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Allocation to Private Assets in Open-Ended Funds : Capturing the Illiquidity Premium and Managing Liquidity Constraints

Carvalho, Raul Leote de; Xiao, Lu; Heckel, Thomas; … - 2023

Investment portfolios that include private assets can gain a number of potential advantages, including diversification …, enhanced returns and less risk. Moreover, there is evidence of a growing number of private asset investment opportunities that … years thus need to be well managed. A further challenge is the minimum investment size often being too large for most …

Persistent link: https://www.econbiz.de/10014256735

Portfolio Management with Cryptocurrencies : The Role of Estimation Risk

Platanakis, Emmanouil - 2019

This paper contributes to the literature on cryptocurrencies, portfolio management and estimation risk by comparing the performance of naïve diversification, Markowitz diversification and the advanced Black-Litterman model with VBCs that controls for estimation errors in a portfolio of...

Persistent link: https://www.econbiz.de/10012897358

Dynamic risk-based optimization on cryptocurrencies

Nugroho, Bayu Adi - In: Journal of capital markets studies 5 (2021) 1, pp. 28-48

Purpose - It is crucial to find a better portfolio optimization strategy, considering the cryptocurrencies' asymmetric volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC) and most diversified portfolio (MDP)....

Persistent link: https://www.econbiz.de/10012624870

Optimal Allocation to Cryptocurrencies in Diversified Portfolios

Sepp, Artur - 2022

We apply four quantitative methods for optimal allocation to Bitcoin cryptocurrency within alternative and balanced portfolios based on metrics of portfolio diversification, expected risk-returns, and skewness of returns distribution. Using roll-forward historical simulations, we show that all...

Persistent link: https://www.econbiz.de/10014236886

Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets

Lv, Wujun; Pang, Tao; Xia, Xiaobao; Yan, Jingzhou - In: Financial innovation : FIN 9 (2023) 1, pp. 1-28

In response to the unprecedented uncertain rare events of the last decade, we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ambiguity occurring in the traditional stock market and the...

Persistent link: https://www.econbiz.de/10014289085

On the (Almost) Stochastic Dominance of Cryptocurrency Factor Portfolios & Implications for Cryptocurrency Asset Pricing

Han, Weihao; Newton, David; Platanakis, Emmanouil; … - 2022

Cryptocurrency returns are highly non-normal, casting doubt on the standard performance metrics. We apply almost stochastic dominance (ASD), which does not require any assumption about the return distribution or degree of risk aversion. From 29 long-short cryptocurrency factor portfolios, we...

Persistent link: https://www.econbiz.de/10014088443

Exploring entropy-based portfolio strategies : empirical analysis and cryptocurrency impact

Giunta, Nicolò; Orlando, Giuseppe; Carleo, Alessandra; … - In: Risks : open access journal 12 (2024) 5, pp. 1-26

This study addresses market concentration among major corporations, highlighting the utility of relative entropy for understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper bound to the conditional value at risk (CVaR),...

Persistent link: https://www.econbiz.de/10014636599

Investment literacy, overconfidence and cryptocurrency investment

Kim, Kyoungtae; Hanna, Sherman; Lee, Sunwoo T. - In: Financial services review : the journal of individual … 31 (2023) 2/3, pp. 121-132

Persistent link: https://www.econbiz.de/10014502189

Tail event driven ASset allocation : evidence from equity and mutual funds’ markets

Härdle, Wolfgang; Lee, David Kuo Chuen; Nasekin, Sergey; … - 2015

Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...

Persistent link: https://www.econbiz.de/10011349525

Sectorial Asset Allocation 2006-2012

Chamizo, Alvaro - 2016

We provide a methodology for credit risk analysis that can be embedded into a risk appetite framework. We start by estimating a global risk factor using CDS data, and we analyze the information content in a wide set of financial indicators on the global risk factor as well as on credit risk at...

Persistent link: https://www.econbiz.de/10013002497