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Author :
Publisher :
ISBN 13 : 9789522494450
Total Pages : 132 pages
Book Rating : 4.4/5 (944 download)
Download or read book Portfolio Selection Under Directional Return Predictability written by and published by . This book was released on 2015 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Min Zhu
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (13 download)
Download or read book Return Prediction and Portfolio Selection written by Min Zhu and published by . This book was released on 2017 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The inquiries to return predictability are traditionally limited to the first two moments, mean and volatility. Analogously, literature on portfolio selection also stems from a moment-based analysis with up to the fourth moment being considered. This paper develops a distribution-based framework for both return prediction and portfolio selection. More specifically, a time-varying return distribution is modeled through quantile regression and copulas, using the quantile approach to extract information in marginal distributions and copulas to capture dependence structure. A nonlinear utility function is proposed for portfolio selection which utilizes the full underlying return distribution. An empirical application to US data highlights not only the predictability of the stock and bond return distributions, but also the additional information provided by the distributional approach which cannot be captured by the traditional moment-based methods.
Author :
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.:/5 (91 download)
Download or read book Optimal Portfolio Choice with Asset Return Predictability and Nontradable Labor Income written by and published by . This book was released on 2015 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pascal Gisclon
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (611 download)
Download or read book The Implications of Return Predictability on Long-term Portfolio Choice written by Pascal Gisclon and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marcos Escobar
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (13 download)
Download or read book Portfolio Choice with Stochastic Interest Rates and Learning About Stock Return Predictability written by Marcos Escobar and published by . This book was released on 2014 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of optimal wealth allocation is solved under the assumptions that interest rates are stochastic and stock returns are predictable with observed and unobserved factors. The stock risk premium is taken to be an affine function of the predictive variables and the stock return volatility is assumed to depend on the observed factor. The latent factor is estimated based on the observations. It is shown that the stock return predictability can significantly impact the optimal bond portfolio. The welfare loss from ignoring learning can be considerable.
Author : Stephen Satchell
Publisher : Elsevier
ISBN 13 : 0080550673
Total Pages : 299 pages
Book Rating : 4.0/5 (85 download)
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
Author : Emmanuel Eyiah-Donkor
Publisher :
ISBN 13 :
Total Pages : 164 pages
Book Rating : 4.:/5 (129 download)
Download or read book Essays on Return Predictability and Portfolio Choice written by Emmanuel Eyiah-Donkor and published by . This book was released on 2017 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bradley Steele Paye
Publisher :
ISBN 13 :
Total Pages : 380 pages
Book Rating : 4.:/5 (318 download)
Download or read book Essays on Stock Return Predictability and Portfolio Allocation written by Bradley Steele Paye and published by . This book was released on 2004 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anthony W. Lynch
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (129 download)
Download or read book Portfolio Choice and Equity Characteristics written by Anthony W. Lynch and published by . This book was released on 2008 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines portfolio allocation across equity portfolios formed on the basis of characteristics like size and book-to-market. In particular, the paper assesses the impact of return predictability on portfolio choice for a multi-period investor with a coefficient of relative risk aversion of 4. Compared to the investor's allocation in her last period, return predictability with dividend yield causes the investor early in life to tilt away from high book-to-market stocks and away from small stocks. Abnormal returns relative to the investor's optimal early-life portfolio are also calculated. These abnormal returns are found to exhibit the same cross-sectional patterns as abnormal returns calculated relative to the market portfolio: higher for small than large firms, and higher for high than low book-to-market firms. Thus, hedging demand may be a partial explanation for the high expected returns documented empirically for small firms and high book-to-market firms. However, even with this hedging demand, the investor wants to short-sell the low book-to market portfolio to hold the high book-to-market portfolio. The utility costs of using a value-weighted equity index or of ignoring predictability are also calculated. An investor using a value-weighted equity index would give up a much larger fraction of her wealth to have access to book-to-market portfolios than size portfolios. Finally, while an investor would give up a much larger fraction of her wealth to have access to dividend yield information than term spread information, term spread does have incremental benefits over and above just using dividend yield alone.
Author : Michael W. Brandt
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (2 download)
Download or read book A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning about Return Predictability written by Michael W. Brandt and published by . This book was released on 2004 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We present a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a large number of state variables with potentially path-dependent or non-stationary dynamics. The method is flexible enough to accommodate intermediate consumption, portfolio constraints, parameter and model uncertainty, and learning. We first establish the properties of the method for the portfolio choice between a stock index and cash when the stock returns are either iid or predictable by the dividend yield. We then explore the problem of an investor who takes into account the predictability of returns but is uncertain about the parameters of the data generating process. The investor chooses the portfolio anticipating that future data realizations will contain useful information to learn about the true parameter values"--National Bureau of Economic Research web site.
Author : Yoel Lax
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (244 download)
Download or read book Habit Formation and Lifetime Portfolio Selection written by Yoel Lax and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A life cycle model in which an investor (a) faces i.i.d. asset returns, (b) receives no non-asset income, and (c) has an iso-elastic period utility function, predicts that the investor will allocate a constant fraction of his wealth to risky securities over his lifetime. This result is at odds with both economic intuition and the empirical evidence on asset allocation of individuals. In this work we investigate the effect that habit formation has on life cycle portfolio allocation. This amounts to relaxing assumption (c) by making period utility dependent on past consumption. We derive the optimal consumption and investment policies for a finitely-lived investor in discrete time and find that habit formation can explain increasingly conservative as well as hump-shaped investment patterns over the life cycle, both of which have been documented empirically. The crucial element determining which pattern obtains is the initial habit of a young investor. Furthermore we find that habit formation induces much stronger life cycle effects than those obtained by relaxing either assumptions (a) or (b): Return predictability is of negligible importance in a habit formation model, and labor income alone cannot generate hump-shaped investment patterns. Next we show that our basic results are robust to whether habit formation is introduced into the utility function as a difference or ratio, and to whether the habit stock consists of only one lag or a distributed lag of consumption. In contrast, the endogeneity of habit is crucial to our results--a model with a constant subsistence level, which is nested in our more general model, cannot produce the same life cycle investment patterns. Finally, we show that a continuous-time version of our habit model yields qualitatively different results.
Author : Harry Markowitz
Publisher : Yale University Press
ISBN 13 : 0300013728
Total Pages : 369 pages
Book Rating : 4.3/5 ( download)
Download or read book Portfolio Selection written by Harry Markowitz and published by Yale University Press. This book was released on 2008-10-01 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.
Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author : Dragon Yongjun Tang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Potential Losses from Incorporating Return Predictability Into Portfolio Allocation written by Dragon Yongjun Tang and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The extant literature demonstrates the importance of stock return predictability for portfolio allocation. The usefulness of incorporating return predictability into portfolio decisions is most evident for Bayesian investors who build their portfolios based on their prior beliefs. I show that the magnitude of economic significance of stock return predictability largely depends on the choice of prior beliefs. An investor could suffer substantial utility loss when he delegates portfolio management to a manager with a different belief about stock return predictability. The consideration of Bayesian prior robustness in portfolio analysis can be as important as return predictability itself.
Author : Guangjie Li
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (645 download)
Download or read book The Horizon Effect of Stock Return Predictability and Model Uncertainty on Portfolio Choice written by Guangjie Li and published by . This book was released on 2009 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Abhay Abhyankar
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Optimal Use of Return Predictability written by Abhay Abhyankar and published by . This book was released on 2019 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we investigate the empirical performance of unconditionally efficient portfolios strategies for a number of commonly used predictive variables. These strategies, which optimally utilize asset return predictability in portfolio formation were studied by Hansen and Richard (1987) and Ferson and Siegel (2001). Our criterion is to maximize various ex-post performance measures and we conduct both in-sample as well as out-of-sample analysis. Our analysis allows us to determine the economic value of using different predictor variables and also groups of predictor variables.Overall we find that the optimal use of conditioning information significantly improves the risk-return tradeoff available to a mean-variance investor relative to fixed weight strategies. These findings are consistent across portfolio efficiency measures such as Sharpe ratios, portfolio variance subject to a mean constraint or portfolio mean subject to a volatility constraint as well as measures of economic value such as switching costs.In addition we also compare the performance of the unconditionally efficient strategies with conditionally efficient strategies from an investment-based perspective. We find that the performance of the two strategies is quite different due to the differing response of the portfolio weights of the two strategies to conditioning information.
Author : Harry M. Markowitz
Publisher : John Wiley & Sons
ISBN 13 : 9781883249755
Total Pages : 404 pages
Book Rating : 4.2/5 (497 download)
Download or read book Mean-Variance Analysis in Portfolio Choice and Capital Markets written by Harry M. Markowitz and published by John Wiley & Sons. This book was released on 2000-02-15 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1952, Harry Markowitz published "Portfolio Selection," a paper which revolutionized modern investment theory and practice. The paper proposed that, in selecting investments, the investor should consider both expected return and variability of return on the portfolio as a whole. Portfolios that minimized variance for a given expected return were demonstrated to be the most efficient. Markowitz formulated the full solution of the general mean-variance efficient set problem in 1956 and presented it in the appendix to his 1959 book, Portfolio Selection. Though certain special cases of the general model have become widely known, both in academia and among managers of large institutional portfolios, the characteristics of the general solution were not presented in finance books for students at any level. And although the results of the general solution are used in a few advanced portfolio optimization programs, the solution to the general problem should not be seen merely as a computing procedure. It is a body of propositions and formulas concerning the shapes and properties of mean-variance efficient sets with implications for financial theory and practice beyond those of widely known cases. The purpose of the present book, originally published in 1987, is to present a comprehensive and accessible account of the general mean-variance portfolio analysis, and to illustrate its usefulness in the practice of portfolio management and the theory of capital markets. The portfolio selection program in Part IV of the 1987 edition has been updated and contains exercises and solutions.
