Similar Search Results

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

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

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

Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio

White, James - 2020

There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...

Persistent link: https://www.econbiz.de/10012838940

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

There’s No Place Like Home : The Case For and Against Extreme Home Bias in Equity Investing

White, James - 2019

For US investors, international equity exposure has never been so readily available at such a low cost. Nonetheless, surveys indicate US investors typically allocate 80–85% of their equity holdings to US equities, much higher than their proportion of global market value. In this note we...

Persistent link: https://www.econbiz.de/10012860180