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Author : David Andrew Burke
Publisher :
ISBN 13 :
Total Pages : 111 pages
Book Rating : 4.:/5 (66 download)
Download or read book The Stock-bond Correlation and Its Implications for Asset Allocation written by David Andrew Burke and published by . This book was released on 1993 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Favoured Mogbolu
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)
Download or read book Time-Varying Stock-Bond Correlation written by Favoured Mogbolu and published by . This book was released on 2017 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The pattern of correlation between stocks and bonds has important implications for optimal cross-market asset allocation decisions, and risk management strategies by investors. Earlier empirical studies assumed a constant stock-bond correlation. An increasing number of recent studies however, are of the view that the relation exhibits substantial time-variation. This study explores the information in daily correlations, to ascertain the extent and pattern of timevariation with the aim of deriving evidence on time-variation over short periods. The empirical methodology involved statistical inference in conjunction with quantile analysis, using the rolling window sample correlation method. This methodology provides evidence on the statistical importance of the correlation changes, and also facilitates information on timevariation over short periods from the distribution of conditional daily correlations. The study found substantial changes in sizes and signs in the daily correlations. We conclude that there is substantial time-variation in the value of daily correlations. Specifically, the daily correlation changes and takes on high positive and negative values relative to a low historical value. The important implication of frequent change in the correlation is that the hedging benefits from asset portfolios allocated over stock and bonds is subject to frequent changes, as a result portfolio managers approach to evaluating and managing portfolio risk should be dynamic.
Author : William Kinlaw
Publisher : John Wiley & Sons
ISBN 13 : 1119817714
Total Pages : 375 pages
Book Rating : 4.1/5 (198 download)
Download or read book Asset Allocation written by William Kinlaw and published by John Wiley & Sons. This book was released on 2021-07-27 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover a masterful exploration of the fallacies and challenges of asset allocation In Asset Allocation: From Theory to Practice and Beyond—the newly and substantially revised Second Edition of A Practitioner’s Guide to Asset Allocation—accomplished finance professionals William Kinlaw, Mark P. Kritzman, and David Turkington deliver a robust and insightful exploration of the core tenets of asset allocation. Drawing on their experience working with hundreds of the world’s largest and most sophisticated investors, the authors review foundational concepts, debunk fallacies, and address cutting-edge themes like factor investing and scenario analysis. The new edition also includes references to related topics at the end of each chapter and a summary of key takeaways to help readers rapidly locate material of interest. The book also incorporates discussions of: The characteristics that define an asset class, including stability, investability, and similarity The fundamentals of asset allocation, including definitions of expected return, portfolio risk, and diversification Advanced topics like factor investing, asymmetric diversification, fat tails, long-term investing, and enhanced scenario analysis as well as tools to address challenges such as liquidity, rebalancing, constraints, and within-horizon risk. Perfect for client-facing practitioners as well as scholars who seek to understand practical techniques, Asset Allocation: From Theory to Practice and Beyond is a must-read resource from an author team of distinguished finance experts and a forward by Nobel prize winner Harry Markowitz.
Author : Lingfeng Li
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (129 download)
Download or read book Macroeconomic Factors and the Correlation of Stock and Bond Returns written by Lingfeng Li and published by . This book was released on 2003 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the correlation between stock and bond returns. It first documents that the major trends in stock-bond correlation for G7 countries follow a similar reverting pattern in the past forty years. Next, an asset pricing model is employed to show that the correlation of stock and bond returns can be explained by their common exposure to macroeconomic factors. The link between the stock-bond correlation and macroeconomic factors is examined using three successively more realistic formulations of asset return dynamics. Empirical results indicate that the major trends in stock-bond correlation are determined primarily by uncertainty about expected inflation. Unexpected inflation and the real interest rate are significant to a lesser degree. Forecasting this stock-bond correlation using macroeconomic factors also helps improve investors' asset allocation decisions. One implication of this link between trends in stock-bond correlation and inflation risk is the Murphy's Law of Diversification: Diversification opportunities are least available when they are most needed.
Author : David A. Hammer
Publisher :
ISBN 13 :
Total Pages : 362 pages
Book Rating : 4.4/5 (91 download)
Download or read book Dynamic Asset Allocation written by David A. Hammer and published by . This book was released on 1991-04-25 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes an examination of traditional asset allocation methods, why they do and do not work, and which elements can be used in overseeing the professional's own portfolio. In addition, the author introduces his own proven method of portfolio management and asset allocation strategies--the ``7-Step System''--using simple statistical techniques to forecast stock, bond, commodity, and money market returns. Free of complex mathematics, charts, graphs, and technical jargon, this is a highly readable guide to getting the most from today's sophisticated investment techniques.
Author : Haim Levy
Publisher : World Scientific
ISBN 13 : 9811250162
Total Pages : 494 pages
Book Rating : 4.8/5 (112 download)
Download or read book Stocks, Bonds, And The Investment Horizon: Decision-making For The Long Run written by Haim Levy and published by World Scientific. This book was released on 2022-04-28 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: A century ago, life expectancy was roughly 40 years, hence all income could be consumed, as for most people, there was no need to save for retirement. Today, things have drastically changed: Life expectancy exceeds 80 years in many countries, and one should expect to live and consume many years after retirement. Thus, we have many investors with various investment horizons, where the length of the investment horizon becomes a crucial factor in determining the best investment diversification.This book analyzes the effect of the investment horizon on the optimal diversification, specifically between stocks and bonds: Should a young investor and an older investor have the same portfolio? Is it recommended to savers for retirement to change the asset allocation between stocks and bonds as they grow older, as life cycle mutual funds do in practice? Is the idiom 'stocks for the long run' backed by scientific evidence? We analyze for which horizons it is recommended to employ the popular Mean-Variance rule and for which horizons employing this rule induces an economic distortion, hence a loss to the investors. It is shown that all relevant parameters for investment choice (means, variances, and correlations) change in a non-linear way with the horizon, a fact that makes the investment horizon crucial for investment choices. Similarly, the popular Sharpe, Treynor, and Jensen performance indices vary with the assumed horizon even in the case of independence over time. To analyze all the above issues, we employ the Mean-Variance rule and Stochastic Dominance rules, as well as direct expected utility calculations.
Author : Vasant Naik
Publisher : CFA Institute Research Foundation
ISBN 13 : 1944960155
Total Pages : 192 pages
Book Rating : 4.9/5 (449 download)
Download or read book Factor Investing and Asset Allocation: A Business Cycle Perspective written by Vasant Naik and published by CFA Institute Research Foundation. This book was released on 2016-12-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Qurat ul Ain Ehtesham
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)
Download or read book Analyzing Stock-Bond Correlation in Emerging Markets written by Qurat ul Ain Ehtesham and published by . This book was released on 2020 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigated stock-bond correlation in 17 countries of emerging markets (i.e. Czech Republic, Egypt, Greece, Hungary, Poland, Russia, Turkey, Israel, China, India, Indonesia, South Korea, Malaysia, Pakistan, Philippines, Taiwan, Thailand) during 2011 to 2018 using monthly price data. Data were analyzed using the ARCH-LM test, GJR GARCH and Multivariate GARCH type Asymmetric DCC model. Finding of this paper revealed that sequence of return series are stationary contains white noise error, past return volatilities does not have the ability to predict future volatilities and conditional volatility is higher and negative momentum of the market increase the correlation of stock and bond in a country or vice versa and hence increase the diversification benefit for asset allocation in a portfolio construction and provide hedging assets characteristics among countries and it is verified that there is a co-movement between stock and bond in a country of emerging markets.
Author : Liu Xinyi
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (13 download)
Download or read book Stock-Bond Correlation and Duration Risk Allocation written by Liu Xinyi and published by . This book was released on 2017 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using weekly stock-bond correlations estimated with high-frequency data, the authors find that a lower (more negative) stock-bond correlation forecasts falling 10 -year interest rates over the coming weeks, and it also forecasts a falling 1-year interest rates over the next year. The reverse is true when the stock-bond correlation is higher (more positive). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the recent stock-bond correlations are lower. The authors propose two possible explanations of such predictive power: (1) the markets and/or policymakers' under-reaction to the changing economic conditions implied by the stock-bond correlation; and (2) the markets' initial under-reaction to the long-term bonds' safe-haven status.At the end of the article, we update the information until end of March 2017, and we also provide an URL in the article for live update.
Author : Ramazan Gençay
Publisher : Elsevier
ISBN 13 : 0080509223
Total Pages : 383 pages
Book Rating : 4.0/5 (85 download)
Download or read book An Introduction to Wavelets and Other Filtering Methods in Finance and Economics written by Ramazan Gençay and published by Elsevier. This book was released on 2001-10-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. - The first book to present a unified view of filtering techniques - Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series - Provides easy access to a wide spectrum of parametric and non-parametric filtering methods
Author : Mr.A. Javier Hamann
Publisher : International Monetary Fund
ISBN 13 : 1451961774
Total Pages : 28 pages
Book Rating : 4.4/5 (519 download)
Download or read book Correlations in Emerging Market Bonds written by Mr.A. Javier Hamann and published by International Monetary Fund. This book was released on 2010-01-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.
Author : Farouk Jivraj
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (13 download)
Download or read book Stock-Bond Correlation and Out-of-Sample Portfolio Performance Using Analyst Forecasts written by Farouk Jivraj and published by . This book was released on 2017 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper I examine whether one can use analyst forecasts of macroeconomic variables to improve investors ex-ante allocation of wealth between stocks and bonds. Such forecasts provide a forward-looking approach which I find improves investor's information set for the myopic stock-bond portfolio. In-sample I find that the best forecast of the volatility and correlation is simply the previous realised estimate. However, out-of-sample, analyst forecasts provide information not contained in historical/realised data which improves investors' diversification benefits. Out-of-sample performance is evaluated using five metrics: volatility, Sharpe ratio, certainty-equivalent return, turnover and opportunity cost. For minimum-variance portfolios formed using analyst forecasts, although the volatility of the portfolios increase, the Sharpe ratios substantially increase compared with an equally-weighted portfolio. Whilst the portfolio turnover is higher, the certainty equivalent (riskless return investor would accept to forego risky strategy) is also larger. I find that the opportunity cost, which measures the economic value of timing stock-bond correlation using analyst forecasts is 1.56% annually. Robustness checks highlight the use of analyst forecasts during the financial crisis, substantially improving the stock-bond portfolio performance versus other methods. Also, the benefits of these forecasts seem to persist across time horizon: for different holding periods, those portfolios formed using analyst forecasts consistently outperform all other methods.
Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author : Richard A. Ferri
Publisher : McGraw Hill Professional
ISBN 13 : 0071759514
Total Pages : 353 pages
Book Rating : 4.0/5 (717 download)
Download or read book All About Asset Allocation, Second Edition written by Richard A. Ferri and published by McGraw Hill Professional. This book was released on 2010-07-12 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: WHEN IT COMES TO INVESTING FOR YOUR FUTURE, THERE'S ONLY ONE SURE BET—ASSET ALLOCATION THE EASY WAY TO GET STARTED Everything You Need to Know About How To: Implement a smart asset allocation strategy Diversify your investments with stocks, bonds,real estate, and other classes Change your allocation and lock in gains Trying to outwit the market is a bad gamble. If you're serious about investing for the long run, you have to take a no-nonsense, businesslike approach to your portfolio. In addition to covering all the basics, this new edition of All About Asset Allocation includes timely advice on: Learning which investments work well together and why Selecting the right mutual funds and ETFs Creating an asset allocation that’s right for your needs Knowing how and when to change an allocation Understanding target-date mutual funds "All About Asset Allocation offers advice that is both prudent and practical--keep it simple, diversify, and, above all, keep your expenses low--from an author who both knows how vital asset allocation is to investment success and, most important, works with real people." -- John C. Bogle, founder and former CEO, The Vanguard Group "With All About Asset Allocation at your side, you'll be executing a sound investment plan, using the best materials and wearing the best safety rope that money can buy." -- William Bernstein, founder and author, The Intelligent Asset Allocator
Author : Heinz Zimmermann
Publisher : John Wiley & Sons
ISBN 13 : 047144555X
Total Pages : 340 pages
Book Rating : 4.4/5 (714 download)
Download or read book Global Asset Allocation written by Heinz Zimmermann and published by John Wiley & Sons. This book was released on 2003-02-03 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.
Author : Robert D. Arnott
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 448 pages
Book Rating : 4.X/5 (4 download)
Download or read book Active Asset Allocation written by Robert D. Arnott and published by Irwin Professional Publishing. This book was released on 1992 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: No issue is more critical to institutional investors than asset allocation. In today's volatile and increasingly global financial markets, asset mix and portfolio allocation are ever more important. However, the term asset allocation means different things to different people in different contexts. Whether policy asset allocation, tactical asset allocation or dynamic strategies for asset allocation, the policies and tactics are designed to reshape the return distribution. Because there are a number of decisions to make and issues to evaluate when reviewing asset allocation, this authoritative text assembles some of the best thinking in the investment world today on the subject of asset allocation. In Active Asset Allocation, pension sponsors, endowment and foundation managers and portfolio managers will find answers to many of the perplexing problems of assessing and managing the asset mix. Editors Robert D. Arnott and Frank J. Fabozzi, joined by a host of eminent practitioners and theoreticians, focus on the many dimensions of the asset allocation decision, tactical asset allocation and the risks associated with active asset allocation. Completely revised to reflect the latest thinking, Active Asset Allocation updates the ground-breaking material that made the first edition a critically acclaimed best-seller. Some of these current thoughts on asset allocation are communicated through a comprehensive series of chapters, including Managing the Asset Mix; Asset Performance and Surplus Control; Risk-Adjusted Surplus; Tax Consequences of Trading; A Disciplined Approach to Global Asset Allocation; Does Tactical Asset Allocation Work? and At Last, a Rational Case forLong-Horizon Risk Tolerance and for Asset Allocation Timing?
Author : Richard E. Oberuc
Publisher : McGraw Hill Professional
ISBN 13 : 9780071426695
Total Pages : 344 pages
Book Rating : 4.4/5 (266 download)
Download or read book Dynamic Portfolio Theory and Management written by Richard E. Oberuc and published by McGraw Hill Professional. This book was released on 2004 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description
