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How Efficient Use of Information Changes Portfolio Allocations

Kemkhadze, Nato - 2013

Unknown model parameters, like expected returns, cannot be accurately estimated from short samples. Respective estimation error most likely leads to the portfolio, inconsistent with its target risk/return profile. We investigate the ways of reducing the impact of estimation error on portfolio...

Persistent link: https://www.econbiz.de/10013071700

Elliptical Black-Litterman Portfolio Optimization

Palczewski, Andrzej - 2017

We extend the Black-Litterman framework beyond normality to general elliptical distributions of investor's views and asset returns and portfolio risk measured by CVaR. Unlike existing solutions, cf. Xiao and Valdez [Quant. Finan. 2015, 15:3, 509-519], the choice of distributions, with the first...

Persistent link: https://www.econbiz.de/10012960088

Credit Portfolio Selection with Decaying Contagion Intensities

Bo, Lijun - 2017

We develop a fixed income portfolio framework capturing the exponential decay of contagious intensities between successive default events. We show that the value function of the control problem is the classical solution to a recursive system of second-order uniformly parabolic...

Persistent link: https://www.econbiz.de/10012970968

Multiperiod Portfolio Selection and Bayesian Dynamic Models

Kolm, Petter N. - 2017

Persistent link: https://www.econbiz.de/10012972955

Dynamic Credit Investment in Partially Observed Markets

Capponi, Agostino - 2014

We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian motions modulated by a hidden continuous time finite...

Persistent link: https://www.econbiz.de/10013053170

Expected Returns Independent Allocations

Susinno, Gabriele - 2015

Present market instabilities have prompted great interest on the characteristics of specific portfolios such as minimum variance and equally- weighted risk contribution portfolios as these portfolios do not rely on the estimate of expected returns. Indeed, in turmoil periods traditional market...

Persistent link: https://www.econbiz.de/10013018612

Demystifying Rebalancing Premium : A Methodological Path to Risk Premia Engineering

Dubikovsky, Vladislav - 2015

Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio … framework that encompasses various investment styles and portfolio construction methodologies. Modern Portfolio Theory is a one … theory. We show that Markowitz portfolios and Warren Buffett's investment style are valid special cases of optimal growth …

Persistent link: https://www.econbiz.de/10013018815

A Simple Procedure for Merging Expert Opinions to Achieve Superior Portfolio Performance

Davis, Mark - 2015

In this paper, the authors describe a simple procedure for blending statistical estimates with expert opinions to produce a forward-looking view of the performance of assets. They discuss the impact of behavioural biases on the views and propose general modelling principles to biases. Standard...

Persistent link: https://www.econbiz.de/10013019312

Optimal Asset Allocation Strategies

Stefanescu, Razvan - 2016

techniques from Modern Portfolio Theory and focus on the central role of the mean-variance optimization problem. The formalism of …

Persistent link: https://www.econbiz.de/10012988090

Black-Litterman and Beyond : The Bayesian Paradigm in Investment Management

Kolm, Petter N.; Ritter, Gordon; Simonian, Joseph - 2021

practical achievements. From the standpoint of investment theory, the Black-Litterman model allows a seamless incorporation of …

Persistent link: https://www.econbiz.de/10013246950