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Portfolio Optimization : A Combined Regime-Switching and Black–Litterman Model

Fischer, Edwin O. - 2013

Traditionally portfolios are optimized with the single-regime Markowitz model using the volatility as the risk measure and the historical return as the expected return. This study shows the effects that a regime-switching framework and alternative risk measures (modified value at risk and...

Persistent link: https://www.econbiz.de/10013088189

An Evaluation of Conditional Multi-Factor Models in Active Asset Allocation Strategies : An Empirical Study for the German Stock Market

Deetz, Marcus - 2009

This paper examines the out-of-sample performance of asset allocation strategies that use conditional multi-factor models to forecast expected returns and estimate the future variance and covariance. We find that strategies based on conditional multi-factor models outperform strategies based on...

Persistent link: https://www.econbiz.de/10013156665

Assessing the Risk-Return Trade-Off in Loans Portfolios

Mencia, Javier - 2009

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...

Persistent link: https://www.econbiz.de/10013158964

An Evaluation of Conditional Multi-Factor Models in Active Asset Allocation Strategies : An Empirical Study for the German Stock Market

Deetz, Marcus - 2010

Persistent link: https://www.econbiz.de/10013142108

The risk of falling short : Implementation Shortfall variance in portfolio construction

Basic, Filip; Martin-Utrera, Alberto; Nolte, Ingmar; … - 2022

Transaction cost variance introduces a risk often neglected in portfolio optimization. We define a mean-variance portfolio optimization problem and show that including a transaction cost variance term significantly impacts the performance of these portfolios. Transaction cost variance is...

Persistent link: https://www.econbiz.de/10013307357

Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models

Nguyen, Hoang; Virbickaite, Audrone - 2022

Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...

Persistent link: https://www.econbiz.de/10013258038

Managing International Portfolios With Small Capitalization Stocks

Guidolin, Massimo; Nicodano, Giovanna - 2008

In the context of an international portfolio diversification problem, we find that small capitalization equity portfolios become riskier in bear markets, i.e. display negative co-skewness with other stock indices and high co-kurtosis. Because of this feature, a power utility investor ought to...

Persistent link: https://www.econbiz.de/10014224782

Stock profiling using time-frequency-varying systematic risk measure

Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29

This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...

Persistent link: https://www.econbiz.de/10014289044

Regime Shifts in Mean-Variance Efficient Frontiers : Some International Evidence

Guidolin, Massimo - 2010

Regime switching models have been assuming a central role in financial applications because of their well-known ability to capture the presence of rich non-linear patterns in the joint distribution of asset returns. This paper examines how the presence of regimes in means, variances, and...

Persistent link: https://www.econbiz.de/10013136630

The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity

Kurz-Kim, Jeong-Ryeol - 2003

Korrelation zwischen Aktienrenditen und Inflationsrate zu untersuchen, das in der Literatur als Rätsel der Aktienrendite …-Inflation- Relation (bzw. Proxy-Hypothese) bekannt ist. Es zeigt sich auf der Grundlage deutscher Quartalsdaten für Aktienrendite … asymmetrische Beziehung anzusehen ist. Darüber hinaus ist die führende Rolle der Aktienrendite für die Wachstumsrate der …

Persistent link: https://www.econbiz.de/10011431989