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Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

Forecast accuracy and economic gains from Bayesian model averaging using time varying weights

Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco - 2009

Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....

Persistent link: https://www.econbiz.de/10011378346

Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data

Avdulaj, Krenar; Barunik, Jozef - 2015

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...

Persistent link: https://www.econbiz.de/10010499593

Predicting the global minimum variance portfolio

Reh, Laura; Krüger, Fabian; Liesenfeld, Roman - 2020

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...

Persistent link: https://www.econbiz.de/10012243462

Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...

Persistent link: https://www.econbiz.de/10010407672

Uncertainty in the Black-Litterman model : a practical note

Fuhrer, Adrian; Hock, Thorsten - 2019 - Version: July 15, 2019

allerdings nur mit Unsicherheit geschätzt werden können, dann tendiert die Mean-Varianz-Optimierung zu einer Maximierung der … Vermögensallokation weit verbreitet. Es erlaubt die Integration von Rendite-Prognosen und deren Unsicherheit. Beide Größen können mit den …-Optimierung. Im Black-Litterman-Modell wird die Unsicherheit bezüglich der leichgewichtsrenditen ausschließlich mit dem Parameter …

Persistent link: https://www.econbiz.de/10012042184

Large-scale portfolio allocation under transaction costs and model uncertainty

Hautsch, Nikolaus; Voigt, Stefan - 2017

We theoretically and empirically study large-scale portfolio allocation problems when transaction costs are taken into account in the optimization problem. We show that transaction costs act on the one hand as a turnover penalization and on the other hand as a regularization, which shrinks the...

Persistent link: https://www.econbiz.de/10011755791

Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - First version: March 6, 2014; this version: June 1, 2014

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...

Persistent link: https://www.econbiz.de/10010359861

Intergenerational sharing of unhedgeable inflation risk

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2022 - This version: November 16, 2022

We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various participants of a collective pension scheme than would be...

Persistent link: https://www.econbiz.de/10013460026

On the inflation risks embedded in sovereign bond yields

Camba-Méndez, Gonzalo - 2020

The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation risks from the perspective of a well diversified...

Persistent link: https://www.econbiz.de/10012241109

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