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Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators

Vigo Pereira, Caio - 2020

We evaluate the use of Generalized Empirical Likelihood (GEL) estimators in portfolio efficiency tests for asset pricing models in the presence of conditional information. Estimators from GEL family present some optimal statistical properties, such as robustness to misspecification and better...

Persistent link: https://www.econbiz.de/10012848570

Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...

Malhotra, Yogesh - 2022

GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...

Persistent link: https://www.econbiz.de/10013403261

Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes

Malhotra, Yogesh - 2022

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

Persistent link: https://www.econbiz.de/10013405318

Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy

Lundtofte, Frederik - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005

This paper analyzes the expected life-time utility and the hedging demands in a Lucas (1978) economy, in which the … equilibrium is derived, and his hedging demand is analyzed. The hedging demand consists of two components, which could work in … opposite directions so that a conservative investor may end up having a positive hedging demand. Interestingly, this differs …

Persistent link: https://www.econbiz.de/10005645232

Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy

Lundtofte, Frederik - 2003

This paper analyzes the expected life-time utility and the hedging demands in an exchange only, representative agent … analyze his hedging demands for intertemporal changes in the unobservable stochastic growth of the endowment process and the … changing quality of information regarding these changes. The hedging demands consist of two components, which could work in …

Persistent link: https://www.econbiz.de/10005222538

Airline Hedging Using Derivatives

Sebehela, Tumellano - 2019

In volatile economic environment, it is imperative for the airlines to implement appropriate derivative hedging … implementation of derivative hedging strategies within the non-dominant school of thought as it can be inferred from Carter et al … stage to the final stage with proper monitoring in between. While designing a derivative hedging strategy, the risk manager …

Persistent link: https://www.econbiz.de/10012905833

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Penaranda, Francisco - 2011

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...

Persistent link: https://www.econbiz.de/10013120500

Volatility, Correlation, and the Market Trend

Becker, Christoph - 2012

The influence of past stock price movements on volatilities and correlations is essential for understanding diversification and contagion in financial markets. We develop a model that makes the influence of past returns on volatilities and correlations explicit. Employing information about...

Persistent link: https://www.econbiz.de/10013101094

Extreme Downside Risk and Financial Crises

Harris, Richard D. F. - 2015

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and...

Persistent link: https://www.econbiz.de/10013015516

Expectation and Optimal f : Expected Growth with and without Reinvestment for Discretely-Distributed Outcomes of Finite Length

Vince, Ralph - 2019

Presented is the formulation for determining the exact, expected growth-optimal fraction of equity to risk for all conditions, rather than merely the asymptotic growth-optimal fraction. The formulation presented represents the surface in the leverage space manifold, wherein the loci at the peak...

Persistent link: https://www.econbiz.de/10012904410