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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

Presentation Slides for American Finance Association 2020 Presidential Address : Social Transmission Bias in Economics and Finance

Hirshleifer, David A. - 2020

This document contains presentation slides for the American Finance Association's Presidential Address of January 4, 2020. The address is based on the paper "Social Transmission Bias in Economics and Finance."The paper: "https://ssrn.com/abstract=3550880" https://ssrn.com/abstract=3550880...

Persistent link: https://www.econbiz.de/10012844892

Presidential Address : Social Transmission Bias in Economics and Finance

Hirshleifer, David A. - 2020

I discuss a new intellectual paradigm, social economics and finance: the study of the social processes that shape economic thinking and behavior. This emerging field recognizes that people observe and talk to each other. A key, underexploited building block of social economics and finance is...

Persistent link: https://www.econbiz.de/10012839970

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

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

Efficient Frontier Insights & The Endowment Model

Karris, Michael - 2017

use comparable beta sources, we used Modern Portfolio Theory as an analytical framework to demonstrate some well …

Persistent link: https://www.econbiz.de/10012969762

Portfolio Capacity

Johansson, Kristoffer Kittilsen - 2013

We construct portfolios based on characteristic weights and develop a novel way to measure capacity of these portfolios to absorb capital. Our estimates suggest that portfolio capacity is the highest for fundamental-weights, whereas portfolios based on momentum, equal risk budget, and equal...

Persistent link: https://www.econbiz.de/10013088558

Equity Duration : Theoretical and Practical Analysis

Montagna, Dennis Marco; Bianchi, Luca - 2022

Duration is an important parameter used by investors to choose between different investment opportunities in financial economics. While the concept of duration is usually associated with fixed-income assets, its expansion to the equity assets is becoming more relevant in the recent period, due...

Persistent link: https://www.econbiz.de/10014239113

Modern Portfolio Theory and Risk Management : Assumptions and Unintended Consequences

Hawley, James P. - 2019

portfolio theory (MPT) in the context of the growth of large institutional investors. We examine the many so-called risk …

Persistent link: https://www.econbiz.de/10012905822

Growth-Trend Timing and 60-40 Variations : Lethargic Asset Allocation (LAA)

Keller, Wouter J. - 2020

Growth-Trend (GT) timing from Philosophical Economics is a brilliant timing strategy which only signals a bear market when both the trend in the unemployment (UE) rate and the SP500 index are bearish. As a result, it captures most market downturns while switching to cash in less than 15% of the...

Persistent link: https://www.econbiz.de/10012846395