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Role of FIIs in Indian Capital Market
Mishra, P. K. - 2009
Until the 1980s, there was a general disinclination towards foreign investment or private commercial flows as India's development strategy was focused on self-reliance and import substitution and current account deficits were financed largely through debt flows and official development...
Persistent link: https://www.econbiz.de/10013159171
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On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness
Diebold, Francis X.; Yılmaz, Kamil - 2022
We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.
Persistent link: https://www.econbiz.de/10013463897
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Portfolio Construction When Regimes are Ambiguous
Kritzman, Mark; Kulasekaran, Cel; Turkington, David - 2023
Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...
Persistent link: https://www.econbiz.de/10014348956
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On Optimising Risk Exposures with Trend-Following Strategies in Currency Overlay Portfolios
Tee, Kai-Hong - 2016
best risk-adjusted portfolio returns. There are some evidences on the significant differences of the portfolios' returns of …
Persistent link: https://www.econbiz.de/10012978359
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Collateral Optimization : Liquidity & Funding Value Adjustments, Best Practices
Genest, Benoit - 2015
. Collateral as a refinancing instrument. Collateral is shifting from a mere hedging instrument for counterparty risk to a …
Persistent link: https://www.econbiz.de/10013026282
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The Beta Heuristic from a Time/Frequency Perspective : A Wavelet Analysis of the Market Risk of the 10 S&P Sectors
Mcnevin, Bruce - 2016
draw implications for investors regarding the market risk of investing in specific sectors …
Persistent link: https://www.econbiz.de/10012985074
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Performance Analysis of Log-Optimal Portfolio Strategies with Transaction Costs
Ormos, Mihály - 2011
In the paper we introduce an empirical approximation of the log-optimal investment strategy that guarantees an almost optimal growth rate of investments. The proposed strategy also considers the effects of portfolio rearrangement costs on growth optimality and advises a suboptimal portfolio for...
Persistent link: https://www.econbiz.de/10013121522
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Modern Pension Fund Diversification
Anderson, Marty - 2014
The risk and return characteristics of a highly diversified investment portfolio are examined in an effort to best … assess its potential by means that incorporate both conventional risk estimation and performance evaluation. Estimation of … performance variability and downside risk often assumes a constant, stable, average covariance matrix of asset returns and only …
Persistent link: https://www.econbiz.de/10013055253
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Dramatically Improved Portfolio Optimization Results with Noise-Filtered Covariance
Izmailov, Alexander - 2014
Demonstration that in-sample Markowitz type mean-variance optimization, carried out with noise filtered covariance matrices, results in asset allocation that leads to 2-3 times increase of the Sharpe ratio compared to the same optimization carried out without noise filtering.Demonstration of 2-3...
Persistent link: https://www.econbiz.de/10013060871