The technique of application of copulas in modeling of security portfolios by logical-and-probabilistic theory with groups of incompatible events is suggested. Results of analysis with two types of copulas are presented. The effectivesness of combination of logical-and-probabilistic theory and...

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...

Portfolio Theory has during many decades been considered as the holy grail of investment despite the fact that very few empirical studies in the public domain have shown that portfolio theory outperforms a random equal weighted portfolio. We will in this paper empirically investigate how...

In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps. It is based on a "thin-out" procedure applied to fixed payment streams, which reduces a very frequent stream of payments to a much less frequent one. The procedure...

This paper constructs an alternative investment strategy to portfolio optimization model in the framework of the Mean–Variance portfolio selection model. To differentiate it from the ubiquitously applied Mean–Variance model, which is constructed on an assumption that returns are normally...

We propose a new approach to adaptive multi-period trade execution which can be viewed as an extension of Grinold and Kahn (1995) and Almgren and Chriss (1999). Our methodology does not rely on any exogenous switching criteria but instead explicitly includes trading acceleration and deceleration...

The present paper analyses an optimal consumption and investment problem of a retiree with a constant relative risk aversion (CRRA) who faces parameter uncertainty about the financial market.We solve the optimization problem under partial information by making the market observationally complete...

The purpose of this research is the realistic forecast of volatility in frame of a risk parity class of strategies. The custom rescaling of volatility – naïve risk parity - doesn't consider market inefficiencies which correspond to cyclical patterns like crisis and the following recovery. The...

Investment in Capital Markets creates a strategic vision on the financial capital investment in the capital markets with the aim to get an increased return premium in the short and long time periods. The book is written with a main goal to explain the pros and cons of the financial capital...

This articlemodels the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil–gas sector portfolios fromthe Australian market in the context of the global financial crisis of 2008–2009. The modeling framework implemented consists of pair vine copulas...