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On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets

A. Burak Paç, Mustafa Ç. Pınar
2017 Annals of Operations Research  
Defining an investment environment containing both ambiguous and unambiguous assets, we investigate the performance of naïve diversification over ambiguous assets.  ...  With an application on the CVaR risk measure, we derive rules for optimally combining uniform ambiguous portfolio with the unambiguous assets.  ...  The manuscript greatly benefited from their constructive comments regarding both presentation of ideas and depth of content.  ... 
doi:10.1007/s10479-017-2619-8 fatcat:bfafqmk4kbbv5prv3idnluxsom

Are there benefits to being naked? The returns and diversification impact of capital structure arbitrage

Giovanni Calice, Jing Chen, Julian M. Williams
2013 European Journal of Finance  
is replicable by a large set of alternative assets.  ...  Using mark to market returns on a large cross section of CDS positions, held independently from their reference entity, we implement a novel test to establish whether their inclusion in an optimised portfolio  ...  To the best of our knowledge, empirical work on portfolio diversification and CDS as tradeable assets is non-existent.  ... 
doi:10.1080/1351847x.2011.637115 fatcat:vbs6dhbhzjbynid6sxrvvatb3i

Are there benefits to being naked? The returns and diversification impact of capital structure arbitrage [chapter]

2016 Contemporary Issues in Financial Institutions and Markets  
This book showcases recent academic work on contemporary issues in financial institutions and markets.  ...  This timely collection offers fresh insights and understandings into the ongoing debates within and between the academic and professional finance communities.  ...  To the best of our knowledge, empirical work on portfolio diversification and CDS as tradeable assets is non-existent.  ... 
doi:10.4324/9781315749730-8 fatcat:tztt5kljm5eerdow4nl5pkmkie

Does the Inclusion of Exposure to Volatility into Diversified Portfolio Improve the Investment Results? Portfolio Construction from the Perspective of a Polish Inwestor

Michał Latoszek, Robert Ślepaczuk
2020 Economics and Business Review  
The general conclusions were again ambiguous and considerably depended on the selected scenario.  ...  In addition, naïve diversification reduces the transaction costs, limits the extreme position of one asset and is a sensible choice for the investors who are oriented towards passive investments and prefer  ...  Aims and Scope The Economics and Business Review is a quarterly journal focusing on theoretical, empirical and applied research in the fields of Economics and Corporate and Public Finance.  ... 
doi:10.18559/ebr.2020.1.3 fatcat:wywkwnjpzzdmffuy46mdwk2ps4

Ambiguity in asset pricing and portfolio choice: a review of the literature

Massimo Guidolin, Francesca Rinaldi
2012 Theory and Decision  
explored the implications of decision-making under ambiguity for financial market outcomes, such as portfolio choices and equilibrium asset prices.  ...  We conclude that the ambiguity literature has led to a number of significant advances in our ability to rationalize empirical features of asset returns and portfolio decisions, such as the empirical failure  ...  ambiguity averse 3 These examples concern research on equity returns and portfolio diversification.  ... 
doi:10.1007/s11238-012-9343-2 fatcat:cb6mtt6kbrerlkc3uteb5o4edm

Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature

Massimo Guidolin, Francesca Rinaldi
2010 Social Science Research Network  
explored the implications of decision-making under ambiguity for financial market outcomes, such as portfolio choices and equilibrium asset prices.  ...  We conclude that the ambiguity literature has led to a number of significant advances in our ability to rationalize empirical features of asset returns and portfolio decisions, such as the empirical failure  ...  ambiguity averse 3 These examples concern research on equity returns and portfolio diversification.  ... 
doi:10.2139/ssrn.1673494 fatcat:nbksq5dbvfbevnuguaz2psywgy

A Simple Model of Trading and Pricing Risky Assets Under Ambiguity: Any Lessons for Policy-Makers?

Massimo Guidolin, Francesca Rinaldi
2009 Social Science Research Network  
We develop a simple two-period model populated by both standard expected utility maximizers and by ambiguity-averse investors that trade in the market for a risky asset.  ...  We develop a simple two-period model populated by both standard expected utility maximizers and by ambiguity-averse investors that trade in the market for a risky asset.  ...  First, they could be thought of as choosing robust portfolios. That is they could search for portfolios that are robust to their uncertainty about the correct model for returns.  ... 
doi:10.2139/ssrn.1394405 fatcat:zq5gyuxwbraptlrqvedreewrfm

A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?

Massimo Guidolin, Francesca Rinaldi
2010 Applied Financial Economics  
We develop a simple two-period model populated by both standard expected utility maximizers and by ambiguity-averse investors that trade in the market for a risky asset.  ...  the range of possible scenarios on the performance of individual securities.  ...  First, they could be thought of as choosing robust portfolios. That is they could search for portfolios that are robust to their uncertainty about the correct model for returns.  ... 
doi:10.1080/09603100903262939 fatcat:raa5twsq7bh5fe5q3v3wgeqsay

Automated portfolio rebalancing: Automatic erosion of investment performance?

Matthias Horn, Andreas Oehler
2020 Journal of Asset Management  
from a service that automatically rebalances a portfolio which additionally includes the latter assets.  ...  Since households' portfolios additionally include further frequently tradable assets like real estate funds, articles of great value and cash(-equivalents), we analyze whether households would benefit  ...  However, an unambiguous interpretation of μ, σ, and the Sharpe ratio requires normally distributed asset and portfolio returns (see, e.g., Guse and Rudolf 2008) .  ... 
doi:10.1057/s41260-020-00183-0 fatcat:aeng5pawxnhfpigx6ccyoyfype

Ratings and Asset Allocation: An Experimental Analysis

Robert L. McDonald, Thomas A. Rietz
2013 Social Science Research Network  
Mark Grinblatt, Matti Keloharju, and Juhani Linnainmaa. Iq and stock market participation.  ...  Abstract Appendix I contains additional analyses and Appendix II contains the experimental instructions and instruments.  ...  This result contrasts sharply with predictions of naive diversification (e.g., Benartzi and Thaler [2001] ).  ... 
doi:10.2139/ssrn.2259327 fatcat:6kxrj3e7mbgdhhrwz7dtauvylu

Forecasting Cryptocurrency Value by Sentiment Analysis: An HPC-Oriented Survey of the State-of-the-Art in the Cloud Era [chapter]

Aleš Zamuda, Vincenzo Crescimanna, Juan C. Burguillo, Joana Matos Dias, Katarzyna Wegrzyn-Wolska, Imen Rached, Horacio González-Vélez, Roman Senkerik, Claudia Pop, Tudor Cioara, Ioan Salomie, Andrea Bracciali
2019 Msphere  
portfolio selection.  ...  We have explored the domain based on this problem-solving metric perspective, i.e., as technical analysis, forecasting, and estimation using a standardized ledger-based technology.  ...  that can be made in each asset, or the maximum and minimum number of assets that the portfolio should consider.  ... 
doi:10.1007/978-3-030-16272-6_12 fatcat:4x5kdnaxabg73blffgo7n3jgii

Benchmarking the Benchmarks

2001 Journal of Quality Assurance in Hospitality & Tourism  
Interestingly, mixed results have been found for portfolios based on past 1-month returns.  ...  mix.  ... 
doi:10.1300/j162v02n03_01 fatcat:vlmkl4bcsncb5cxyrxygnlwzfm

Long-Term Investing: What Determines Investment Horizon?

Geoff Warren
2014 Social Science Research Network  
A characterization of investment horizon is offered based around two indicators: discretion over trading and how investment decisions are made, specifically the extent to which they are based on expected  ...  Synopsis The literature on investment horizon is reviewed in order to enhance the understanding of potential influences on long-term investing by institutional investors.  ...  Gray (2006) points out that long-term investors are not naïve buy-and-hold investors, but must monitor their portfolios over time and occasionally take action.  ... 
doi:10.2139/ssrn.2442631 fatcat:ur73m4ep75c25edfo77m7t4o5u

Long-Term Investing: What Determines Investment Horizon?

Geoff Warren
2014 Social Science Research Network  
A characterization of investment horizon is offered based around two indicators: discretion over trading and how investment decisions are made, specifically the extent to which they are based on expected  ...  Synopsis The literature on investment horizon is reviewed in order to enhance the understanding of potential influences on long-term investing by institutional investors.  ...  Gray (2006) points out that long-term investors are not naïve buy-and-hold investors, but must monitor their portfolios over time and occasionally take action.  ... 
doi:10.2139/ssrn.2513088 fatcat:4otrt7jdrnddvchpkkqc7c2fvu

Hedge Funds: A Dynamic Industry in Transition

Mila Getmansky, Peter A. Lee, Andrew W. Lo
2015 Annual Review of Financial Economics  
Our review is written from several distinct perspectives: the investor's, the portfolio manager's, the regulator's, and the academic's.  ...  , systemic risk, financial regulation, and other aspects of financial theory and practice.  ...  robust and easier to implement.  ... 
doi:10.1146/annurev-financial-110311-101741 fatcat:idivscxxpjfcjhxsdxul45rhoa
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