www.econbiz.de/10013104906
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Bayesian Analysis of LOT Liquidity Model
Zhao, Wandi - 2018
LOT liquidity model, which is a kind of Tobit model with two unknown censoring points, is commonly used in the literature of microstructure of financial markets to estimate transaction costs and market liquidity from the observed return series. As far as the estimation is concerned, method based...
Persistent link: https://www.econbiz.de/10012925912
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Dynamic Asset Allocation Using a Combined Criteria Decision System
Galloppo, Giuseppe - 2018
In this paper we examine the predictability of asset returns by developing an approach that combines quantitative methods of forecasting, based on technical analysis. As an innovation we introduce a multiple criteria decision system making simultaneous use of trend indicators and other...
Persistent link: https://www.econbiz.de/10012940663
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On the Computation of LOT Liquidity Measure
Zhao, Wandi - 2016
We clarify that the widely used estimation method for the LOT liquidity model in the market microstructure literature is improper in the sense of econometric inference. Based on an extensive simulation study and a real data analysis, we show that this method not only overestimates the true...
Persistent link: https://www.econbiz.de/10012990817
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Portfolio Rebalancing : Tradeoffs and Decisions
Hong, Xing; Meyer-Brauns, Philipp - 2021
This paper identifies a clear tradeoff between tracking error — performance differences relative to a targeted asset allocation — and turnover—a proxy for rebalancing costs — that can help guide investors’ rebalancing choices. We find that calendar-based approaches, while convenient,...
Persistent link: https://www.econbiz.de/10013225318
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Maximizing the Sharpe Ratio : A Genetic Programming Approach
Liu, Yang; Zhou, Guofu; Zhu, Yingzi - 2021
While common machine learning algorithms focus on minimizing the mean-square errors of model fit, we show that genetic programming, GP, is well-suited to maximize an economic objective, the Sharpe ratio of the usual spread portfolio in the cross-section of expected stock returns. In contrast to...
Persistent link: https://www.econbiz.de/10013242613
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Optimizing the Compression Cycle : Algorithms for Multilateral Netting in OTC Derivatives Markets
O'Kane, Dominic - 2014
participants share position information via a third party company, TriOptima, who determine and propose a set of trades which will …
Persistent link: https://www.econbiz.de/10013063807
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A Practical Guide for Optimizing Volatility Positions with Interior Point Solvers
Silverstein, Brian - 2022
implied volatility drops from these events occur due to changes in the information environment surrounding a firm’s real …
Persistent link: https://www.econbiz.de/10014236189
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Mutual fund competition in the presence of dynamic flows
Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek - 2008
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel. We characterize the set of equilibria for this delegated portfolio management game and show that there exists a unique Pareto optimal equilibrium. The main result of this paper...
Persistent link: https://www.econbiz.de/10003962143