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The Parametrization of an International Equity Portfolio : A Decomposition of Global Momentum Returns

Reschenhofer, Christoph - 2018

Using a parametric portfolio optimization approach, I show how international momentum strategies can be significantly improved by decomposing global momentum returns. The parametrization models the optimal portfolio weights as a function of the decomposed components and overweights equity...

Persistent link: https://www.econbiz.de/10012915065

Exchange Rate Prediction with Machine Learning and a Smart Carry Portfolio

Filippou, Ilias - 2020

We establish the out-of-sample predictability of monthly exchange rate changes via machine learning techniques based on 70 predictors capturing country characteristics, global variables, and their interactions. To guard against overfitting, we use the elastic net to estimate a high-dimensional...

Persistent link: https://www.econbiz.de/10012847704

Hedging Demand in Long-Term Asset Allocation With an Application to Carry Trade Strategies

Laborda Herrero, Ricardo - 2020

We derive a closed-form expression for the mean and marginal hedging demand on risky assets in long-term asset allocation problems for individuals with CRRA preferences. Our parametric portfolio policy rule accommodates an arbitrarily large number of state variables for predicting the state of...

Persistent link: https://www.econbiz.de/10012849031

An Unintended Consequence of Holding Dollar Assets

Czech, Robert; Huang, Shiyang; Lou, Dong; Wang, Tianyu - 2022

We study investor trading behaviour and yield patterns in the UK government bond market during the recent Covid crisis. We show that the yield spike in mid-March 2020 was accompanied by heavy selling of gilts by UK-based insurance companies and pension funds (ICPFs), which we argue was an...

Persistent link: https://www.econbiz.de/10013297986

Non-Fundamental Flows and Foreign Exchange Rates

Aldunate, Felipe E.; Da, Zhi; Larrain, Borja; Sialm, Clemens - National Bureau of Economic Research - 2022

Frequent, yet uninformed, fund flows in Chilean pension plans generate substantial trading in currency markets due to the high allocation to international securities. These non-fundamental flows have a significant impact on the Chilean peso, which is estimated to have a relatively low price...

Persistent link: https://www.econbiz.de/10013477245

Dollar Asset Holding and Hedging Around the Globe

Du, Wenxin; Huber, Amy - 2023

We analyze a large number of industry- and company-level filings of global institutional investors to provide the first comprehensive estimates of foreign investors' U.S. dollar (USD) security holdings and currency hedging practices. We find that foreign investors increased their holdings of USD...

Persistent link: https://www.econbiz.de/10014350023

The Time-Varying Systematic Risk of Carry Trade Strategies

Christiansen, Charlotte - 2013

We explain the currency carry trade performance using an asset pricing model in which factor loadings are regime-dependent rather than constant. Empirical results show that a typical carry trade strategy has much higher exposure to the stock market and is mean-reverting in regimes of high FX...

Persistent link: https://www.econbiz.de/10013095018

How loss averse are investors in financial markets?

Hwang, Soosung; Satchell, Steve E. - In: Journal of banking & finance 34 (2010) 10, pp. 2425-2438

Persistent link: https://www.econbiz.de/10008858348

What determines risk tolerance?

Guillemette, Michael; Nanigian, David - In: Financial services review : the journal of individual … 23 (2014) 3, pp. 207-218

Persistent link: https://www.econbiz.de/10011312451

How Investors Face Financial Risk : Loss Aversion and Wealth Allocation

Rengifo, Erick W. - 2012

We studied how the capital allocation decisions and the loss version of nonprofessional investors change subject to … the past performance and the portfolio evaluation frequency affect investor behavior and prove myopic loss aversion holds … using standard VaR significance levels may be underestimating the loss aversion of individual investors …

Persistent link: https://www.econbiz.de/10013116206