Research Insight - Risk and Return of Factor Portfolios
... Table 2: Time-series (return) correlation of the four families of factor portfolios, USE4 Model, July 1995 to September 2012. ...
... Table 2: Time-series (return) correlation of the four families of factor portfolios, USE4 Model, July 1995 to September 2012. ...
Risk Analysis of Collateralized Debt Obligations
... applications, including the estimation of profit and loss distributions for positions in multiple tranches of a CDO. These distributions quantify and differentiate the risk exposure of alternative investment positions, and the impact of complex contract features. They are preferable to agency ratin ...
... applications, including the estimation of profit and loss distributions for positions in multiple tranches of a CDO. These distributions quantify and differentiate the risk exposure of alternative investment positions, and the impact of complex contract features. They are preferable to agency ratin ...
Prospective Interest Rate Differential and Currency Returns
... expected to depreciate by the interest rate differential between the foreign and domestic risk free rates. Numerous empirical studies strongly reject the UIP (Fama (1984), Hodrick and Srivastava (1984)) and find that the expected depreciation rate of a high interest rate currency is at best weakly r ...
... expected to depreciate by the interest rate differential between the foreign and domestic risk free rates. Numerous empirical studies strongly reject the UIP (Fama (1984), Hodrick and Srivastava (1984)) and find that the expected depreciation rate of a high interest rate currency is at best weakly r ...
Xinfu Chen Mathematical Finance II - Pitt Mathematics
... take care of Jesse’s investment. So at the beginning of the period, John received $10,000 cash from Jesse who instructed John to make investment on her behalf on a one period investment on Stone’s stock. By this, Jesse means John has to give her the cash price of 100 shares of Stone Inc. stock at th ...
... take care of Jesse’s investment. So at the beginning of the period, John received $10,000 cash from Jesse who instructed John to make investment on her behalf on a one period investment on Stone’s stock. By this, Jesse means John has to give her the cash price of 100 shares of Stone Inc. stock at th ...
Stock Return Serial Dependence and Out-of
... EDHEC pursues an active research policy in the field of finance. EDHEC-Risk Institute carries out numerous research programmes in the areas of asset allocation and risk management in both the traditional and alternative investment universes. Copyright © 2013 EDHEC ...
... EDHEC pursues an active research policy in the field of finance. EDHEC-Risk Institute carries out numerous research programmes in the areas of asset allocation and risk management in both the traditional and alternative investment universes. Copyright © 2013 EDHEC ...
“Idiosyncratic Risk, Systematic Risk, and Firm Welfare”
... A key assumption of our analysis is that while all M investors know about the market portfolio and risk-free asset as investment opportunities, only a subset N of the M investors can trade in the …rm’s shares. In his widely cited paper, Merton (1987) uses two criteria to characterize investors’knowl ...
... A key assumption of our analysis is that while all M investors know about the market portfolio and risk-free asset as investment opportunities, only a subset N of the M investors can trade in the …rm’s shares. In his widely cited paper, Merton (1987) uses two criteria to characterize investors’knowl ...
schroders liquid alternatives br en
... and enhance returns through the use of borrowed capital. In the case of liquid alternatives this is achieved through the use of derivative instruments. Leverage can be applied on both the long side and the short side and, when managed carefully, can be an effective technique for magnifying the retur ...
... and enhance returns through the use of borrowed capital. In the case of liquid alternatives this is achieved through the use of derivative instruments. Leverage can be applied on both the long side and the short side and, when managed carefully, can be an effective technique for magnifying the retur ...
Liquidity risk, Leverage and Long
... replaced by bringing back the first future book value observation (maximum of two years out). While this is the standard procedure in the extant literature, it carries with it a survivorship bias. The second part of Panel (B) Table 2 computes BHR and BHAR free of this survivorship bias. ...
... replaced by bringing back the first future book value observation (maximum of two years out). While this is the standard procedure in the extant literature, it carries with it a survivorship bias. The second part of Panel (B) Table 2 computes BHR and BHAR free of this survivorship bias. ...
Select Risk Profile Portfolios – quarterly investment report
... For the UK, this quarter was still all about Brexit with a vote in parliament that gave the government permission to begin exiting the European Union. Theresa May signed Article 50 at the end of March, as the Scottish National Party demanded a second Scottish independence referendum. Meanwhile, the ...
... For the UK, this quarter was still all about Brexit with a vote in parliament that gave the government permission to begin exiting the European Union. Theresa May signed Article 50 at the end of March, as the Scottish National Party demanded a second Scottish independence referendum. Meanwhile, the ...
Heterogeneity and Portfolio Choice: Theory and
... framework, it must be accounted for by heterogeneity in preferences, heterogeneity in circumstances, or a combination of the two. The recent literature on portfolio choice has emphasized both of these possibilities. Heterogeneity in circumstances encompasses a wide range of potential explanatory fac ...
... framework, it must be accounted for by heterogeneity in preferences, heterogeneity in circumstances, or a combination of the two. The recent literature on portfolio choice has emphasized both of these possibilities. Heterogeneity in circumstances encompasses a wide range of potential explanatory fac ...
OPTIMAL PORTFOLIO UNDER VaR AND ES 1. Introduction
... and ES of the optimal investment strategy in selected European markets (both well developed and emerging markets as well). The ex post analysis provides us with a series of optimal portfolios; this series is analyzed. This is done in order to verify whether the extent of market capitalization or the ...
... and ES of the optimal investment strategy in selected European markets (both well developed and emerging markets as well). The ex post analysis provides us with a series of optimal portfolios; this series is analyzed. This is done in order to verify whether the extent of market capitalization or the ...
Risk premia in general equilibrium
... fail, however, when it comes to the effects of uncertainty. This paper contributes to the literature on the determinants of the risk premium, that is the rewards that investors demand for bearing particular risks (Campbell 2000). There has been a long discussion since Rietz (1988) proposed the ‘rare ...
... fail, however, when it comes to the effects of uncertainty. This paper contributes to the literature on the determinants of the risk premium, that is the rewards that investors demand for bearing particular risks (Campbell 2000). There has been a long discussion since Rietz (1988) proposed the ‘rare ...
More Finance Questions
... ____ 23. Historically the return on stocks has been higher than the return on bonds. In part this reflects the higher risk from holding stock. ____ 24. Risk-averse persons will take no risks. ____ 25. The market for insurance is one example of reducing risk by using diversification. ____ 26. A perso ...
... ____ 23. Historically the return on stocks has been higher than the return on bonds. In part this reflects the higher risk from holding stock. ____ 24. Risk-averse persons will take no risks. ____ 25. The market for insurance is one example of reducing risk by using diversification. ____ 26. A perso ...
Multi-Period Trading via Convex Optimization
... frameworks based on solving convex optimization problems [12] that determine the trades to make. We describe the approximations made, and briefly discuss how the methods can be used in practice. Our methods do not give a complete trading system, since we leave a critical part unspecified: Forecastin ...
... frameworks based on solving convex optimization problems [12] that determine the trades to make. We describe the approximations made, and briefly discuss how the methods can be used in practice. Our methods do not give a complete trading system, since we leave a critical part unspecified: Forecastin ...
New Investment Portfolios
... Cap Value Portfolio which seeks to achieve long-term capital appreciation. The portfolio seeks to capture the returns and diversification benefits of a broad crosssection of US value companies with market capitalizations within the largest 90% of the market universe. T. Rowe Price Large-Cap Growth 5 ...
... Cap Value Portfolio which seeks to achieve long-term capital appreciation. The portfolio seeks to capture the returns and diversification benefits of a broad crosssection of US value companies with market capitalizations within the largest 90% of the market universe. T. Rowe Price Large-Cap Growth 5 ...
References - Marriott School
... This study investigates how company air pollution emissions and the associated health impact (cancer risk) are reflected in the cross section of stock returns when other return impacting variables are isolated from pollution and health effects. Rather than the usual multivariate regression models us ...
... This study investigates how company air pollution emissions and the associated health impact (cancer risk) are reflected in the cross section of stock returns when other return impacting variables are isolated from pollution and health effects. Rather than the usual multivariate regression models us ...
The buck stops here: Vanguard money market funds Factor
... It’s important to note, however, that not all factor exposures are expected to earn a return premium over the long term. That is, factor exposures can be compensated or uncompensated, a critical distinction in any factor-based investing framework. The market factor, for example, has historically ear ...
... It’s important to note, however, that not all factor exposures are expected to earn a return premium over the long term. That is, factor exposures can be compensated or uncompensated, a critical distinction in any factor-based investing framework. The market factor, for example, has historically ear ...
An Efficient Factor from Basis “Anomalies”
... SMB, HML, MOM, RMW, CMA, qME, qIA, qROE, QMJ, LIQ for different combinations of 147 test assets. The efficient factor is priced at the firm-level with more than 12% per year spread that cannot be explained by the existing models. Analytically, “anomalous” predictabilities are equivalent to 1-factor ...
... SMB, HML, MOM, RMW, CMA, qME, qIA, qROE, QMJ, LIQ for different combinations of 147 test assets. The efficient factor is priced at the firm-level with more than 12% per year spread that cannot be explained by the existing models. Analytically, “anomalous” predictabilities are equivalent to 1-factor ...