Narrow search
Showing 1 - 10 of 19,129
Cover Image
Construction of uncertainty sets for portfolio selection problems
Wiechers, Christof - 2011
While modern portfolio theory grounds on the trade-off between portfolio return and portfolio variance to determine the … optimal investment decision, postmodern portfolio theory uses downside risk measures instead of the variance. Prominent …. The connections of the solution to robust optimization and decision theory are illustrated. -- Portfolio Optimization …
Persistent link: https://www.econbiz.de/10008939076
Cover Image
Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...
Persistent link: https://www.econbiz.de/10013403261
Cover Image
Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...
Persistent link: https://www.econbiz.de/10013405318
Cover Image
Measurement of extreme market risk : insights from a comprehensive literature review
Chakraborty, Gourab; Chandrashekhar, G. R.; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24
value theory (EVT) followed closely by the filtered historical simulation (FHS) are highly accurate methodologies. In …
Persistent link: https://www.econbiz.de/10013183970
Cover Image
Optimal currency hedging : horizon matters
Arruda, Nelson; Bergeron, Alain; Kritzman, Mark - 2019 - This Version: June 7, 2019
Investors have long debated what fraction, if any, of their portfolio's currency exposure they should hedge. Although the answers cover a broad range, often with dubious rationale, most informed investors agree that the solution should be based on mean-variance optimization, deployed either to...
Persistent link: https://www.econbiz.de/10012104398
Cover Image
Investors' behavior in alternative asset classes
Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55
investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss …
Persistent link: https://www.econbiz.de/10014246136
Cover Image
Characteristic-sorted portfolios : estimation and inference
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...
Persistent link: https://www.econbiz.de/10011523775
Cover Image
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
Dobrev, Dobrislav - 2011
We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...
Persistent link: https://www.econbiz.de/10013128339
Cover Image
Production-Based Asset Pricing and Economic Tracking Portfolios : Establishing a Dynamic Partial Equilibrium Link between Economic State and Investment Levels
Gadiraju, Pavan - 2011
This paper investigates the link between economic state and investment levels in an economy within the premise of a partial equilibrium econometric setup based on the central philosophies of production-based asset pricing model and economic tracking portfolio models. By employing a simple linear...
Persistent link: https://www.econbiz.de/10013134628
Cover Image
Financial Markets Portfolio Revaluation System
Macey-Dare, Rupert - 2012
This paper considers a paradigm financial markets trades booking and valuation, data subscription and portfolio revaluation system. Traded instruments covered include: spot and forward exchange rates (FX); credit default swaps (CDS); total return swaps (TRS); commodity and bond futures; traded...
Persistent link: https://www.econbiz.de/10013098037