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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
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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
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Optimising Asset Allocation between Hedge Funds and Private Equity
Susinno, Gabriele - 2015
This paper explores the optimisation of asset allocation within “alternative” investments, i.e. between private equity and hedge funds, as well as between private equity and public equities. It uses our proprietary Portfolio Blender tool. As a preliminary step before the optimisation, we...
Persistent link: https://www.econbiz.de/10013018806
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Presentation Slides for American Finance Association 2020 Presidential Address : Social Transmission Bias in Economics and Finance
Hirshleifer, David A. - 2020
<p>This document contains presentation slides for the American Finance Association's Presidential Address of January 4, 2020. The address is based on the paper "Social Transmission Bias in Economics and Finance."</p><p>The paper: "https://ssrn.com/abstract=3550880" https://ssrn.com/abstract=3550880...</p>
Persistent link: https://www.econbiz.de/10012844892
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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
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Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio
White, James - 2020
There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...
Persistent link: https://www.econbiz.de/10012838940
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Growth-Trend Timing and 60-40 Variations : Lethargic Asset Allocation (LAA)
Keller, Wouter J. - 2020
Growth-Trend (GT) timing from Philosophical Economics is a brilliant timing strategy which only signals a bear market when both the trend in the unemployment (UE) rate and the SP500 index are bearish. As a result, it captures most market downturns while switching to cash in less than 15% of the...
Persistent link: https://www.econbiz.de/10012846395
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Protective Asset Allocation (PAA) : A Simple Momentum-Based Alternative for Term Deposits
Keller, Wouter J. - 2016
Since the financial crisis of 2008 and the recent (end of 2015) pull back, investors are searching for less risky investments. Therefore, there is a growing demand for low risk/absolute return portfolios. In this paper we describe a simple dual-momentum model (called Protective Asset Allocation...
Persistent link: https://www.econbiz.de/10012995291
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Modern Portfolio Theory and Risk Management : Assumptions and Unintended Consequences
Hawley, James P. - 2019
portfolio theory (MPT) in the context of the growth of large institutional investors. We examine the many so-called risk …
Persistent link: https://www.econbiz.de/10012905822
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Saving Active Management from the Market
Ritmor, Aaron - 2017
Assets are leaving actively managed mutual funds at an unprecedented rate as investors have come to perceive that active management does not deliver value. Investor disappointment is generally attributed to the high fees and poor relative performance of the class, yet there is a deeper systemic...
Persistent link: https://www.econbiz.de/10012948944