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A regression-based methodology for efficiently building futures' portfolio
Maris, K.; Koutsothimiou, D.; Petropoulos, Fotios; Petra, E. - In: The empirical economics letters : a monthly … 12 (2013) 2, pp. 231-237
Persistent link: https://www.econbiz.de/10010257936
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Effectiveness of earnings forecasts in efficient global portfolio construction
Xia, Hui; Min, Xinyu; Deng, Shijie - In: International journal of forecasting 31 (2015) 2, pp. 568-574
Persistent link: https://www.econbiz.de/10011474407
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News volume information : beyond earnings forecasting in a global stock selection model
Gillam, Robert A.; Guerard, John Baynard; Cahan, … - In: International journal of forecasting 31 (2015) 2, pp. 575-581
Persistent link: https://www.econbiz.de/10011474412
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Forecasting European equity and bond returns for tactical asset allocation
Beckers, Stan; Blair, Bevan - In: Handbuch Asset Allocation : innovative Konzepte zur …, (pp. 267-286). 2003
Persistent link: https://www.econbiz.de/10001774847
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Institutional Investor Preferences for Analyst Forecast Accuracy : Does Investment Strategy Matter?
Mintchik, Natalia M. - 2011
earnings forecast accuracy, as forecast accuracy may be a signal of decreased price impact of trades and increased profit … trading opportunities. We predict a negative association between ownership by dedicated investors and earnings forecast … forecast accuracy is not relevant for the investment decisions of quasi-indexers.Our empirical evidence suggests that transient …
Persistent link: https://www.econbiz.de/10013131397
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Portfolio Risk Forecasting
Braun, Valentin - 2011
This paper focuses on portfolio risk forecasting in an asymmetrical framework. Risk is defined by two factors; the dependence structure and the volatility. In order to account for asymmetric dependencies, the return series' interdependence is estimated via a Copula approach rather than the...
Persistent link: https://www.econbiz.de/10013134426
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Accuracy of Mortgage Portfolio Risk Forecasts During Financial Crises
Lee, Yongwoong - 2018
accuracy of default rate forecasts, and (ii) whether forecast downturn percentiles (Value-at-Risk, VaR) are sufficient to cover … default rate outcomes over a quarterly and an annual forecast horizon.Uninformative maximum likelihood and informative … analyzes models based on auto-regressive adjustments of scores, which provide a higher forecast accuracy. The consideration of …
Persistent link: https://www.econbiz.de/10012927143
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Forecast Ranked Tailored Equity Portfolios
Buncic, Daniel - 2019
% (5%) level, from a total of 895 stocks. These statistical forecast improvements also translate into considerable economic …
Persistent link: https://www.econbiz.de/10012897247
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Stock-Bond Correlation and Out-of-Sample Portfolio Performance Using Analyst Forecasts
Jivraj, Farouk - 2017
's information set for the myopic stock-bond portfolio. In-sample I find that the best forecast of the volatility and correlation is …
Persistent link: https://www.econbiz.de/10012975364
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Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades
Ames, Matthew - 2015
With the exception of naive methods for portfolio selection, such as the equal weighted approaches, all other methods of portfolio allocation are more or less sensitive to the quality of the inputs considered in constructing the models and risk measures utilised in the allocation framework. The...
Persistent link: https://www.econbiz.de/10013010841