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On the diversification of portfolios of risky assets
Frahm, Gabriel; Wiechers, Christof - Seminar für Wirtschafts- und Sozialstatistik, … - 2011
We introduce a measure of diversification for portfolios comprising d risky assets. This measure relates the smallest … of diversification is provided, and the shortcomings of some of these approaches are illustrated. A categorization of … history spanning the last five decades. When measuring the diversification of naively allocated 40-asset portfolios, the …
Persistent link: https://www.econbiz.de/10009019642
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On the diversification of portfolios of risky assets
Frahm, Gabriel; Wiechers, Christof - 2011
We introduce a measure of diversification for portfolios comprising d risky assets. This measure relates the smallest … of diversification is provided, and the shortcomings of some of these approaches are illustrated. A categorization of … history spanning the last five decades. When measuring the diversification of naively allocated 40-asset portfolios, the …
Persistent link: https://www.econbiz.de/10008939082
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CHICAGO: a fast and accurate method for portfolio risk calculation
Broda, Simon A.; Paolella, Marc S. - 2008
The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysis can be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...
Persistent link: https://www.econbiz.de/10003961455
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A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
Pun, Chi Seng - 2019
This paper proposes a self-calibrated sparse learning approach for estimating a sparse target vector, which is a product of a precision matrix and a vector, and investigates its application to finance to provide an innovative construction of relative-volatility-managed portfolio (RVMP). The...
Persistent link: https://www.econbiz.de/10012899292
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A Linear Programming Model for Selecting Sparse High-Dimensional Multi-period Portfolios
Pun, Chi Seng - 2018
This paper studies the mean-variance (MV) portfolio problems under static and dynamic settings, particularly for the case that the number of assets ($p$) is larger than the number of observations ($n$). We prove that the classical plug-in estimation seriously distorts the optimal MV portfolio in...
Persistent link: https://www.econbiz.de/10012937267
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Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios
Marisu, Godeliva Petrina; Pun, Chi Seng - 2021
This paper incorporates Bayesian estimation and optimization into portfolio selection framework, particularly for high-dimensional portfolio in which the number of assets is larger than the number of observations. We leverage a constrained 𝓁1 minimization approach, called linear programming...
Persistent link: https://www.econbiz.de/10013222153
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The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
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How past market movements affect correlation and volatility
Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of International Money and Finance 50 (2015) C, pp. 78-107
diversification and contagion in financial markets. We develop a model that makes the influence of past returns, aggregated into … investor we find that international diversification in China or the UK remains beneficial in a crisis. …
Persistent link: https://www.econbiz.de/10011116929
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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2016
Second moments of asset returns are important for risk management and portfolio selection. The problem of estimating second moments can be approached from two angles: time series and the cross-section. In time series, the key is to account for conditional heteroskedasticity; a favored model is...
Persistent link: https://www.econbiz.de/10011518597
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Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios : a nonlinear VAR approach
Racicot, François-Éric; Théoret, Raymond - In: Financial innovation : FIN 8 (2022), pp. 1-56
The subprime crisis was quite damaging for hedge funds. Using the local projection method (Jordà 2004, 2005, 2009), we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks-especially volatility and illiquidity shocks-over the subprime crisis...
Persistent link: https://www.econbiz.de/10013169857