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Investing with cryptocurrencies : a liquidity constrained investment approach
Trimborn, Simon; Li, Mingyang; Härdle, Wolfgang - 2017
Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have a low liquidity compared to traditional assets, one needs to take into account liquidity issues when one puts them into the same portfolio. We...
Persistent link: https://www.econbiz.de/10011672439
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The role of financial conditions in portfolio choices : the case of insurers
Ge, Shan; Weisbach, Michael S. - 2019
Many institutional investors depend on the returns they generate to fund their operations and liabilities. How do these investors' financial conditions affect the management of their portfolios? We address this issue using the insurance industry because insurers are large investors for which...
Persistent link: https://www.econbiz.de/10012104637
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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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Environmental-Social-Governance preferences and Investments in crypto-assets
Ciaian, Pavel; Cupák, Andrej; Fessler, Pirmin; Kancs, … - 2022
association between investors' ESG preferences and the crypto-investment exposure but no significant relationship for the …
Persistent link: https://www.econbiz.de/10013332418
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Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance
Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018
Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold …
Persistent link: https://www.econbiz.de/10011906446
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Portfolio valuation under liquidity constraints with permanent price impact
Csóka, Péter; Hevér, Judit - 2017
When institutional investors rearrange their portfolios, they should consider both the temporary and the permanent price impacts. After a temporary price impact the order book fully recovers, whereas a permanent price impact changes the equilibrium price, having effects on the resulting...
Persistent link: https://www.econbiz.de/10012010999
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Neural networks and value at risk
Arimond, Alexander; Borth, Damian S.; Hoepner, Andreas G. F. - 2020
Persistent link: https://www.econbiz.de/10012418364
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Tail event driven ASset allocation : evidence from equity and mutual funds’ markets
Härdle, Wolfgang; Lee, David Kuo Chuen; Nasekin, Sergey; … - 2015
Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...
Persistent link: https://www.econbiz.de/10011349525
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Portfolio selection with exploration of new investment opportunities
Sornette, Didier; Strub, Moris Simon - 2020
We introduce a model for portfolio selection with an extendable investment universe where the agent faces a trade …-off between exploiting existing and exploring for new investment opportunities. An agent with mean-variance preferences starts … with an existing investment universe consisting of a risk-free and a number of risky assets. However, rather than being …
Persistent link: https://www.econbiz.de/10012271124
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Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis
Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - 2022
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...
Persistent link: https://www.econbiz.de/10013368898