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Regime-Based Tactical Allocation for Equity Factors and Balanced Portfolios

Flint, Emlyn James - 2017

It is now an accepted fact that the majority of financial markets worldwide are neither normal nor constant, and South Africa is no exception. One idea that can be used to understand such markets and has been gaining popularity recently is that of regimes and regime-switching models. In this...

Persistent link: https://www.econbiz.de/10012952837

Dynamic Portfolio Management Strategies : A Framework for Historical Analysis

Seymour, Anthony - 2018

The performance of dynamic trading and investment strategies can be difficult to predict. Although not without its problems, analysis of the historical performance of a strategy can provide valuable insight into its general risk and return properties. Furthermore, historical analysis allows one...

Persistent link: https://www.econbiz.de/10012914668

Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model

Nooshi, Nima - 2012

In this work, we propose an ARMA(1,1)-GARCH(1,1) model with standard classical tempered stable (CTS) innovations for historical daily returns of 29 selected stocks. The non-Gaussian nature of the innovations captures the fat-tail property observed in data. The dependency between different assets...

Persistent link: https://www.econbiz.de/10013109131

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model

Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options …. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We … derive the asymptotic hedging error for options under a generalised jump-diffusion model with kernel bias, which nests a …

Persistent link: https://www.econbiz.de/10012484861

Alternative Investments : Inflation Hedger or Mean-Variance Efficient?

Rubbaniy, Ghulame - 2014

. Furthermore, both asset classes are found possessing weak inflation hedging characteristics during inflationary periods …

Persistent link: https://www.econbiz.de/10013049092

Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity

Dubrana, Ludovic - 2011

Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...

Persistent link: https://www.econbiz.de/10013118101

Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management

Alexeev, Vitali - 2019

We evaluate the impact of extreme market shifts on equity portfolios and study the difference in negative and positive reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of the S&P500 index over the period 2 January 2003...

Persistent link: https://www.econbiz.de/10012865575

Shrinkage Estimation in Risk Parity Portfolios

Alkafri, Nabil; Frey, Christoph - 2022

We investigate the impact of shrinkage estimation techniques for the moments of asset returns on risk-parity portfolios. In contrast to mean-variance portfolios, the risk contributions of individual assets in risk-parity portfolios are fixed a priori. This additional restriction stabilizes...

Persistent link: https://www.econbiz.de/10013313921

Estimation methods for non-homogeneous regression models : minimum continuous ranked probability score vs. maximum likelihood

Gebetsberger, Manuel; Messner, Jakob W.; Mayr, Georg. J.; … - 2017

Non-homogeneous regression models are widely used to statistically post-process numerical ensemble weather prediction models. Such regression models are capable of forecasting full probability distributions and correct for ensemble errors in the mean and variance. To estimate the corresponding...

Persistent link: https://www.econbiz.de/10011762435