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Ibbotson, Roger G. - 2013

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...

Persistent link: https://www.econbiz.de/10013093548

Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance

Ferson, Wayne E. - 2003

Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...

Persistent link: https://www.econbiz.de/10014023859

Management science, economics and finance : a connection

Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - 2016

This paper provides a brief review of the connecting literature in management science, economics and finance, and discusses some research that is related to the three disciplines. Academics could develop theoretical models and subsequent econometric models to estimate the parameters in the...

Persistent link: https://www.econbiz.de/10011479822

Sneddon PhD CFA, Leigh - 2012

We present a closed-form solution for the steady state investment properties of actively managed strategies. Our goal is to provide clear, practical predictions to guide the design of active strategies and improve their performance. The solution includes cost control, correlated assets,...

Persistent link: https://www.econbiz.de/10013113531

Predicting Inflation : Portfolio Erosion or Collapse?

Crawford, George - 2012

What is the probability of high inflation; how high, when? These questions are important to all investors since even the 2% level to which we are accustomed will cut an investor's portfolio by over 17% during a decade. This 2% level is the target of the Federal Reserve, along with near 0%...

Persistent link: https://www.econbiz.de/10013099903

Demystifying Rebalancing Premium and Extending Portfolio Theory in the Process

Dubikovsky, Vladislav - 2017

Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio … Theory is a one period approach relating expected returns and volatilities as two independent variables estimated from … of modern portfolio theory. We show that Markowitz portfolios and Warren Buffett's investment style are valid special …

Persistent link: https://www.econbiz.de/10012961681

Dynamic Exposure Targetingm J. Portfolio Management, Summer 2012

Sneddon PhD CFA, Leigh - 2016

Achieving desired exposures to information sources is critical to successful active investing. A portfolio manager, for example, wants to increase her portfolio's exposure to a signal — how long will it take? By how much should she change the signal's weight? How will exposures to other...

Persistent link: https://www.econbiz.de/10013008414

Risk minimization for insurance products via F-doubly stochastic Markov chains

Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...

Persistent link: https://www.econbiz.de/10011507634

Stochastic Optimization for Portfolios Consisting of Corporate Bonds in an Integrated Market and Credit Risk Framework

Papanikolaou, Nikolaos E. - 2011

Persistent link: https://www.econbiz.de/10013131576

Portfolio Choice in an Incomplete Market with Frictions

Leirvik, Thomas - 2011

A novel method to analyze the impact of transaction costs on a dynamically optimized portfolio is developed. Transaction costs, when taken into account in an incomplete market, generate a liquidity premium which is large enough to address important economic questions, such as the size of the...

Persistent link: https://www.econbiz.de/10013133060