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Co-Occurrence : A New Perspective on Portfolio Diversification

Kinlaw, William B.; Kritzman, Mark; Turkington, David - 2023

Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...

Persistent link: https://www.econbiz.de/10014343662

Portfolio choice with path-dependent preferences

Kritzman, Mark; Li, Ding; Qiu, Grace; Turkington, David - 2020 - This version: May 21, 2020

Many sophisticated investors rely on scenario analysis to select a portfolio. These investors define prospective economic scenarios, assign probabilities to them, translate the scenarios into expected asset class returns, and select the portfolio with the highest expected return or expected...

Persistent link: https://www.econbiz.de/10012245036

Fixed Income Portfolio Management at PIMCO : Bill Gross, the Bond King

Namvar, Ethan - 2013

The purpose of this case is to provide an introduction to fixed income portfolio management. In addition, the case describes the story of Bill Gross and the founding of PIMCO.Bill Gross continues to work the same schedule since joining PIMCO in 1970; a rigorous and structured workday that begins at...

Persistent link: https://www.econbiz.de/10013089945

On the Optimality of Non-Optimal Portfolios

Rutledge, John - 2009

Accepted wisdom, assuming capital market equilibrium and low cash returns, advises investors to hold optimal portfolios containing little cash. But credit crunches - periods of non-price credit rationing when effective cash yields are very high - happen in the real world. Because of this, it is...

Persistent link: https://www.econbiz.de/10013153212

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

Quantitative Description of Financial Transactions and Risks

Olkhov, Victor - 2018

This paper presents a quantitative model of financial transactions between economic agents on economic space. Risk ratings of economic agents play role of their coordinates. Aggregate amounts of agent's financial variables at point x define macro financial variables as functions of time and...

Persistent link: https://www.econbiz.de/10012930589

Risk Valuation for Securities with Limited Liquidity

Sarkissian, Jack - 2016

Professional market participants have to deal with illiquid securities on a constant basis. For such securities traditional risk assessment techniques fail. This can lead to underestimated and distorted results for the entire investment portfolio, and ultimately to inadequate risk management. We...

Persistent link: https://www.econbiz.de/10012976857

One-Factor Copula-Based Model for Credit Portfolio

Kolman, Marek - 2014

Aim of this research paper it to develop an alternative model for portfolio credit risk to those widely used - CreditRisk+ and CreditMetrics. The model aspires to patch the usual weak points of portfolio credit models and also is easy to implement. General engine relies on one-factor copula...

Persistent link: https://www.econbiz.de/10013065540

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

Persistent link: https://www.econbiz.de/10012237439

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