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We study the impact of parameter uncertainty on the expected utility of a multiperiod investor subject to quadratic transaction costs. We characterize the utility loss associated with ignoring parameter uncertainty, and show that it is equal to the product between the single-period utility loss...
Persistent link: https://www.econbiz.de/10013063484
Portfolio optimisation for a Fund of Hedge Funds (“FoHF”) has to address the asymmetric, non-Gaussian nature of the underlying returns distributions. Furthermore, the objective functions and constraints are not necessarily convex or even smooth. Therefore traditional portfolio optimisation...
Persistent link: https://www.econbiz.de/10013156987
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
This paper investigates tactical investment strategies for investors to survive financial crises. Compared with the buy-and-hold strategy, the buy-and-sell strategy is much more effective in mitigating downside risk before, during, and after a crisis by restricting the left-tail volatility of...
Persistent link: https://www.econbiz.de/10012923331
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
This paper examines the patterns of intraday cojumps between international equity markets as well as their impact on international asset holdings and portfolio diversification benefits. Using intraday index-based data for exchange-traded funds as proxies for international equity markets, we...
Persistent link: https://www.econbiz.de/10012907781
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Die vorliegende Arbeit hat zwei wesentliche Ziele. Auf der einen Seite soll sie existierende Konzepte zum systematischen Faktorinvestieren erweitern, mögliche Problemstellungen aufdecken und Verbesserungen vorschlagen. Zweitens, untersucht diese Arbeit eine neue Form von FinTech Innovationen:...
Persistent link: https://www.econbiz.de/10011775041
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