Transferring Portfolio Selection Theory to Customer Portfolio
... 3.1 Transferability of Portfolio Selection Theory to customer relationships The basic condition that an investment generates some kind of return which is uncertain is fulfilled for financial assets as well as for customers considered as assets. Besides this, there are a number of assumptions that co ...
... 3.1 Transferability of Portfolio Selection Theory to customer relationships The basic condition that an investment generates some kind of return which is uncertain is fulfilled for financial assets as well as for customers considered as assets. Besides this, there are a number of assumptions that co ...
Over/Under-Reaction of Stock Markets
... following the portfolio formation date Test riskiness of the strategy and about whether the profits are due to overreaction or underreaction Are higher than average unconditional returns either because of their risk or for other reasons such as differential tax exposures? Significant negative return ...
... following the portfolio formation date Test riskiness of the strategy and about whether the profits are due to overreaction or underreaction Are higher than average unconditional returns either because of their risk or for other reasons such as differential tax exposures? Significant negative return ...
Using out-of-sample errors in portfolio optimization
... risk and expected return of a set of stocks. He estimates in a historical sample the betas of each stock with respect to each factor, their alphas and the correlation of residuals between all stocks in the universe. But as the figure shows all of these inputs regress considerably to the mean in the ...
... risk and expected return of a set of stocks. He estimates in a historical sample the betas of each stock with respect to each factor, their alphas and the correlation of residuals between all stocks in the universe. But as the figure shows all of these inputs regress considerably to the mean in the ...
Sustainable Withdrawal Rates From Your Retirement Portfolio
... Other studies have taken a more academic approach. Ho, Milevsky, and Robinson (1994) developed an analytical model to determine the optimal allocation between a risky and risk-free asset in order to minimize the probability that withdrawals will prematurely exhaust a retirement fund. Using historica ...
... Other studies have taken a more academic approach. Ho, Milevsky, and Robinson (1994) developed an analytical model to determine the optimal allocation between a risky and risk-free asset in order to minimize the probability that withdrawals will prematurely exhaust a retirement fund. Using historica ...
Ambac Presentation
... Ambac’s Current Report on Form 8-K dated March 12, 2008 and in its Annual Report on Form 10-K for the fiscal year ended December 31, 2007 and in and also disclosed from time to time by Ambac in its subsequent reports on Form 10-Q and Form 8-K, which are or will be available on the Ambac web site at ...
... Ambac’s Current Report on Form 8-K dated March 12, 2008 and in its Annual Report on Form 10-K for the fiscal year ended December 31, 2007 and in and also disclosed from time to time by Ambac in its subsequent reports on Form 10-Q and Form 8-K, which are or will be available on the Ambac web site at ...
Return Predictability and Dynamic Asset Allocation: How Often
... To shed light on this issue, we analyze the performance of DAA portfolios constructed from monthly, quarterly, semi-annual, and annual out-of-sample forecasts of U.S. stock, bond, and bill returns. We first evaluate the forecasts over an out-of-sample period from January 1965 to December 2012 and sh ...
... To shed light on this issue, we analyze the performance of DAA portfolios constructed from monthly, quarterly, semi-annual, and annual out-of-sample forecasts of U.S. stock, bond, and bill returns. We first evaluate the forecasts over an out-of-sample period from January 1965 to December 2012 and sh ...
Document
... weight on the most recent events. • What just happened will keep happening. • Events from the past might be less important. Example: an Earthquake occurs. People change their buying habits based on the fact that they recently experienced an earthquake; they might buy too many earthquake supplies eve ...
... weight on the most recent events. • What just happened will keep happening. • Events from the past might be less important. Example: an Earthquake occurs. People change their buying habits based on the fact that they recently experienced an earthquake; they might buy too many earthquake supplies eve ...
Denki-gakkai style
... variables of the risk model are fixed. In mature Japanese and American markets, the accuracy of the model will not drop in the near future. On the other hand, in an emerging market like China whose characteristics are thought to change frequently, the problem of “model staleness” will arise; accordi ...
... variables of the risk model are fixed. In mature Japanese and American markets, the accuracy of the model will not drop in the near future. On the other hand, in an emerging market like China whose characteristics are thought to change frequently, the problem of “model staleness” will arise; accordi ...
Introduction to risk theory and mathematical finance
... The notion of risk in financial investments was not recognized among economists for a long time (although all practitioner usually took it into account. The major step was contribution of Harry Markowith in his PHD thesis. Harry Max Markowitz (born 24 August 1927 in Chicago, Illinois) - an American ...
... The notion of risk in financial investments was not recognized among economists for a long time (although all practitioner usually took it into account. The major step was contribution of Harry Markowith in his PHD thesis. Harry Max Markowitz (born 24 August 1927 in Chicago, Illinois) - an American ...
Beating7 the Benchmark_TM and Market Timing
... where 1 (save for one experiment below), and, for convenience, the expected excess rate of return on the market is taken as time constant, E RM,t = E RM. Thus, wt is a unit-root process.4 Note that if the manager sets = 0, then he rebalances every period to set wt = w0. Alternatively, if the m ...
... where 1 (save for one experiment below), and, for convenience, the expected excess rate of return on the market is taken as time constant, E RM,t = E RM. Thus, wt is a unit-root process.4 Note that if the manager sets = 0, then he rebalances every period to set wt = w0. Alternatively, if the m ...
PDF
... authors analyzed the costs and returns of geographical diversification in Central Illinois. The question being answered was whether or not geographical diversification was a legitimate risk management strategy for individual grain growers in Illinois. The costs that the authors analyzed were the inc ...
... authors analyzed the costs and returns of geographical diversification in Central Illinois. The question being answered was whether or not geographical diversification was a legitimate risk management strategy for individual grain growers in Illinois. The costs that the authors analyzed were the inc ...
The Market Opportunities Fund
... The Market Opportunities Fund is a non-diversified fund that invests all of its investable assets in the Market Opportunities Portfolio, a series of Kinetics Portfolios Trust. Under normal circumstances, the Market Opportunities Portfolio invests at least 65% of its net assets in common stocks, conv ...
... The Market Opportunities Fund is a non-diversified fund that invests all of its investable assets in the Market Opportunities Portfolio, a series of Kinetics Portfolios Trust. Under normal circumstances, the Market Opportunities Portfolio invests at least 65% of its net assets in common stocks, conv ...
Ethical Investment and Portfolio Theory
... where α, β and φ are constants between zero and 1. Now, revert temporarily to conventional portfolio theory, to investigate how this is related to portfolio risk. Figure 2 shows selected combinations of four stocks: A, B, C and D. Of these four, stocks A and B are conventional (profit-maximising) st ...
... where α, β and φ are constants between zero and 1. Now, revert temporarily to conventional portfolio theory, to investigate how this is related to portfolio risk. Figure 2 shows selected combinations of four stocks: A, B, C and D. Of these four, stocks A and B are conventional (profit-maximising) st ...