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
Black–Litterman asset allocation model based on principal component analysis (PCA) under uncertainty
Sign Up to like & getrecommendations! Published in 2018 at "Cluster Computing"
DOI: 10.1007/s10586-018-1864-1
Abstract: In order to improve the prediction accuracy of asset allocation model, the Black–Litterman (BL) asset allocation model based on principal component analysis (PCA) under uncertainty is proposed in the thesis. Firstly, the main idea and… read more here.
Keywords: allocation model; model; pca; asset allocation ... 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
Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
Sign Up to like & getrecommendations! Published in 2017 at "Economic Modelling"
DOI: 10.1016/j.econmod.2017.07.006
Abstract: Abstract This paper studies an optimal portfolio selection problem under a discrete-time Higher-Order Hidden Markov-Modulated Autoregressive (HO-HMMAR) model for price dynamics. By interpreting the hidden states of the modulating higher-order Markov chain as different states… read more here.
Keywords: model; hmmar model; asset allocation; higher order ... See more keywords
Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes?
Sign Up to like & getrecommendations! Published in 2019 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2019.02.009
Abstract: Abstract In defined contribution (DC) pension schemes, the regulator usually imposes asset allocation constraints (minimum and maximum limits by asset class) in order to create funds with different risk–return profiles. In this article, we challenge… read more here.
Keywords: return profiles; asset allocation; risk; risk return ... See more keywords
Properties of the Margrabe Best-of-two strategy to tactical asset allocation
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DOI: 10.1016/j.irfa.2018.12.014
Abstract: Abstract The Margrabe Best-of-two (MBo2) strategy is a rule-based dynamic investment solution for the two-asset allocation problem. Its typical implementation involves yearly rebalancing the portfolio weights to 50–50 between a low-risk and high-risk asset. It… read more here.
Keywords: allocation; best two; strategy; asset ... See more keywords
Corrigendum to “Predictability of stock returns and asset allocation under structural breaks” [J. Econometrics 164 (2011) 60–78]
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2020.02.008
Abstract: Abstract We revisit the estimation algorithm of Pettenuzzo and Timmermann (2011) and show how to apply the posterior simulation test of Geweke (2004) to locate and correct an error in the original posterior sampling algorithm.… read more here.
Keywords: stock returns; corrigendum predictability; asset allocation; predictability stock ... See more keywords
Dynamic asset allocation with relative wealth concerns in incomplete markets
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2020.103857
Abstract: Abstract In dynamic portfolio choice problems, stochastic state variables such as stochastic volatility lead to adjustments of the optimal stock demand referred to as hedge terms or Merton-Breeden terms. By deriving an explicit solution in… read more here.
Keywords: relative wealth; asset allocation; allocation relative; wealth concerns ... See more keywords
Gender differences in risk behavior: An analysis of asset allocation decisions in Ghana
Sign Up to like & getrecommendations! Published in 2019 at "World Development"
DOI: 10.1016/j.worlddev.2019.01.001
Abstract: Within a developing country context, little is known about gender differences in risk preferences as reflected in asset allocation decisions. Much of the empirical literature within development studies on risk and investment in assets centers… read more here.
Keywords: asset allocation; gender; gender differences; differences risk ... See more keywords
Seasonal Asset Allocation: Evidence from Mutual Fund Flows
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DOI: 10.1017/s002210901600082x
Abstract: We analyze the flow of money between mutual fund categories, finding strong evidence of seasonality in investor risk aversion. Aggregate investor flow data reveal an investor preference for safe mutual funds in autumn and risky… read more here.
Keywords: asset allocation; seasonal asset; evidence; fund ... See more keywords
Decentralized strategic asset allocation with global constraints
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DOI: 10.1057/s41260-017-0057-4
Abstract: Decentralized investment management can be defined as the practice of having multiple managers implement investment strategies across different asset categories. It has been common practice due the presence of alternative investments or other asset classes… read more here.
Keywords: asset allocation; asset; investment; optimization ... See more keywords