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Overconfidence, Under-Reaction, and Warren Buffett’s Investments
Hughes, John S. - 2010
seems to under-react to the revelation of his trades. From 1980 to 2006, it has been possible to achieve investment results …
Persistent link: https://www.econbiz.de/10013141408
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Bitcoin and portfolio diversification : a portfolio optimization approach
Bakry, Walid; Rashid, Audil; Al-Mohamad, Somar; Elkanj, … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-24
This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe ratio) of the portfolio by optimizing...
Persistent link: https://www.econbiz.de/10012622395
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Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance
Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018
Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold …
Persistent link: https://www.econbiz.de/10011906446
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Re-Evaluating Portfolio Diversification and Design Using Cryptocurrencies : Are Decentralized Cyptocurrencies Enough?
Khaki, Audil; Prasad, Mason; Al-Mohamad, Somar; Bakry, Walid - 2023
This paper investigates the portfolio diversification potential of a pool of cryptocurrencies classified based on their degree of leadership. We employ the mean-variance and the higher-order moments optimization approaches to evaluate the diversification potential of centralized and...
Persistent link: https://www.econbiz.de/10014351037
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Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
, equities, commodities, fixed income, bonds, currencies.Analyzed market risk, credit risk, ALM risk, portfolio risk, investment …
Persistent link: https://www.econbiz.de/10013405318
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On the factors of Bitcoin's value at risk
Kwon, Ji Ho - In: Financial innovation : FIN 7 (2021), pp. 1-31
This study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin's 5% and 1% VaR. For the 5% VaR, quantity variables, such as...
Persistent link: https://www.econbiz.de/10012798684
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Cryptocurrency as an investment : the Malaysian context
Shangeetha Sukumaran; Bee, Thai Siew; Shaista Wasiuzzaman - In: Risks : open access journal 10 (2022) 4, pp. 1-17
’ demographic characteristics (gender, age, education, income, and investment experience) were analyzed as control variables. Data …
Persistent link: https://www.econbiz.de/10013355250
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Why Is Systematic Investing Important?
Harvey, Campbell R. - 2021
In this era of inexpensive computation and vast data, systematic, or algorithmically driven, investment is increasingly … present the risk of “tech-washing” whereby an investment product claims to use “the latest machine-learning tools,” but the …
Persistent link: https://www.econbiz.de/10013238858
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What’s in Your Real Asset Portfolio? Introducing RASA TM
Parikh, Harsh - 2021
heterogeneity, with a given portfolio serving a particular investment goal and purpose? We use our Real Asset Sensitivity Analysis … asset fund, or custom portfolio, aligns with their investment objectives.Using RASA, we identify fund groups that are likely … investment objective-oriented strategy such as Inflation Protection, Growth, or Growth Protection …
Persistent link: https://www.econbiz.de/10013250626
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Using Link Mining for Investment Decisions : Extending the Black Litterman Model
Creamer, Germán G. - 2015
The Black Litterman (BL) model for portfolio optimization combines investors' expectations with the Markowitz framework. The BL model is designed for investors with private information or with knowledge of market behavior. In this paper I propose a method where investors' expectations are based...
Persistent link: https://www.econbiz.de/10013035472