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Sampling methods for investment portfolio formulation procedure at increased market volatility
Dzicher, Mateusz - In: Journal of economics & management 43 (2021) 1, pp. 70-89
’s approach with the use of sampling methods is developed in order to improve the allocation efficiency for a portfolio of … theory. Research implications/limitations - The research emphasized that in order to get a more diversified investment … occasions be statistically biased. Thus it was proved that sampling methods allow to obtain a less concentrated and volatile …
Persistent link: https://www.econbiz.de/10013166371
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Portfolio allocation for European markets with predictability and parameter uncertainty
Jondeau, Eric; Rockinger, Michael - 2010
We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...
Persistent link: https://www.econbiz.de/10008797745
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Anomalous returns in a neural network equity-ranking predictor
Satinover, Jeffrey; Sornette, Didier - 2008
Persistent link: https://www.econbiz.de/10003961709
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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
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Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
Following Levy and Roll [2010], we posit that the market portfolio is the efficient tangent Markowitz portfolio, i.e., it is mean-variance efficient. We then reverse engineer the expected returns and variance terms with constraints imposed by empirical data on a hierarchy of asset baskets. This...
Persistent link: https://www.econbiz.de/10009009611
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Tail Behavior in Portfolio Optimization for Equity Style Factors
Kartsakli, Maria - 2018
Diversification has been long considered an essential part of investing for the long term. Our paper aims to look further on portfolio diversification and how asset allocation can be optimized. We suggest that the selection of investments in a portfolio should be based on how the market behaves...
Persistent link: https://www.econbiz.de/10012906959
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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Tansuchat, Roengchai - 2010
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...
Persistent link: https://www.econbiz.de/10013149486
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Robust Portfolio Optimization Under Sampling Error : Estimation of Sampling Error in Small Eigen Value by Semidefinite Programming
Minami, Seiji - 2013
covariance matrix. Estimation of sampling errors for small eigen values is quite important for fund managers who construct their … portfolios from estimated covariance matrixes. If they can calculate the sampling errors, they can construct robust portfolios …. In this study, we propose the method of estimation of sampling error for eigen values from error of each element of …
Persistent link: https://www.econbiz.de/10013079251
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Technical Appendix of : Stochastic Bounds for Benchmark Sets in Portfolio Analysis
Arvanitis, Stelios - 2020
This supplementary Technical Appendix contains formal proofs of the propositions which are stated in Anyfantaki, S., S. Arvanitis, S., Th. Post, Th. and N. Topaloglou, 2019, 'Stochastic Bounds for Portfolio Analysis', available at SSRN:"https://ssrn.com/abstract=3181869 "...
Persistent link: https://www.econbiz.de/10012848528
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Look-ahead benchmark biasin portfolio performance evaluation
Daniel, Gilles; Sornette, Didier; Wöhrmann, Peter - 2008
Performance of investment managers are evaluated in comparison with benchmarks, such as financial indices. Due to the operational constraint that most professional databases do not track the change of constitution of benchmark portfolios, standard tests of performance suffer from the look-ahead...
Persistent link: https://www.econbiz.de/10003966087