Showing 1 - 10 of 5,181
In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS...
Persistent link: https://www.econbiz.de/10014001526
In this article, the behavior of the returns of some assets of MILA is analyzed, with the objective of looking for evidence of persistence and evaluating the impact of their presence in the decision making of investment portfolios. The methodology of the rescaled range is used in the estimation...
Persistent link: https://www.econbiz.de/10014494525
Despite extensive research support, the role of diversification in current factor investing strategies remains neglected. This paper investigates whether well-designed multifactor portfolios should not only be based on firm characteristics, but should also include portfolio diversification...
Persistent link: https://www.econbiz.de/10014502065
In a recent discussion about efficient ways to combine multiple firm characteristics into a multifactor portfolio, a distinction was made between the bottom-up and top-down approach. Both approaches integrate characteristics with equal weights and ignore interaction effects from differences in...
Persistent link: https://www.econbiz.de/10014504422
The Black-Litterman (BL) model aims to enhance asset allocation decisions by overcoming the weaknesses of standard mean-variance (MV) portfolio optimization. In this study we implement the BL model in a multi-asset portfolio context. Using an investment universe of global stock indices, bonds,...
Persistent link: https://www.econbiz.de/10010310087
Asset Management mit barwert- sowie zeitreihenorientierten Rendite- und Risikoprognosen In der vorliegenden Arbeit untersuchen wir die kritischen Erfolgsfaktoren der Portfoliooptimierung mit dem Ziel, ein für den Investor optimales Ergebnis zu erzielen. Innerhalb verschiedener Frequenzen dienen...
Persistent link: https://www.econbiz.de/10014523726
The information contained in investor sentiment has up to now hardly been used for portfolio optimization, although theoretical works demonstrate that it should not be neglected and it has already been shown to contain exploitable information on future returns and volatility. Employing the...
Persistent link: https://www.econbiz.de/10012502869
This paper aims to contribute to the existing literature in portfolio management and strategy by investigating the performance, diversification, and hedging benefits arising from integrating Sharia-compliant stocks into a conventional portfolio. Thus, this paper tests the performance of a...
Persistent link: https://www.econbiz.de/10013201168
This study examines the predictability of three major cryptocurrencies-bitcoin, ethereum, and litecoin-and the profitability of trading strategies devised upon machine learning techniques (e.g., linear models, random forests, and support vector machines). The models are validated in a period...
Persistent link: https://www.econbiz.de/10012602886
Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...
Persistent link: https://www.econbiz.de/10011853171