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Optimal asset allocation with factor models for large portfolios

Pesaran, M. Hashem (contributor); … - 2008

This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...

Persistent link: https://www.econbiz.de/10003720566

Essays in macroeconomics and behavioral economics

Nocetti, Diego - 2006

Persistent link: https://www.econbiz.de/10003965683

Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling

Berger, Theo; Missong, Martin - In: International review of financial analysis 33 (2014), pp. 33-38

Persistent link: https://www.econbiz.de/10010520086

Applied Investment Theory : How Markets and Investors Behave, and Why

Coleman, Les - 2016

, much less a matching theory. This is troubling because one of the most economically significant puzzles in finance is why … experienced, well-resourced fund managers cannot outperform the market. Applied Investment Theory: How Equity Markets Behave, and … documented, but free of jargon and arcane math, and provides a grounded theory that is relevant to anyone who wants to pierce the …

Persistent link: https://www.econbiz.de/10012397494

Applied investment theory : how markets and investors behave, and why

Coleman, Les - 2016

Persistent link: https://www.econbiz.de/10011584301

Hidden Markov model for stock selection

Nguyen, Nguyet; Nguyen, Dung - In: Risks : open access journal 3 (2015) 4, pp. 455-473

The hidden Markov model (HMM) is typically used to predict the hidden regimes of observation data. Therefore, this model finds applications in many different areas, such as speech recognition systems, computational molecular biology and financial market predictions. In this paper, we use HMM for...

Persistent link: https://www.econbiz.de/10011402656