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Optimal long-term allocation with pension fund liabilities

Jondeau, Eric; Rockinger, Michael - 2014

We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...

Persistent link: https://www.econbiz.de/10010442892

Asymmetric beta comovement and systematic downside risk

Jondeau, Eric; Zhang, Qunzi - 2014

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

Persistent link: https://www.econbiz.de/10010442899

Risk-adjusted time series momentum

Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

Persistent link: https://www.econbiz.de/10011293745

Forecasting stock market returns by summing the frequency-decomposed parts

Faria, Gonçalo; Verona, Fabio - In: Journal of empirical finance 45 (2018), pp. 228-242

Persistent link: https://www.econbiz.de/10012102423

Trading Volume Alpha

Goyenko, Ruslan; Kelly, Bryan T.; Moskowitz, Tobias J.; … - National Bureau of Economic Research - 2024

Portfolio optimization focuses on risk and return prediction, yet implementation costs critically matter. Predicting …

Persistent link: https://www.econbiz.de/10015094879

Risk-averse multistage stochastic programs with expected conditional risk measures

Khatami, Maryam; Silva, Thuener; Pagnoncelli, Bernardo K.; … - In: Computers & operations research : an international journal 172 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015066893

Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty

Zhang, Weini; Rahimian, Hamed; Bayraksan, Güzin - In: INFORMS journal on computing : JOC 28 (2016) 3, pp. 385-404

Persistent link: https://www.econbiz.de/10011538952

Decomposition of portfolio risk into independent factors using an inductive causal search algorithm

Deaton, Brian D. - In: Journal of risk 19 (2016) 1, pp. 43-61

Persistent link: https://www.econbiz.de/10011579769

Parallel scenario decomposition of risk-averse 0-1 stochastic programs

Deng, Yan; Ahmed, Shabbir; Shen, Siqian - In: INFORMS journal on computing : JOC 30 (2018) 1, pp. 90-105

Persistent link: https://www.econbiz.de/10011848149

Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management

Escudero, Laureano F.; Garín, María Araceli; Monge, … - In: European journal of operational research : EJOR 285 (2020) 3, pp. 988-1001

Persistent link: https://www.econbiz.de/10012239827