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Maximizing The Volatility Return
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Book Synopsis Maximizing the Volatility Return by : Daniel Mantilla-Garcia
Download or read book Maximizing the Volatility Return written by Daniel Mantilla-Garcia and published by . This book was released on 2016 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The long-term performance of any portfolio can be decomposed as the sum of the weighted average long-term return of its assets plus the volatility return of the portfolio. Hence, maximizing the volatility return of portfolios of assets with similar characteristics, such as factor portfolios, yields an important increase in performance and risk-adjusted return relative to market-cap weighted factor portfolios. Partitioning a universe of assets into homogeneous groups and applying a block-wise maximum volatility return strategy (MVR) also yields a more efficient index than standard market-cap and equal-weighted indices.
Book Synopsis Reading Minds and Markets by : Jack Ablin with
Download or read book Reading Minds and Markets written by Jack Ablin with and published by FT Press. This book was released on 2009-06-19 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Read Jack Ablin’s ‘five factor’ approach to investing and you not only will sleep better at night, you’ll be a smarter, wiser human being. Ablin takes you on his twenty-year journey toward a unified, rational approach to investing that can help you weather even the most turbulent financial storms. This book may be one of the best investments you will ever make.” --John Callaway, Senior Correspondent, WTTW, Public Television “This book is based on verifiable data trends and years of experience with a broad array of economic and market numbers. Regret over investment losses need not lead investors to disengage their brains or to be robbed again by schemes hawked as ‘new and improved.’ Reading Minds and Markets will help jump-start an honest investment dialogue that has been sidetracked by excesses of greed and fear.” --Bill Barnhart, Former Financial Editor and Columnist for the Chicago Tribune “The author has taken the complex world of investing and provided an extremely practical approach to success where others have failed miserably. His grasp of the financial markets makes him eminently qualified to develop an extremely sound and practical approach in order to protect and enhance wealth for investors.” --Edward (“Ned”) Riley, Jr., Former Chief Investment Officer for State Street Global Advisors and Chief Investment Officer, Riley Asset Management “With nearly three decades of experience, Jack Ablin’s superb intellectual thinking is reflected in Reading Minds and Markets. This is great reading for the motivated investor.” --Professor Israel Shaked, Finance and Economics Department, Boston University, School of Management You can do more to protect yourself from market risks and down markets. The secret: Understand the big picture and know when to shift money toward more promising industry groups, sectors, or asset classes. This strategy is called “global macro investing”--and, as Chief Investment Officer for Harris Private Bank, Jack Ablin has used it to deliver results for many of the world’s wealthiest families and individuals. In Reading Minds and Markets, Ablin distills his techniques into a remarkably simple, commonsense five-step plan that any investor can use. You’ll discover how to anticipate some of the more significant shifts in global markets and move investments toward areas that are more likely to grow. Equally important, you’ll learn how to overcome bad habits that inevitably lead to failure--habits all too often reinforced by the financial media. In today’s unforgiving markets, you need to make smarter high-level decisions and fewer mistakes: This book will help you do both. Why you must take a top-down view of the market--and how to do it Avoid getting caught off-guard in choppy, highly volatile markets Respond to the market’s powerful signals about relative risk Master strategies for improving return without increasing risk Discover the five factors that consistently tell you where to invest Cut through the clutter of irrelevant data: find what matters and use it Stop being your own worst enemy Overcome the #1 obstacle to structuring your best portfolio: human nature www.readingmindsandmarkets.com
Book Synopsis Determining the Return-Maximizing Portfolio Leverage and Its Limitations by : Robert Ott
Download or read book Determining the Return-Maximizing Portfolio Leverage and Its Limitations written by Robert Ott and published by . This book was released on 2016 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leverage in the risk allocation of an investment portfolio can be an effective strategy in achieving overall portfolio goals. While the literature on portfolio leverage is robust, quantifying the amount and discussion of its limitations are often minimized. This paper focuses on the limitations by explicitly including the volatility drag from leveraging the expected portfolio returns. Maximizing the expected portfolio returns with respect to leverage results in a return-maximizing condition that balances gains from leverage with losses in the volatility drag. The return-maximizing condition is graphically illustrated over a range of investment returns to produce a return-maximizing leverage curve.
Book Synopsis Maximize Market Timing Returns by : Plamen Patev
Download or read book Maximize Market Timing Returns written by Plamen Patev and published by . This book was released on 2019 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market timing is preferred path to alpha because it is very simple to implement even by individual investors. In this paper we apply the Hallerbach (2014) methodology to emerging markets from Asia and Eastern Europe. We find that by using volatility-weighted bets we improve significantly the ex-post Information ratio of the strategy. This approach is even more important in emerging markets, where volatility is much higher than on traditional stock exchanges.In our research we select 15 leading emerging markets around the world. Examining volatility-weighted bets on emerging markets is even more interesting, because of the significantly higher volatility in comparison to developed markets. We develop the strategy on monthly basis in the period January, 2005 - March, 2017.
Book Synopsis Stock Market Investing Guide 2024 by : Mark D Hatcher
Download or read book Stock Market Investing Guide 2024 written by Mark D Hatcher and published by Independently Published. This book was released on 2024-02-11 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are you ready to take control of your financial future and unlock the secrets to successful stock market investing? Dive into the pages of "Stock Market Investing Guide 2024" and embark on a transformative journey towards financial empowerment and wealth creation.
Book Synopsis Portfolio Structuring and the Value of Forecasting by : Jacques Lussier
Download or read book Portfolio Structuring and the Value of Forecasting written by Jacques Lussier and published by CFA Institute Research Foundation. This book was released on 2016-10-10 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Volatility Shield by : David McKnight
Download or read book The Volatility Shield written by David McKnight and published by . This book was released on 2019-03-06 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: Former NFL great Ted Hardy took an early retirement at age 50 after selling his sporting goods chain for a cool $3 million net after tax. At the time, Ted's money manager made a simple promise: If you stick to your withdrawal plan and get reasonable average annual returns, you'll never run out of money and you'll die with millions. Eighteen years later, Ted's stepson and financial power of attorney Jack Wheeler is called into town to sort out Ted's finances after Ted suffers a major health crisis. Confident that Ted still has millions in his stock market portfolio, Jack makes plans to place him in the best long-term care facility in town. But after examining Ted's investment statements, he makes a shocking discovery: Over $5 million is missing from Ted's portfolio. As Jack investigates the disappearance of his stepfather's money, he learns financial truths that challenge conventional wisdom and reveal a gaping hole in his own retirement picture.
Book Synopsis Market Volatility and the Portfolio Revision Process by : Robert Reback
Download or read book Market Volatility and the Portfolio Revision Process written by Robert Reback and published by . This book was released on 1972 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Beast on Wall Street by : Robert A. Haugen
Download or read book Beast on Wall Street written by Robert A. Haugen and published by Pearson. This book was released on 1999 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.
Book Synopsis Does Volatility Matter? by : Giulio Bottazzi
Download or read book Does Volatility Matter? written by Giulio Bottazzi and published by . This book was released on 2009 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present results of an experiment on expectation formation in an asset market. Participants to our experiment must provide forecasts of the stock future return to computerized utility-maximizing investors, and are rewarded according to how well their forecasts perform in the market. In the Baseline treatment participants must forecast the stock return one period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of real financial data. Eliciting confidence intervals for predictions has the effect of reducing price fluctuations and increasing subjects’ coordination on a common prediction strategy. -- Experimental economics ; Expectations ; Coordination ; Volatility ; Asset pricing
Book Synopsis Streetsmart Guide to Managing Your Portfolio by : Frank Yao
Download or read book Streetsmart Guide to Managing Your Portfolio written by Frank Yao and published by McGraw Hill Professional. This book was released on 2002 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title provides investors with: professional portfolio tools; clear explanation of the concept of portfolio management; definition of risk and how to measure risk for your own needs; the best ways to monitor and measure your portfolio; and real-world examples.
Book Synopsis Active Index Investing by : Steven A. Schoenfeld
Download or read book Active Index Investing written by Steven A. Schoenfeld and published by John Wiley & Sons. This book was released on 2011-08-04 with total page 535 pages. Available in PDF, EPUB and Kindle. Book excerpt: For over three decades, indexing has become increasingly accepted by both institutional and individual investors. Index benchmarks and investment products that track them have been a driving force in the transformation of investment strategy from art to science. Yet investors’ understanding of the sophistication of this burgeoning field has lagged the growing use of index products. Active Index Investing is the definitive guide to how indexes are constructed, how index-based portfolios are managed, and how the world’s most sophisticated investors use index-based strategies to enhance performance, reduce costs and minimize the risks of investing. Active Index Investing provides a comprehensive overview of (1) the investment theories that are the foundation of index based investing, (2) best practices in benchmark construction, (3) the growing world of index-based investment vehicles, (4) cutting-edge index portfolio management techniq ues and (5) the myriad ways investors can and do capture the benefits of indexing. Active Index Investing has a unique format that captures the views and perspectives of over 40 of the investment industry’s leading experts and practitioners, while maintaining a holistic view of this complex subject matter. In addition to the Appendix and Glossary within the book, it features an E-ppendix, available at www.IndexUniverse.com
Book Synopsis Optimal Index Asset Allocation for Maximizing Risk Adjusted Performance Using Historical Returns by : Giuseppe Palmiotti
Download or read book Optimal Index Asset Allocation for Maximizing Risk Adjusted Performance Using Historical Returns written by Giuseppe Palmiotti and published by . This book was released on 2015 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper seeks to determine an optimal allocation of index assets selected among classes commonly used for diversifying portfolios intended for long term investments, like those employed for retirement purposes (401(k) or IRA). The goal of this study, intended for risk adverse investors, is to obtain a risk adjusted performance which rewards returns and penalizes volatility. Nonlinear optimization techniques are employed to calculate the optimal allocation that maximizes risk adjusted performance. Results are compared against those of other traditional portfolios, and a parametric study is performed to investigate the impact of different rebalancing frequencies on portfolio performance.
Book Synopsis Investment Diversification in Natural Resources by : Terry L. Ramsey
Download or read book Investment Diversification in Natural Resources written by Terry L. Ramsey and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment diversification is a process of evaluating and selecting an investment portfolio to maximize returns and minimize volatility of returns. The objective of this study is to provide a robust model of investment diversification and to demonstrate how each company may uniquely achieve its optimum diversification. All theoretical solutions and examples are provided in a Mathematica format so that the reader may duplicate all results in detail. This research integrates the widely applicable gamma probability density distribution with exponential utility to quantify the transformation of the underlying prospect value distribution to a risk adjusted value distribution (RAV). The development of an RAV distribution provides a theoretical basis for the benefits of management financial cutoffs for improvement in return on investment and for the reduction in volatility of those returns. These theoretical developments are the essential elements of diversification which consists of transforming a distribution and truncating a distribution in a repetitive process until the portfolio yields and variance meet management goals. This research uses minimizing volatility and maximizing risk adjusted value per dollar (RAVPD) to derive a new concept of investment efficiency, the MaxRAVPD. The MaxRAVPD is the maximum return on investment that can be achieved with the underlying distribution of value. As fewer projects are considered to increase portfolio returns, the sample variance increases, resulting in a cost (computed as expectation of RAVPD) which establishes when the portfolio return cannot be increased further, defining the MaxRAVPD. The analysis of each investment involves each investor's unique risk preferences represented by exponential utility. Application of exponential utility is accompanied by analytical developments which clarify and extend the existing literature. A set of 375 exploration prospects are subject to a RAVPD cutoff resulting in 50 acceptable prospects evaluated in three portfolios. Portfolio I is the base case: ranking the prospects by return on investment and buying down the list by investing 25 percent in each prospect. Portfolio II illustrates that Portfolio I results can be improved by 17 percent by evaluating the underlying prospects in terms of risk adjusted values. Portfolio III, by maximizing risk adjusted return on investment by using a target RAVPD, improves Portfolio I results by 57 percent. These results confirm the theoretical developments that management should use an initial RAVPD cutoff, and target RAVPD to maximize any portfolio's RAVPD. Engineering deals with the producing results with available resources. Engineering of diversification requires consideration of constraints on budgets, manpower, costs and management policy to define an optimum business structure. Engineering of diversification is formulated as a linear programming model to maximize portfolio returns
Book Synopsis Stochastic Portfolio Theory by : E. Robert Fernholz
Download or read book Stochastic Portfolio Theory written by E. Robert Fernholz and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in the distribution of capital in the market. Stochastic portfolio theory has both theoretical and practical applications: as a theoretical tool it can be used to construct examples of theoretical portfolios with specified characteristics and to determine the distributional component of portfolio return. This book is an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance. Each chapter includes a number of problems of varying levels of difficulty and a brief summary of the principal results of the chapter, without proofs.
Book Synopsis Forecasting Expected Returns in the Financial Markets by : Stephen Satchell
Download or read book Forecasting Expected Returns in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2011-04-08 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives
Book Synopsis Asset and Liability Management Handbook by : G. Mitra
Download or read book Asset and Liability Management Handbook written by G. Mitra and published by Springer. This book was released on 2011-03-29 with total page 547 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision models for three sectors: pension funds, insurance companies and banks, taking into account new regulations and the industries risks.
