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We establish innovative measures of liquidity premium Beta on both asset and portfolio levels, and corresponding liquidity-adjusted return and volatility, for selected crypto assets. We develop a liquidity-adjusted ARMA-GARCH/EGARCH representation to model the liquidity-adjusted return for...
Persistent link: https://www.econbiz.de/10014349884
This paper aims to implement a portfolio optimization strategy considering two fundamental aspects: the empirical regularities observed in the time series of stock returns, and the views of portfolio managers about these regularities. From an analytical point of view, all the results are...
Persistent link: https://www.econbiz.de/10012998423
Option-implied moments, like implied volatility, contain useful information about an underlying asset's return distribution, but are derived under the risk-neutral probability measure. This paper shows how to convert risk-neutral moments into the corresponding physical ones. The main theoretical...
Persistent link: https://www.econbiz.de/10010399367
The asset allocation is a practical problem for most institutional and private investors, who routinely deal with a wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over time. Many studies find that the expected returns have...
Persistent link: https://www.econbiz.de/10013055149
We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...
Persistent link: https://www.econbiz.de/10013128339
Under an assumption of normality, we explore a non-orthogonal Bayesian technique in which redundant information can in principle be filtered out of the posterior distribution by the explicit coupling of the prior and likelihood functions. The Black-Litterman forecasting model widely used by...
Persistent link: https://www.econbiz.de/10012940624
In this paper, we build efficient portfolios using different frameworks proposed in the literature with several datasets containing an increasing number of predictors as conditioning information. We carry an extensive empirical study to investigate several approaches to impose sparsity and...
Persistent link: https://www.econbiz.de/10012824470
We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...
Persistent link: https://www.econbiz.de/10015066381
Market neutral funds are commonly advertised as alternative investments offering returns which are uncorrelated with the broad market. Utilizing recent advances in financial econometrics we demonstrate that constructing market (beta) neutral funds by standard forecasting methods is often very...
Persistent link: https://www.econbiz.de/10013113230
Asset returns change with fundamentals and other factors, such as technical information and sentiment over time. In modeling time-varying expected returns, this article focuses on the out-of-sample predictability of the aggregate stock market return via extensions of the conventional predictive...
Persistent link: https://www.econbiz.de/10013322523