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Decisions, Stocks, and Time Diversification
McLeavey, Dennis W. - 2013
This paper presents three definitions of time diversification and analyzes their implications for investment horizons …. Using decision quality criteria and methodology, we question standard advice. In analyzing time diversification with a … minimum of assumptions, we answer two main questions: how to rigorously define time diversification and what conditions favor …
Persistent link: https://www.econbiz.de/10013089732
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An Evaluation of Conditional Multi-Factor Models in Active Asset Allocation Strategies : An Empirical Study for the German Stock Market
Deetz, Marcus - 2009
This paper examines the out-of-sample performance of asset allocation strategies that use conditional multi-factor models to forecast expected returns and estimate the future variance and covariance. We find that strategies based on conditional multi-factor models outperform strategies based on...
Persistent link: https://www.econbiz.de/10013156665
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Regime-Based Tactical Allocation for Equity Factors and Balanced Portfolios
Flint, Emlyn James - 2017
It is now an accepted fact that the majority of financial markets worldwide are neither normal nor constant, and South Africa is no exception. One idea that can be used to understand such markets and has been gaining popularity recently is that of regimes and regime-switching models. In this...
Persistent link: https://www.econbiz.de/10012952837
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Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?
Guidolin, Massimo - 2020
We test whether the unconventional monetary policy (UMP) announcements by the Federal Reserve and the European Central Bank represent a risk factor for the hedge fund industry as a whole and for ten commonly used strategies in particular. Using modified event studies and Markov switching models,...
Persistent link: https://www.econbiz.de/10012828359
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Dynamic Portfolio Management Strategies : A Framework for Historical Analysis
Seymour, Anthony - 2018
The performance of dynamic trading and investment strategies can be difficult to predict. Although not without its problems, analysis of the historical performance of a strategy can provide valuable insight into its general risk and return properties. Furthermore, historical analysis allows one...
Persistent link: https://www.econbiz.de/10012914668
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Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory : illustrated with Crypto Assets
Deng, Qi; Zhou, Zhong-Guo - 2023
We establish innovative measures of liquidity premium Beta on both asset and portfolio levels, and corresponding liquidity-adjusted return and volatility, for selected crypto assets. We develop a liquidity-adjusted ARMA-GARCH/EGARCH representation to model the liquidity-adjusted return for...
Persistent link: https://www.econbiz.de/10014349884
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An Evaluation of Conditional Multi-Factor Models in Active Asset Allocation Strategies : An Empirical Study for the German Stock Market
Deetz, Marcus - 2010
This paper examines the out-of-sample performance of asset allocation strategies that use conditional multi-factor models to forecast expected returns and estimate the future variance and covariance. We find that strategies based on conditional multi-factor models outperform strategies based on...
Persistent link: https://www.econbiz.de/10013142108
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Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - 2009
This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...
Persistent link: https://www.econbiz.de/10003796201
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Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model
Nooshi, Nima - 2012
single stock. Daily VaR is computed for an equally weighted portfolio, and for a time span of 250 trading days, the model is …
Persistent link: https://www.econbiz.de/10013109131
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Forecasting Expected Shortfall : Should We Use a Multivariate Model for Stock Market Factors?
Fortin, Alain-Philippe - 2019
Is univariate or multivariate modelling more effective when forecasting the market risk of stock portfolios? We examine this question in the context of forecasting the one-week-ahead Expected Shortfall of a portfolio invested in the Fama-French and momentum factors. Apply ingextensive tests and...
Persistent link: https://www.econbiz.de/10012898954