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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
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Deep Learning for Global Tactical Asset Allocation
Chakravorty, Gaurav - 2019
We show how one can use deep neural networks with macro-economic data in conjunction with price-volume data in a walk-forward setting to do tactical asset allocation. Low cost publicly traded ETFs corresponding to major asset classes (equities, fixed income, real estate) and geographies (US,...
Persistent link: https://www.econbiz.de/10012898276
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Internationale Diversifikation in den Portfolios deutscher Kapitalanleger : Theorie und Empirie
Lapp, Susanne - 2001
Persistent link: https://www.econbiz.de/10001609952
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Global portfolio diversification : risk management, market microstructure, and implementation issues
Aggarwal, Raj (ed.); Schirm, David Craig (contributor) - 1995
Persistent link: https://www.econbiz.de/10000921137
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Quantifying the impact of leveraging and diversification on systemic risk
Tasca, Paolo; Mavrodiev, Pavlin; Schweitzer, Frank - In: Journal of financial stability 15 (2014), pp. 43-52
Persistent link: https://www.econbiz.de/10011306485
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Time-varying international diversification and the forward premium
Jonen, Benjamin; Scheuring, Simon - In: Journal of international money and finance 40 (2014), pp. 128-148
Persistent link: https://www.econbiz.de/10010239997
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Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach
Christoffersen, Peter - 2013
. We propose new measures of dynamic diversification benefits that take into account higher order moments and nonlinear … dependence. The benefits from international diversification have reduced over time, drastically so for DMs. EMs still offer … significant diversification benefits, especially during large market downturns …
Persistent link: https://www.econbiz.de/10013090940
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International Risk Sharing : Through Equity Diversification or Exchange Rate Hedging?
Engel, Charles M. - 2009
that the full risk sharing equilibrium may not require much diversification of equity portfolios when there is price …
Persistent link: https://www.econbiz.de/10013157765
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Global Diversification and Downside Risk Control Through Stock, Bond, and CDS Indices
Huseynov, Fariz - 2018
This paper analyzes the performance of index-based portfolios across developed, emerging, and frontier markets. Besides considering stocks and bonds for portfolio construction, we investigate how investment opportunity sets are enlarged when credit default swaps (CDSs) are added into portfolios...
Persistent link: https://www.econbiz.de/10012938372
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Volatility in the small and in the large : the lack of diversification in international trade
Kramarz, Francis; Martin, Julien; Méjean, Isabelle - In: Journal of international economics 122 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012588199