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Safety-first portfolio optimization : fixed versus random target
Singer, Nico - 2010 - This version: August 4, 2010
This paper analyzes the safety-first portfolio model under two different target assumptions, the fixed target, which is commonly assumed in the literature, and the random target, which has played only a minor role so far. As both targets can be easily motivated, the open question is, which...
Persistent link: https://www.econbiz.de/10009748960
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Sample Selection Bias, Return Moments, and the Performance of Optimal versus Naive Diversification
Li, Bowei - 2016
I examine the sample selection bias in portfolio horse race. Numerous studies propose mean-variance portfolio rules to outperform the naive 1/N portfolio rule. However, the outperformance is often justified by a small number of pre-selected datasets. Using a new performance test based on a large...
Persistent link: https://www.econbiz.de/10012984969
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Predicting the daily covariance matrix for S&P 100 stocks using intraday data : but which frequency to use?
Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2006
of determining the optimal sampling frequency, which strikes a balance between variance and bias in covariance matrix … estimates due to market microstructure effects such as non-synchronous trading and bid-ask bounce. The optimal sampling …
Persistent link: https://www.econbiz.de/10011346450
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Does it pay to invest in art? : a selection-corrected returns perspective
Korteweg, Arthur; Kräussl, Roman; Verwijmeren, Patrick - 2013
This paper shows the importance of correcting for sample selection when investing in illiquid assets with endogenous trading. Using a large sample of 20,538 paintings that were sold repeatedly at auction between 1972 and 2010, we find that paintings with higher price appreciation are more likely...
Persistent link: https://www.econbiz.de/10010201316
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A Comparison of the Efficacy of Liquidity, Momentum, Size and Book-to-Market Value Factors in Equity Pricing on a Heterogeneous Sample : Evidence from Asia
Hearn, Bruce Allen - 2016
This paper compares the size and book-to-market value factors of Fama and French (1993) alongside Momentum of Jagadeesh and Titman (1993) with two Liu (2006) liquidity factors formed from 1 year rebalancing and 1 month rebalancing respectively. A heterogeneous and comprehensive sample of the top...
Persistent link: https://www.econbiz.de/10013000951
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Does It Pay to Invest in Art? A Selection-Corrected Returns Perspective
Korteweg, Arthur G. - 2017
This paper shows the importance of correcting for sample selection when investing in illiquid assets that trade endogenously. Using a sample of 32,928 paintings that sold repeatedly between 1960 and 2013, we find an asymmetric V-shaped relation between sale probabilities and returns. Adjusting...
Persistent link: https://www.econbiz.de/10012974260
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Returns Based Style Groups and Benchmarking
Mason, Andrew - 2011
classification which explicitly acknowledges the existence of market segmentation and practitioner benchmarking. Both methodologies …
Persistent link: https://www.econbiz.de/10013132233
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Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices
Buffa, Andrea M - 2018
benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …
Persistent link: https://www.econbiz.de/10012910534
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Sampling methods for investment portfolio formulation procedure at increased market volatility
Dzicher, Mateusz - In: Journal of economics & management 43 (2021) 1, pp. 70-89
’s approach with the use of sampling methods is developed in order to improve the allocation efficiency for a portfolio of … theory. Research implications/limitations - The research emphasized that in order to get a more diversified investment … occasions be statistically biased. Thus it was proved that sampling methods allow to obtain a less concentrated and volatile …
Persistent link: https://www.econbiz.de/10013166371
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Generalized Performance Measures : Optimal Overweighing of Fees Relative to Sample Returns
Levy, Moshe - 2017
Performance measures such as alpha and the Sharpe ratio are typically based on sample returns net of fees. This implies the same weighing to sample returns and to fees. However, sample return parameters are noisy estimates of true parameters, while fees are known with certainty. Thus, intuition...
Persistent link: https://www.econbiz.de/10012950555