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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012
In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...
Persistent link: https://www.econbiz.de/10009576319
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Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries
Al-Hajieh, Heitham - In: Cogent economics & finance 11 (2023) 1, pp. 1-38
Since portfolio management relies on the association of portfolio diversification, analyzing the spillover between the … correlations with each other and/or the US market, global investors may benefit from diversification. This study examines the … diversification and risk management. The study calculates the effectiveness of hedging equities portfolios between markets, using the …
Persistent link: https://www.econbiz.de/10014500629
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Long-horizon asset and portfolio returns revisited : evidence from US markets
Tri Hoang - In: Cogent business & management 10 (2023) 2, pp. 1-16
This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...
Persistent link: https://www.econbiz.de/10014503297
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Conditional Portfolio Choice in the U.S. Bond Market : The Role of Liquidity
Gomez, Karoll - 2014
In this paper, I estimate the non-parametric optimal bond portfolio choice of a representative agent that acts optimally with respect to his/her expected utility one period forward, provided that he/she observes the ex ante liquidity signal. Using daily observations of zero-coupon Treasury and...
Persistent link: https://www.econbiz.de/10013056037
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An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment
Leung, Pui-lam - 2016
Using the Markowitz mean-variance portfolio optimization theory, researchers have shown that the traditional estimated return greatly overestimates the theoretical optimal return, especially when the dimension to sample size ratio p/n is large. Bai, Liu, and Wong (2009) propose a...
Persistent link: https://www.econbiz.de/10013008389
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Risk Taking, Diversification, and U.S. Bank Size Anomalies
Clark, Brian J. - 2020
diversification index to account for complexity, we find robust evidence consistent with mispricing among the most diversified large …
Persistent link: https://www.econbiz.de/10012839022
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Portfolio diversification across U.S. gateway and non-gateway real estate markets
Hoesli, Martin; Johner, Louis - 2021
is useful for mixed-asset diversification purposes, with the former type of markets appearing in risky portfolios and the …
Persistent link: https://www.econbiz.de/10012800449
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Tail behavior of the Central European Stock markets during the financial crisis
Baruník, Jozef; Vácha, Lukáš; Vošvrda, Miloslav - 2010
In the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian stock markets and compare them to the benchmark U.S. and German stock markets. We fit the data of the 4-year period from March 2005 to...
Persistent link: https://www.econbiz.de/10010322236
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A new framework for US city size distribution : empirical evidence and theory
Ramos, Arturo; Sanz, Fernando; González-Val, Rafael - 2014
We study US city size distribution using places data from the Census, without size restrictions, for the period 1900-2010, and the recently constructed US City Clustering Algorithm (CCA) data for 1991 and 2000. We compare the lognormal, two distributions named after Ioannides and Skouras (2013)...
Persistent link: https://www.econbiz.de/10011494455
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Tail behavior of the Central European Stock markets during the financial crisis
Barunik, Jozef; Vacha, Lukas; Vošvrda, Miloslav S. - 2010
In the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian stock markets and compare them to the benchmark U.S. and German stock markets. We fit the data of the 4-year period from March 2005 to...
Persistent link: https://www.econbiz.de/10003958706