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This paper investigates the time-varying relationship between the oil price and disaggregated stock market of India using dynamic conditional correlation multivariate GARCH and continuous wavelet transformation modelling approaches. Our findings reveal the evolving relationship between the oil...
Persistent link: https://www.econbiz.de/10012888880
Investors are inextricably linked to financial institutions, money managers, and the products they market. Mutual funds, exchange-traded funds (ETFs), hedge funds, and pension funds manage or hold roughly $55 trillion in combined wealth. This chapter examines these topics with a behavioral...
Persistent link: https://www.econbiz.de/10012954545
Asset allocation models have evolved in complexity with the development of modern portfolio theory, but they continue to operate under the assumption of investor rationality and other assumptions that do not hold in the real world. For this reason, academics and industry professionals make...
Persistent link: https://www.econbiz.de/10012954547
Around the globe, the gradual move from defined benefit pensions to defined contribution pensions has increased the need for individual retirement planning. Examples of this include U.S. savings rates at historic lows, poor retirement prospects for citizens in developed countries, and the...
Persistent link: https://www.econbiz.de/10012954549
In the oversight of most funds, the portfolio manager holds the key decision-making power. Often regarded as foundational to the investment process, a few select managers can attract billions of dollars from investors, giving the managers increased prominence, credibility, and compensation....
Persistent link: https://www.econbiz.de/10012954973
Constructing a multi-asset portfolio with a constraint of tail risk aversion is challenging because (1) the individual asset classes have poor tail risk characteristics and (2) diversification between asset classes is minimal. A better portfolio can be achieved using a multi-strategy framework...
Persistent link: https://www.econbiz.de/10013032781
This chapter focuses on the attitude of investors toward financial gains and losses and their decisions on wealth allocation, and how these changes are subject to behavioral factors. The focal point is the integration of behavioral elements into the classic portfolio optimization. Individual...
Persistent link: https://www.econbiz.de/10013053271
Asset allocation and portfolio diversification decisions have important welfare and policy implications. This chapter reviews studies that examine three key aspects of financial investing: participation in stock markets, portfolio diversification, and trading behavior. Standard finance theory...
Persistent link: https://www.econbiz.de/10013053275
We provide detailed descriptions, including over 550 mathematical formulas, for over 150 trading strategies across a host of asset classes (and trading styles). This includes stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets,...
Persistent link: https://www.econbiz.de/10012898167
The chapter describes investment and trading strategies rooted in behavioral finance that historically have generated superior profits. The failure of traditional finance models, such as those based on purely rational behavior, to explain how markets work has enabled behavioral finance to move...
Persistent link: https://www.econbiz.de/10013058097