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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

Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions : A Solution for Long-Only Portfolios

Shaw, William Thornton - 2010

We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this …-Variance and CVaR optimization are obtained when "edge-vertex-biased" sampling methods are employed to create random portfolios. We …

Persistent link: https://www.econbiz.de/10013137970

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

Persistent link: https://www.econbiz.de/10013113663

Tracking Portfolio Optimization

Khokhlov, Valentyn - 2011

This article introduces a new approach to the tracking portfolio composition. Unlike traditional approaches, it doesn't require benchmark composition to be known and works on any sets of assets. Models presented in the article allow deriving a portfolio composition that results in the optimal...

Persistent link: https://www.econbiz.de/10013123158

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

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

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 …

Persistent link: https://www.econbiz.de/10011506342

Anomalous returns in a neural network equity-ranking predictor

Satinover, Jeffrey; Sornette, Didier - 2008

Persistent link: https://www.econbiz.de/10003961709

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

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