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Investing with cryptocurrencies : a liquidity constrained investment approach
Trimborn, Simon; Li, Mingyang; Härdle, Wolfgang - 2017
Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have a low liquidity compared to traditional assets, one needs to take into account liquidity issues when one puts them into the same portfolio. We...
Persistent link: https://www.econbiz.de/10011672439
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Evaluation of Multi-Asset Investment Strategies with Digital Assets
Petukhina, Alla - 2020
-assets investment universe. Evaluated strategies include a range from classical Markowitz rule to the recently introduced LIBRO approach …
Persistent link: https://www.econbiz.de/10012826952
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Cryptocurrencies as an asset class in portfolio optimisation
Holovatiuk, Olha - In: Central European economic journal 7 (2020) 54, pp. 35-55
In this paper, cryptocurrencies are analysed as investment instruments. The study aims to verify whether they can be … properties. Portfolio optimisation with the Modern Portfolio Theory showed an increase in the Sharpe ratio of tangency portfolios … with the inclusion of CRIX. However, the Post-Modern Portfolio Theory identified significant deterioration of the downside …
Persistent link: https://www.econbiz.de/10012303649
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Asset Selection and Under-Diversification with Financial Constraints and Income : Implications for Household Portfolio Studies
Roche, Hervé - 2014
Empirical Studies of household portfolios have shown that young and relatively poor households hold under-diversified portfolios that are concentrated in a small number of assets, a fact often attributed to various behavioral biases. We present a model in which relatively poor investors, i.e.,...
Persistent link: https://www.econbiz.de/10013069115
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Owner-Occupied Housing : The Role of Collateral Constraints on the Household Portfolio
Flavin, Marjorie - 2011
The paper constructs a model of optimal portfolio allocation that focuses on the role of housing as collateral, allows for house price risk, and assumes that altering the quantity of housing incurs an adjustment cost. Because of the adjustment cost, the current house value becomes a state...
Persistent link: https://www.econbiz.de/10013133094
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Optimal Consumption and Investment under Time-Varying Liquidity Constraints
Ahn, Seryoong - 2017
We study the consumption and investment model under time-varying liquidity constraints (TVLC) that are widely used in …
Persistent link: https://www.econbiz.de/10012973620
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Optimal Portfolio Choice with Absorbing State Markov Chains
Ang, Andrew; Shen, Henry; Shen, Jeffrey YuQing; Zhao, Rui - 2023
consumption. With the framework, we compute certainty equivalents of foregoing investment in the potentially decoupling market and …
Persistent link: https://www.econbiz.de/10014349660
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The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
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Quantitative Investing and Market Instability
Beggs, William - 2019
The May 2010 Flash Crash and August 2007 Quant Meltdown raised concerns about the impact of quantitative investment … strategies on market stability. Theory is split on whether quantitative investing dampens or exacerbates market instability. To … test the theory we focus on mutual fund fire sales. We find that quantitative fund fire sales have a much larger impact on …
Persistent link: https://www.econbiz.de/10012897502
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The Characteristics of Factor Investing
Blitz, David - 2018
We dissect the realized performance of factor-based equity portfolios using a characteristics-based multi-factor return model. We show that generic single-factor portfolios, which invest in stocks with high scores on one particular factor, are sub-optimal because they ignore the possibility that...
Persistent link: https://www.econbiz.de/10012915593