Similar Search Results

On the diversification of portfolios of risky assets

Frahm, Gabriel; Wiechers, Christof - 2011

We introduce a measure of diversification for portfolios comprising d risky assets. This measure relates the smallest … of diversification is provided, and the shortcomings of some of these approaches are illustrated. A categorization of … history spanning the last five decades. When measuring the diversification of naively allocated 40-asset portfolios, the …

Persistent link: https://www.econbiz.de/10008939082

Reward-Risk Momentum Strategies Using Classical Tempered Stable Distribution

Choi, Jaehyung - 2015

We implement momentum strategies using reward-risk measures as ranking criteria based on classical tempered stable distribution. Performances and risk characteristics for the alternative portfolios are obtained in various asset classes and markets. The reward-risk momentum strategies with lower...

Persistent link: https://www.econbiz.de/10013033920

Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios

Marisu, Godeliva Petrina; Pun, Chi Seng - 2021

This paper incorporates Bayesian estimation and optimization into portfolio selection framework, particularly for high-dimensional portfolio in which the number of assets is larger than the number of observations. We leverage a constrained 𝓁1 minimization approach, called linear programming...

Persistent link: https://www.econbiz.de/10013222153

A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection

Pun, Chi Seng - 2019

This paper proposes a self-calibrated sparse learning approach for estimating a sparse target vector, which is a product of a precision matrix and a vector, and investigates its application to finance to provide an innovative construction of relative-volatility-managed portfolio (RVMP). The...

Persistent link: https://www.econbiz.de/10012899292

CHICAGO: a fast and accurate method for portfolio risk calculation

Broda, Simon A.; Paolella, Marc S. - 2008

The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysis can be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...

Persistent link: https://www.econbiz.de/10003961455

A Linear Programming Model for Selecting Sparse High-Dimensional Multi-period Portfolios

Pun, Chi Seng - 2018

This paper studies the mean-variance (MV) portfolio problems under static and dynamic settings, particularly for the case that the number of assets ($p$) is larger than the number of observations ($n$). We prove that the classical plug-in estimation seriously distorts the optimal MV portfolio in...

Persistent link: https://www.econbiz.de/10012937267

The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time

Oskay, Bora - 2018

Persistent link: https://www.econbiz.de/10012913510

Dynamic DeFi-G7 stock markets interactions and their potential role in diversifying and hedging strategies

Esparcia, Carlos; Fakhfakh, Tarek; Jareño, Francisco; … - In: Financial innovation : FIN 10 (2024), pp. 1-26

diversification gains when included in financial investment portfolios. These results are particularly relevant for portfolio managers …

Persistent link: https://www.econbiz.de/10015361554

Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection : Markowitz Meets Goldilocks

Ledoit, Olivier - 2017

Markowitz (1952) portfolio selection requires an estimator of the covariance matrix of returns. To address this problem, we promote a nonlinear shrinkage estimator that is more flexible than previous linear shrinkage estimators and has just the right number of free parameters (that is, the...

Persistent link: https://www.econbiz.de/10012973579

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...

Persistent link: https://www.econbiz.de/10013040932