This paper offers a quantitative description of European private equity markets and compares the recent development in these markets with the development of the US venture capital market. Moreover, the paper addresses the differences between private equity investors acting in a single national...

Contextos inflacionarios pueden dar lugar a fuentes de ganancias o renta que no se encuentran directamente vinculadas a los aspectos operativos del foco de negocios de una firma sino más bien a los aspectos financieros, y que surgen de la administración del portafolio de activos y pasivos de...

We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable...

Proceeding to portfolio allocation in the framework of Markowitz, a numerical inconsistency may occur when the sample covariance matrix of assets returns has to be inverted. This is mainly caused by the magnitude of its lowest eigenvalues. In this paper, we tackle the Markowitz problem as an...

Portfolio implementation is an essential part of active investment strategies. The trading horizon-the length of time allocated for trade implementation, is an important consideration in portfolio trading. Previous research on optimal trading limits the trading horizon as a fixed value. In this...

In imperfect capital markets, an entrepreneur has to invest substantial personal funds to start a private firm and is forced to bear large firm-specific risk. Furthermore, if the entrepreneur is risk averse, one would expect the private equity to earn a premium for idiosyncratic risk. In this...

Investors are always in search of diversifying securities and strategies to assist in downside risk management. We consider six popular diversifying securities, i.e. Gold, Swiss Franc, Japanese Yen, Bond Futures, S&P 500 80% strike Put Options, and Trend Following strategies in this paper. Using...

Adaptive Asset Allocation builds on Harry Markowitz’s 1952 Modern Portfolio Theory by providing greater risk management to traditional static allocation models. By adjusting risk exposures within the portfolio in response to the macroeconomic environment, investors can reduce exposure to...

One year after Coronovirus and three years later after initially suggesting them, we revisit the performance of balanced portfolios of leveraged ETFs that we initially suggested in the 2017 paper. Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure and can be...

When trading the oil market an artificial intelligent system utilizing cortical and subcortical computing can perform better than a buy and hold strategy between Jan 3, 2005 through April 21, 2015. A cortical and subcortical algorithmic system can recognize patterns in a dataset, and therefore...