Strategic asset allocation by mixing shrinkage, vine copula and market equilibrium
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Forecasting"
DOI: 10.1002/for.2506
Abstract: We propose a new portfolio optimization method combining the merits of the shrinkage estimation (Jorion, 1985, 1986 and 1991), vine-copula structure (Aas and Berg, 2009), and Black-Litterman model (Black and Litterman, 1991 and 1992). It… read more here.
Keywords: asset allocation; asset; vine copula; shrinkage ... See more keywords
Dynamic portfolio optimization using technical analysis‐based clustering
Sign Up to like & getrecommendations! Published in 2022 at "International Journal of Intelligent Systems"
DOI: 10.1002/int.22870
Abstract: An accurate prediction of asset prices is perhaps the biggest challenge of any study in portfolio optimization. Asset prices are affected by several random and nonrandom factors, which makes them difficult to forecast. This paper… read more here.
Keywords: asset; methodology; portfolio; dynamic portfolio ... See more keywords
Beyond Economic Gains: Asset Transfer Programs and Psychological Well‐Being of Ultra‐Poor Women in Bangladesh
Sign Up to like & getrecommendations! Published in 2025 at "Journal of International Development"
DOI: 10.1002/jid.70045
Abstract: This study explores how asset transfer programs influence the psychological well‐being (PWB) of ultra‐poor women in rural Bangladesh. Using an adapted version of Ryff's PWB model, culturally tailored to this population, the study analyses data… read more here.
Keywords: asset transfer; asset; ultra poor; transfer programs ... See more keywords
Impact of asset size on performance and outreach using panel quantile regression with non-additive fixed effects
Sign Up to like & getrecommendations! Published in 2021 at "Empirical Economics"
DOI: 10.1007/s00181-021-02057-9
Abstract: This study focuses on the impact of asset size on financial performance and outreach. More specifically, we determine whether an increase in asset size is more relevant for microfinance institutions with low performance than for… read more here.
Keywords: performance; increase asset; asset; asset size ... See more keywords
Artificial intelligence-based human-centric decision support framework: an application to predictive maintenance in asset management under pandemic environments
Sign Up to like & getrecommendations! Published in 2021 at "Annals of Operations Research"
DOI: 10.1007/s10479-021-04373-w
Abstract: Pandemic events, particularly the current Covid-19 disease, compel organisations to re-formulate their day-to-day operations for achieving various business goals such as cost reduction. Unfortunately, small and medium enterprises (SMEs) making up more than 95% of… read more here.
Keywords: decision; asset; predictive maintenance; pandemic environments ... See more keywords
Alternatives to classical option pricing
Sign Up to like & getrecommendations! Published in 2024 at "Annals of Operations Research"
DOI: 10.1007/s10479-024-06213-z
Abstract: We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this approach and illustrate it with two specific examples. The second approach… read more here.
Keywords: document; asset; usepackage; approach ... See more keywords
Bubbles, crashes and information contagion in large-group asset market experiments
Sign Up to like & getrecommendations! Published in 2020 at "Experimental Economics"
DOI: 10.1007/s10683-020-09664-w
Abstract: We study the emergence of bubbles in a laboratory experiment with large groups of individuals. The realized price is the aggregation of the forecasts of a group of individuals, with positive expectations feedback through speculative… read more here.
Keywords: bubbles crashes; asset; information contagion; group ... See more keywords
Modelling optimal asset allocation when households experience health shocks
Sign Up to like & getrecommendations! Published in 2017 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-016-0589-6
Abstract: Health status is an important factor in household portfolio decision-making. We develop a theoretical framework to model how households make optimal asset allocation decisions in response to health risks. Our two- and three-asset models both… read more here.
Keywords: asset allocation; asset; optimal asset; households experience ... See more keywords
The predictive strength of MBS yield spreads during asset bubbles
Sign Up to like & getrecommendations! Published in 2020 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-020-00888-8
Abstract: We examine whether the predictive power of initial yield spreads of mortgage-backed securities (MBS) vary with the financial cycle. Using a cross-country sample of 4203 MBS, we find that initial yield spreads of MBS incorporate… read more here.
Keywords: initial yield; asset; predictive strength; yield spreads ... See more keywords
Intertemporal asset pricing with bitcoin
Sign Up to like & getrecommendations! Published in 2020 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-020-00904-x
Abstract: This paper develops and tests an intertemporal regime-switching asset pricing model characterized by heterogeneous agents that have different expectations about the persistence and volatility of bitcoin prices. The model is estimated using daily bitcoin price… read more here.
Keywords: asset pricing; asset; volatility; bitcoin ... See more keywords
Goods Inflation, Asset Inflation, and the Greatest Peacetime Inflation in the US
Sign Up to like & getrecommendations! Published in 2017 at "Atlantic Economic Journal"
DOI: 10.1007/s11293-017-9560-8
Abstract: In every episode of global monetary inflation originating in the Federal Reserve, we find both asset price inflation and goods inflation. The interrelationship between these two types of inflation depends both on cycle-specific factors and… read more here.
Keywords: greatest peacetime; asset inflation; asset; inflation asset ... See more keywords