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Fixed-income portfolio management in crisis period : Expected Tail Loss (ETL) approach
Mili, Mehdi; M'Hamdi, Yosro; Khalfallah, Moez; Teulon, … - In: Revue Gestion 2000 : management & prospective 31 (2014) 1/2, pp. 223-240
Persistent link: https://www.econbiz.de/10010474405
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Crisis-Robust Bond Portfolios
Briere, Marie - 2011
a crisis-robust portfolio is especially pertinent when applied to the bond market, which offers a flight …
Persistent link: https://www.econbiz.de/10013128621
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Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets
Ardliansyah, Rifqi - 2014
The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...
Persistent link: https://www.econbiz.de/10013065264
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Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...
Persistent link: https://www.econbiz.de/10011543960
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Asset management in volatile markets
Haiss, Peter R.; Sammer, Bernhard; Gartner, Martin; … - New Trends in Asset Management: Exploring the … - 2010
The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...
Persistent link: https://www.econbiz.de/10011705329
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Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
Mili, Mehdi - 2012
The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...
Persistent link: https://www.econbiz.de/10010309427
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Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
Mili, Mehdi - Institut für Weltwirtschaft (IfW) - 2012
The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...
Persistent link: https://www.econbiz.de/10010956076
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Crisis-Robust Bond Portfolios
Szafarz, Ariane; Briere, Marie - Centre Emile Bernheim, Solvay Brussels School of … - 2007
a crisis-robust portfolio is especially pertinent when applied to the bond market, which offers a flight …
Persistent link: https://www.econbiz.de/10005738695
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A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios Before and After the Global Financial Crisis
Silvapulle, Param - 2012
This paper investigates a stock-bond portfolio s tail risks such as value-at-risk (VaR) and expected shortfall (ES) and … (GFC). The semiparametric method is used to estimate bivariate copulas for modelling stock-bond returns' joint … the adequacy of semi-parametric t copula models for stock-bond joint distributions. The central focus of both the …
Persistent link: https://www.econbiz.de/10013115773
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FX Strategies in Periods of Distress
Gyntelberg, Jacob - 2013
This article presents an overview of widely practiced short-term multi-currency investment strategies such as carry trade, momentum and term spread strategies. We provide evidence on their downside risk properties and illustrate their performance over historical episodes of financial market...
Persistent link: https://www.econbiz.de/10013092015