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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

Investing in a Multi-Asset Multi-Factor World

Cherkezov, Alexandar - 2017

In this article, we advance the use of factor investing across multiple asset classes. It turns out that style factors well established in the equity domain – such as value, momentum or quality – do extend to other asset classes as well. Even more so, multi-asset multi-factors significantly...

Persistent link: https://www.econbiz.de/10012946133

Portfolio Selection in a Two-Regime World

Levy, Moshe - 2016

Standard mean-variance analysis is based on the assumption of normal return distributions. However, a growing body of literature suggests that the market oscillates between two different regimes – one with low volatility and the other with high volatility. In such a case, even if the return...

Persistent link: https://www.econbiz.de/10012992880

Factor Investing in Paris : Managing Climate Change Risk in Portfolio Construction

Kolle, Janina; Lohre, Harald; Radatz, Erhard; Rother, … - 2022

The 2015 Paris Agreement is a landmark in limiting emissions and targeting global warming well below 2, preferably 1.5, degrees Celsius compared to pre-industrial levels. In this light, we investigate how to efficiently construct equity portfolios that help mitigating climate change risk but at...

Persistent link: https://www.econbiz.de/10013291123

Prominent numbers, indices and ratios in exchange rate determination and financial crashes : in Economists' models, in the field and in the laboratory

Pope, Robin; Selten, Reinhard; Kube, Sebastian; Hagen, … - 2009

laboratory. Third, nominalist heuristics are incompatible with expected utility theory which excludes the evaluation stage, and … are also incompatible with prospect theory which assumes that, while the evaluation stage can involve systematic mistakes … model and identify what is a mistake, and b) decision makers can maximise. However, contrary to prospect theory, in the …

Persistent link: https://www.econbiz.de/10003867227

Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments

Berényi, Zsolt Endre - 2003

Persistent link: https://www.econbiz.de/10001754325

Bank Capital Regulation of Trading Portfolios : An Assessment of the Basel Framework

Alexander, Gordon J. - 2017

In setting minimum capital requirements for trading portfolios, the Basel Committee on Banking Supervision (1996, 2011a, 2013) initially used Value-at-Risk (VaR), then both VaR and stressed VaR (SVaR), and most recently, stressed Conditional VaR (SCVaR). Accordingly, we examine the use of SCVaR...

Persistent link: https://www.econbiz.de/10012952232

Central Bank Governance and Reserve Portfolios Investment Policies : An Empirical Analysis

Klingebiel, Daniela; Herrero Montes, Carmen M.; Ruiz, Marco - 2021

This paper uses a unique survey data set of 105 central banks to investigate whether investment policies for central bank foreign reserve portfolios are linked to the governance arrangements for reserve management. The paper evaluates whether a central bank's investment decision-making structure...

Persistent link: https://www.econbiz.de/10013213969

On the economic determinants of optimal stock-bond portfolios : international evidence

Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...

Persistent link: https://www.econbiz.de/10011745369

Factor mimicking portfolios for climate risk

De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 2023 - This version: March 2023

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor mimicking portfolios to build climate risk hedge portfolios. The new mimicking...

Persistent link: https://www.econbiz.de/10014232089

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