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Author : Eva Schneider
Publisher :
ISBN 13 :
Total Pages : 134 pages
Book Rating : 4.:/5 (244 download)
Download or read book Essays on Asset Allocation and Derivatives written by Eva Schneider and published by . This book was released on 2007 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Beate Breuer
Publisher :
ISBN 13 :
Total Pages : 168 pages
Book Rating : 4.:/5 (552 download)
Download or read book Essays on Asset Allocation with Derivatives and Model Estimation written by Beate Breuer and published by . This book was released on 2008 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Derivatives Pricing Anddynamic Asset Allocation written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anders Bjerre Trolle
Publisher :
ISBN 13 : 9788759383247
Total Pages : 214 pages
Book Rating : 4.3/5 (832 download)
Download or read book Essays on Derivatives Pricing and Dynamic Asset Allocation written by Anders Bjerre Trolle and published by . This book was released on 2007 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anders Bjerre Trolle
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (873 download)
Download or read book Ph.D.-serie written by Anders Bjerre Trolle and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jin G. Jung
Publisher :
ISBN 13 :
Total Pages : 446 pages
Book Rating : 4.:/5 (456 download)
Download or read book Essays on Capital Markets written by Jin G. Jung and published by . This book was released on 2000 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rune Mølgaard
Publisher :
ISBN 13 : 9788790117658
Total Pages : pages
Book Rating : 4.1/5 (176 download)
Download or read book Essays on Dynamic Asset Allocation and Electricity Derivatives written by Rune Mølgaard and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kun Zhang (Researcher in finance)
Publisher :
ISBN 13 :
Total Pages : 344 pages
Book Rating : 4.:/5 (921 download)
Download or read book Essays on Portfolio Allocation and Derivatives Pricing with Lévy Processes written by Kun Zhang (Researcher in finance) and published by . This book was released on 2014 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Don M. Chance
Publisher : John Wiley & Sons
ISBN 13 : 1118160649
Total Pages : 403 pages
Book Rating : 4.1/5 (181 download)
Download or read book Essays in Derivatives written by Don M. Chance and published by John Wiley & Sons. This book was released on 2011-07-05 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Author : Xin Gao
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (18 download)
Download or read book Essays in Asset Allocation written by Xin Gao and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays in asset allocation. In the first essay, I explore the question of how investors should optimally incorporate commodities in their multi-asset portfolios, or even if they should at all. To tackle this problem, I conduct a comprehensive out-of-sample assessment on the economic value of commodities in multi-asset investment strategies for both mean-variance and non-mean-variance investors who exploit the predictability of time-varying asset return moments. With both monthly and quarterly rebalancing frequencies, I find that predictability makes the addition of commodities profitable even when short-selling and high leverage are not permitted. For instance, a mean-variance (non mean-variance) investor rebalancing quarterly, with moderate risk aversion and leverage, would be willing to pay up to 108 (155) basis points per year after transaction cost for adding commodities into her stock, bond and cash portfolio. In the second essay, I study the economic value generated by active equity mutual funds from an investor’s perspective. I employ an optimization-based portfolio approach to construct a composite investment strategy of U.S. active equity mutual funds. The strategy jointly exploits the conditioning information conveyed by multiple fund characteristics and macroeconomic variables about the cross-section of fund performance. Based on an extensive out-of-sample performance evaluation, I find that the proposed strategy consistently outperforms a large set of passive investments that rely on index funds as well as the strategies that exploit the fund characteristics on an individual basis. The outperformance is net of fees and expenses and after precluding short-sales and leverage. I further show that the proposed strategy’s superior performance derives from effectively exploiting the predictive power of distinct fund characteristics to shift portfolio allocation toward (away from) funds with future outperformance (underperformance) as market conditions evolve over time. The findings indicate that investing in active equity mutual funds can add significant economic value for investors if the time-varying predictability in fund performance is properly taken into account and if an optimal portfolio approach, as opposed to simpler strategies based on sorting or on equal-weighted schemes, is adopted.
Author : Huacheng Zhang
Publisher :
ISBN 13 :
Total Pages : 282 pages
Book Rating : 4.:/5 (852 download)
Download or read book Essays in Asset Allocation written by Huacheng Zhang and published by . This book was released on 2013 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays in asset allocation. In the first essay, I measure the value of active money management. I explore this issue by comprehensively examining the parametric rule proposed by Brandt, Santa-Clara and Valkanov (2009) (the BSV rule) out-of-sample for portfolio selection among 3516 stocks in CRSP and comparing this rule to the mean-variance (MV) rule and the naïve 1/N rule recently advocated by DeMiguel, Garlappi and Uppal (2009). The BSV rule outperforms both the MV and 1/N rules and the outperformance is robust to investment horizons and stock market states. The BSV rule is effective for investors with different preferences or investment opportunities. The effectiveness of the BSV rule is robust to data screening criteria, estimation periods, portfolio performance evaluation models, the business cycle, and stock market states. In the second essay, I explore the question of whether macroeconomic state variables are able to predict cross-sectional stock returns from the perspective of asset allocation. I find that conditioning on macroeconomic state variables leads to optimal portfolios with a Carhart alpha that is 125 basis points per month higher than unconditional optimal portfolios out-of-sample. Unfortunately, conditioning on macroeconomic states is subject to an "overfitting" problem and can lead investors to experience unexpected huge losses. My results suggest that macroeconomic state variables mare able to predict cross-sectional stock returns but risk-averse investors need to combine other funds (e.g. market portfolio) to take advantage of this predictability.
Author : Philipp Karl Illeditsch
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (69 download)
Download or read book Essays in Asset Pricing and Portfolio Choice written by Philipp Karl Illeditsch and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In the Ơ̐1rst essay, I decompose inƠ̐2ation risk into (i) a part that is correlated with real returns on the market portfolio and factors that determine investor0́9s preferences and investment opportunities and (ii) a residual part. I show that only the Ơ̐1rst part earns a risk premium. All nominal Treasury bonds, including the nominal money-market account, are equally exposed to the residual part except inƠ̐2ation-protected Treasury bonds, which provide a means to hedge it. Every investor should put 100% of his wealth in the market portfolio and inƠ̐2ation-protected Treasury bonds and hold a zero-investment portfolio of nominal Treasury bonds and the nominal money market account. In the second essay, I solve the dynamic asset allocation problem of Ơ̐1nite lived, constant relative risk averse investors who face inƠ̐2ation risk and can invest in cash, nominal bonds, equity, and inƠ̐2ation-protected bonds when the investment opportunityset is determined by the expected inƠ̐2ation rate. I estimate the model with nominal bond, inƠ̐2ation, and stock market data and show that if expected inƠ̐2ation increases, then investors should substitute inƠ̐2ation-protected bonds for stocks and they should borrow cash to buy long-term nominal bonds. In the lastessay, I discuss how heterogeneity in preferences among investors withexternal non-addictive habit forming preferences aƠ̐0ects the equilibrium nominal term structure of interest rates in a pure continuous time exchange economy and complete securities markets. Aggregate real consumption growth and inƠ̐2ation are exogenously speciƠ̐1ed and contain stochastic components thataƠ̐0ect their means andvolatilities. There are two classes of investors who have external habit forming preferences and diƠ̐0erent localcurvatures oftheir utility functions. The eƠ̐0ects of time varying risk aversion and diƠ̐0erent inƠ̐2ation regimes on the nominal short rate and the nominal market price of risk are explored, and simple formulas for nominal bonds, real bonds, and inƠ̐2ation risk premia that can be numerically evaluated using Monte Carlo simulation techniques are provided.
Author : Ehud Peleg
Publisher : ProQuest
ISBN 13 :
Total Pages : 356 pages
Book Rating : 4.:/5 ( download)
Download or read book Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance written by Ehud Peleg and published by ProQuest. This book was released on 2008 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ka Chun Ma
Publisher :
ISBN 13 :
Total Pages : 222 pages
Book Rating : 4.:/5 (66 download)
Download or read book Essays in Asset Allocation written by Ka Chun Ma and published by . This book was released on 2009 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xiangrong Jin
Publisher :
ISBN 13 :
Total Pages : 128 pages
Book Rating : 4.:/5 (853 download)
Download or read book Essays on Asset Pricing and Asset Allocation written by Xiangrong Jin and published by . This book was released on 2005 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alberto Gianluca Paolo Rossi
Publisher :
ISBN 13 : 9781124703749
Total Pages : 155 pages
Book Rating : 4.7/5 (37 download)
Download or read book Essays on Time-varying Investment Opportunities and Investors' Asset Allocation written by Alberto Gianluca Paolo Rossi and published by . This book was released on 2011 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation presents three stand-alone contributions to the fields of theoretical and empirical asset pricing. The first chapter presents a theoretical model in which the attention investors pay to the stock market varies over time. This feature is obtained by introducing information costs into a continuous-time model of asset allocation with time-varying investment opportunities. My model explains why investors do not trade uniformly through time. It also rationalizes why agents do not modify their portfolio allocations gradually with the arrival of new information, but rather alternate extended periods of inertia (no-trade) with brief moments of action where asset allocations are updated according to the current state of the economy. The second chapter analyzes the role of information in the context of financial market predictions. I employ a novel semi-parametric method known as Boosted Regression Trees (BRT) to forecast stock returns and volatility at the monthly frequency. The framework allows me to generate forecasts on the basis of a large set of predictor variables without incurring over-fitting related problems. My results indicate that expanding the conditioning information set results in greater out-of-sample predictive accuracy compared to the standard models proposed in the literature and that the forecasts generate profitable portfolio allocations even when market frictions are considered. The third chapter (co-authored with Allan Timmermann) analyzes the limitations of parametric models in evaluating the relation between risk and return. By taking advantage of the flexible and semi-parametric nature of Boosted Regression Trees, we find evidence of a nonmonotonic relation between conditional volatility and expected stock market returns. At low and medium levels of conditional volatility there is a positive risk-return trade-off, but this relation is inverted at high levels of volatility. This finding helps explain the absence of a consensus in the empirical literature on the sign of the risk-return trade-off. We propose a new measure of risk based on the conditional covariance between observations of a broad economic activity index and stock market returns. Using this broader covariance-based risk measure, we find clear evidence of a positive and monotonic risk-returns trade-off.
Author : Chen Cao
Publisher :
ISBN 13 :
Total Pages : 137 pages
Book Rating : 4.:/5 (868 download)
Download or read book Three Essays on Asset Allocation and Asset Pricing written by Chen Cao and published by . This book was released on 2013 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt:
