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Uncertainty in the Black-Litterman model : a practical note
Fuhrer, Adrian; Hock, Thorsten - 2019 - Version: July 15, 2019
Deriving an optimal asset allocation for institutional investors hinges crucially on the quality of inputs used in the optimization. If the mean vector and the covariance matrix are known with certainty, the classical mean-variance optimization of Markowitz (1952) produces optimal portfolios....
Persistent link: https://www.econbiz.de/10012042184
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Asset pricing model uncertainty and portfolio choice
Carrasco, Ignacio; Hansen, Erwin - In: Finance research letters 45 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10014576820
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Have risk premia vanished?
Smith, Simon C.; Timmermann, Allan - 2021
Persistent link: https://www.econbiz.de/10012508216
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Dealing with drift uncertainty : a Bayesian learning approach
De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: Risks : open access journal 7 (2019) 1/5, pp. 1-18
One of the main challenges investors have to face is model uncertainty. Typically, the dynamic of the assets is modeled using two parameters: the drift vector and the covariance matrix, which are both uncertain. Since the variance/covariance parameter is assumed to be estimated with a certain...
Persistent link: https://www.econbiz.de/10012018698
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Portfolio allocation for European markets with predictability and parameter uncertainty
Jondeau, Eric; Rockinger, Michael - 2010
We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …
Persistent link: https://www.econbiz.de/10008797745
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On dynamic measures of risk
Cvitanić, Jakša; Karatzas, Ioannis - In: Finance and stochastics 3 (1999) 4, pp. 451-482
Persistent link: https://www.econbiz.de/10001412192
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Advancing Style Analysis and Risk Modeling by Incorporating Model Uncertainty with Bayesian Model Averaging
Zhou, Hao (David) - 2013
risk and market dynamics. This paper demonstrates how macroeconomic factor models, based on Bayesian model averaging (BMA …), can help address the challenges in some specific investment analytic tasks from three perspectives: (1) selecting risk … factors and estimating risk factor exposure in risk allocation, (2) modeling the dynamic exposure of multiple asset classes to …
Persistent link: https://www.econbiz.de/10013073771
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Bayesian Value-at-Risk backtesting : the case of annuity pricing
Leung, Melvern; Li, Youwei; Pantelous, Athanasios A.; … - In: European journal of operational research : EJOR 293 (2021) 2, pp. 786-801
Persistent link: https://www.econbiz.de/10012513273
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Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
Longo, M.; Mainini, A. - In: Quantitative finance 18 (2018) 12, pp. 2035-2050
Persistent link: https://www.econbiz.de/10012262961
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Bayesian risk forecasting for long horizons
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019
We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …
Persistent link: https://www.econbiz.de/10011979983