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Stock Selection Strategies in Emerging Markets

Hart, Jaap van der; Slagter, Erica; Dijk, Dick van - Tinbergen Institute - 2001

increase if country selection is incorporated into the strategies, but the risk of the strategies increases proportionally … for the excess returns. We find no evidence of higher market risk or lower liquidity of the strategies. Instead, based on …

Persistent link: https://www.econbiz.de/10005137045

Robust Optimization of the Equity Momentum Strategy

Oord, Arco van; Martens, Martin; Dijk, Herman K. van - Tinbergen Institute - 2009

Quadratic optimization for asset portfolios often leads to error maximization, with optimizers zooming in on large errors in the predicted inputs, that is, expected returns and risks. The consequence in most cases is a poor real-time performance. In this paper we show how to improve real-time...

Persistent link: https://www.econbiz.de/10005504908

Dynamic Correlations and Optimal Hedge Ratios

Bos, Charles S.; Gould, Phillip - Tinbergen Institute - 2007

or the CAPM approach, more advanced GARCH techniques including estimating BEKK or DCC models and alternatively through …

Persistent link: https://www.econbiz.de/10005450720

Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk

Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Institute - 2006

sample behavior of the resulting estimators. We use these new estimators for dealing with a central issue in credit risk. We …

Persistent link: https://www.econbiz.de/10005450790

Analytic Decision Rules for Financial Stochastic Programs

Siegmann, Arjen H.; Lucas, André - Tinbergen Institute - 2000

Contemporary financial stochastic programs typically involve a trade-off between return and (downside)-risk. Using …. We find that the model can be tuned easily using Value-at-Risk (VaR) related benchmarks. In the multi-stage setting, we … formally prove that the optimal solution consists of a sequence of myopic (single-stage) decisions with risk …

Persistent link: https://www.econbiz.de/10005450807

Credit Cycles and Macro Fundamentals

Koopman, Siem Jan; Kraeussl, Roman; Lucas, Andre; … - Tinbergen Institute - 2006

We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980—2005 we directly estimate the credit cycle from the micro rating data. We...

Persistent link: https://www.econbiz.de/10005136965

Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation

Daníelsson, Jón; Jorgensen, Bjørn N.; Vries, Casper G. de - Tinbergen Institute - 2001

We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima...

Persistent link: https://www.econbiz.de/10005137002

Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies

Zou, Liang - Tinbergen Institute - 2000

This paper applies the dichotomous theory of choice by Zou (2000a) to the analysis of investment strategies and …

Persistent link: https://www.econbiz.de/10005137030

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - Tinbergen Institute - 2005

This paper investigates the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the optimal sampling frequency,...

Persistent link: https://www.econbiz.de/10005137077

The Multi-State Latent Factor Intensity Model for Credit Rating Transitions

Koopman, Siem Jan; Lucas, André; Monteiro, André - Tinbergen Institute - 2005

significant. Finally, we investigate whether the common factor model suffices to capture systematic risk in rating transition data …

Persistent link: https://www.econbiz.de/10005137142