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Co-Occurrence : A New Perspective on Portfolio Diversification
Kinlaw, William B.; Kritzman, Mark; Turkington, David - 2023
Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...
Persistent link: https://www.econbiz.de/10014343662
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Portfolio choice with path-dependent preferences
Kritzman, Mark; Li, Ding; Qiu, Grace; Turkington, David - 2020 - This version: May 21, 2020
Many sophisticated investors rely on scenario analysis to select a portfolio. These investors define prospective economic scenarios, assign probabilities to them, translate the scenarios into expected asset class returns, and select the portfolio with the highest expected return or expected...
Persistent link: https://www.econbiz.de/10012245036
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Fixed Income Portfolio Management at PIMCO : Bill Gross, the Bond King
Namvar, Ethan - 2013
The purpose of this case is to provide an introduction to fixed income portfolio management. In addition, the case describes the story of Bill Gross and the founding of PIMCO.Bill Gross continues to work the same schedule since joining PIMCO in 1970; a rigorous and structured workday that begins at...
Persistent link: https://www.econbiz.de/10013089945
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On the Optimality of Non-Optimal Portfolios
Rutledge, John - 2009
Accepted wisdom, assuming capital market equilibrium and low cash returns, advises investors to hold optimal portfolios containing little cash. But credit crunches - periods of non-price credit rationing when effective cash yields are very high - happen in the real world. Because of this, it is...
Persistent link: https://www.econbiz.de/10013153212
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Expected Returns Independent Allocations
Susinno, Gabriele - 2015
Present market instabilities have prompted great interest on the characteristics of specific portfolios such as minimum variance and equally- weighted risk contribution portfolios as these portfolios do not rely on the estimate of expected returns. Indeed, in turmoil periods traditional market...
Persistent link: https://www.econbiz.de/10013018612
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Demystifying Rebalancing Premium : A Methodological Path to Risk Premia Engineering
Dubikovsky, Vladislav - 2015
Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio … framework that encompasses various investment styles and portfolio construction methodologies. Modern Portfolio Theory is a one … theory. We show that Markowitz portfolios and Warren Buffett's investment style are valid special cases of optimal growth …
Persistent link: https://www.econbiz.de/10013018815
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One-Factor Copula-Based Model for Credit Portfolio
Kolman, Marek - 2014
Aim of this research paper it to develop an alternative model for portfolio credit risk to those widely used - CreditRisk+ and CreditMetrics. The model aspires to patch the usual weak points of portfolio credit models and also is easy to implement. General engine relies on one-factor copula...
Persistent link: https://www.econbiz.de/10013065540
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Risk Valuation for Securities with Limited Liquidity
Sarkissian, Jack - 2016
Professional market participants have to deal with illiquid securities on a constant basis. For such securities traditional risk assessment techniques fail. This can lead to underestimated and distorted results for the entire investment portfolio, and ultimately to inadequate risk management. We...
Persistent link: https://www.econbiz.de/10012976857
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Quantitative Description of Financial Transactions and Risks
Olkhov, Victor - 2018
This paper presents a quantitative model of financial transactions between economic agents on economic space. Risk ratings of economic agents play role of their coordinates. Aggregate amounts of agent's financial variables at point x define macro financial variables as functions of time and...
Persistent link: https://www.econbiz.de/10012930589