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Three Essays On The Effect Of Learning And Predictability On Optimal Dynamic Portfolio Strategies And Asset Prices
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Book Synopsis Three Essays on the Effect of Learning and Predictability on Optimal Dynamic Portfolio Strategies and Asset Prices by : Yihong Xia
Download or read book Three Essays on the Effect of Learning and Predictability on Optimal Dynamic Portfolio Strategies and Asset Prices written by Yihong Xia and published by . This book was released on 2002 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on the Effect of Learning and Predictability on Optimal Dynamic Portfolio Strategies and Asset Prices by : Yihong Xia
Download or read book Three Essays on the Effect of Learning and Predictability on Optimal Dynamic Portfolio Strategies and Asset Prices written by Yihong Xia and published by . This book was released on 2000 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2009-11 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Return Predictability and Decentralized Investment Management by : Dashan Huang
Download or read book Three Essays on Return Predictability and Decentralized Investment Management written by Dashan Huang and published by . This book was released on 2013 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: My research field is asset pricing with a focus on return predictability, innovation and market efficiency, and delegated investment management. In Chapter 1, "Maximum Return Predictability", I develop two theoretical upper bounds on the R2 of the regression of stock returns on predictive variables. Empirically, I found that the predictive R2s are significantly larger than the upper bounds, implying that existing asset pricing models are incapable of explaining the degree of return predictability. For example, the predictive R2 of the price dividend ratio for the U.S. market forecasting is 0.27% with monthly data. However, the theoretical upper bound is at most 0.07% with respect to CAPM, Fama-French three-factor model, CARA, habitat-formation model, long-run risk model, or rare disaster model. The finding of this paper suggests the development of new asset pricing models with new state variables that are highly correlated with stock returns. Recently, several papers found that the predictive power of almost all the existing macroeconomic variables exists only during economic recessions but does not exist over economic expansions. There perhaps have two reasons. First, existing predictors are individual economic variables and cannot capture the dynamics of the whole market. Second, the recognized predictive regression does not distinguish the varying ability of macro variables in forecasting the financial market. In Chapter 2, "Economic and Market Conditions: Two State Variables that Predict the Stock Market," Guofu Zhou and I identify two new predictors that capture the state of the economy and the state of the market condition, and found that the forecast of the market risk premium by the two predictors outperform a pooled forecast of dozens of existing predictors. Moreover, they forecast the stock market not only during down turns of the economy, but also during the up turns when other predictors fail. In decentralized investment management, there is always a friction between the principal and the manager. In Chapter 3, "The Servant of Two Masters: A Common Agency Explanation for Side-by-Side Management," I present a common agency model to study side-by-side (SBS) management in which a manager simultaneously manages two funds and separately contracts with the two different fund principals. The contracting is decentralized and includes two types of externalities: the manager's efforts are substitutable and the performance in one fund can generate a spillover effect on the other fund. The two principals can choose competition or free-riding. Under public contracting, competition is more likely to dominate free-riding. Under private contracting, however, free-riding becomes more important. In either case, SBS could generate better performance than standalone management.
Book Synopsis Dynamic Analysis in Complex Economic Environments by : Herbert Dawid
Download or read book Dynamic Analysis in Complex Economic Environments written by Herbert Dawid and published by Springer Nature. This book was released on 2020-12-22 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyses decision-making in dynamic economic environments. By applying a wide range of methodological approaches, combining both analytical and computational methods, the contributors examine various aspects of optimal firm behaviour and relevant policy areas. Topics covered include optimal control, dynamic games, economic decision-making, and applications in finance and economics, as well as policy implications in areas such as pollution regulation. This book is dedicated to Christophe Deissenberg, a well-known and distinguished scholar of economic dynamics and computational economics. It appeals to academics in the areas of optimal control, dynamic games and computational economics as well as to decision-makers working in policy domains such as environmental policy.
Book Synopsis Artificial Intelligence in Asset Management by : Söhnke M. Bartram
Download or read book Artificial Intelligence in Asset Management written by Söhnke M. Bartram and published by CFA Institute Research Foundation. This book was released on 2020-08-28 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.
Book Synopsis Three Essays on the Impact of Heterogeneous Information on Stock Price Predictability by : Christoph Winter
Download or read book Three Essays on the Impact of Heterogeneous Information on Stock Price Predictability written by Christoph Winter and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Can Long-Run Dynamic Optimal Strategies Outperform Fixed-Mix Portfolios? Evidence from Multiple Data Sets by : Daniele Bianchi
Download or read book Can Long-Run Dynamic Optimal Strategies Outperform Fixed-Mix Portfolios? Evidence from Multiple Data Sets written by Daniele Bianchi and published by . This book was released on 2019 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using five alternative data sets and a range of specifications concerning the underlying linear predictability models, we study whether long-run dynamic optimizing portfolio strategies may actually outperform simpler benchmarks in out-of-sample tests. The dynamic portfolio problems are solved using a combination of dynamic programming and Monte Carlo methods. The benchmarks are represented by two typical fixed mix strategies: the celebrated equally-weighted portfolio and a myopic, Markowitz-style strategy that fails to account for any predictability in asset returns. Within a framework in which the investor maximizes expected HARA (constant relative risk aversion) utility in a frictionless market, our key finding is that there are enormous differences in optimal long-horizon (in-sample) weights between the mean-variance benchmark and the optimal dynamic weights. In out-of-sample comparisons, there is however no clear-cut, systematic, evidence that long-horizon dynamic strategies outperform naively diversified portfolios.
Book Synopsis Three Essays on the Volatility of Asset Prices by : Dal-Hee Lee
Download or read book Three Essays on the Volatility of Asset Prices written by Dal-Hee Lee and published by . This book was released on 1983 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on the Effect of Market Imperfections on Asset Prices and Investor Behavior by : Alan Douglas White
Download or read book Three Essays on the Effect of Market Imperfections on Asset Prices and Investor Behavior written by Alan Douglas White and published by . This book was released on 1987 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Book Synopsis Three Essays on Financial Market Predictability by : Haojun Chen
Download or read book Three Essays on Financial Market Predictability written by Haojun Chen and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Deep Learning, Predictability, and Optimal Portfolio Returns by : Mykola Babiak
Download or read book Deep Learning, Predictability, and Optimal Portfolio Returns written by Mykola Babiak and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Numerical Methods and Optimization in Finance by : Manfred Gilli
Download or read book Numerical Methods and Optimization in Finance written by Manfred Gilli and published by Academic Press. This book was released on 2019-08-16 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computationally-intensive tools play an increasingly important role in financial decisions. Many financial problems—ranging from asset allocation to risk management and from option pricing to model calibration—can be efficiently handled using modern computational techniques. Numerical Methods and Optimization in Finance presents such computational techniques, with an emphasis on simulation and optimization, particularly so-called heuristics. This book treats quantitative analysis as an essentially computational discipline in which applications are put into software form and tested empirically. This revised edition includes two new chapters, a self-contained tutorial on implementing and using heuristics, and an explanation of software used for testing portfolio-selection models. Postgraduate students, researchers in programs on quantitative and computational finance, and practitioners in banks and other financial companies can benefit from this second edition of Numerical Methods and Optimization in Finance. Introduces numerical methods to readers with economics backgrounds Emphasizes core simulation and optimization problems Includes MATLAB and R code for all applications, with sample code in the text and freely available for download
Book Synopsis Information Structure, Optimal Dynamic Portfolio Strategies, and the Intensity of Trading by : Jie Wu
Download or read book Information Structure, Optimal Dynamic Portfolio Strategies, and the Intensity of Trading written by Jie Wu and published by . This book was released on 1991 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Sequential Learning, Predictability, and Optimal Portfolio Returns by : Michael S. Johannes
Download or read book Sequential Learning, Predictability, and Optimal Portfolio Returns written by Michael S. Johannes and published by . This book was released on 2013 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper finds statistically and economically significant out-of-sample portfolio benefits for an investor who uses models of return predictability when forming optimal portfolios. The key is that investors must incorporate an ensemble of important features into their optimal portfolio problem, including time-varying volatility, and time-varying expected returns driven by improved predictors such as measures of yield that include share repurchase and issuance in addition to cash payouts. Moreover, investors need to account for estimation risk when forming optimal portfolios. Prior research documents a lack of benefits to return predictability, and our results suggest that this is largely due to omitting time-varying volatility and estimation risk. We also study the learning problem of investors, documenting the sequential process of learning about parameters, state variables, and models as new data arrives.
Book Synopsis Empirical Asset Pricing by : Wayne Ferson
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.
