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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

Dynamic Asset Allocation under Regime Switching, Predictability and Parameter Uncertainty

Vo, Huy Thanh - 2013

This paper solves the dynamic asset allocation problem under stock return predictability based on the dividend price ratio with regime shifts and parameter uncertainty in a fully Bayesian framework. Intertemporal hedging demands are simultaneously induced by predictability, regime shifts,...

Persistent link: https://www.econbiz.de/10013089866

Dispersion in Options Investors’ Versus Analysts’ Expectations : Predictive Inference for Stock Returns

Andreou, Panayiotis C. - 2019

We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and its information content is not subsumed by...

Persistent link: https://www.econbiz.de/10012905055

Momentum Strategies for the ETF-Based Portfolios

Nadler, Daniel - 2019

We compared performance of past ‘winners' and past ‘losers' over the look-ahead period of one month for various portfolios that consist of the US ETFs and the holdings of the US equity Select Sector SPDRs in 2007 – 2017 and 2011 - 2017. Namely, we verified the conventional pattern...

Persistent link: https://www.econbiz.de/10012897773

Multiperiod Dynamic Portfolio Choice : When High Dimensionality Meets Return Predictability

He, Wenfeng; Mei, Xiaoling; Zhong, Wei; Zhu, Huanjun - 2022

. Specifically, in the first step, we propose the new Risk-Premium ProjectedPCA (RP-PPCA) method to reduce the dimension of tradable …

Persistent link: https://www.econbiz.de/10014236461

Moving Forward from Predictive Regressions : Boosting Asset Allocation Decisions

Nevasalmi, Lauri; Nyberg, Henri - 2021

and risk-free assets. This is in contrast to the commonly used two-step approach where least squares optimal statistical …

Persistent link: https://www.econbiz.de/10013249064

Infrequent random portfolio decisions in an open economy model

Bacchetta, Philippe; Van Wincoop, Eric; Young, Eric R. - 2021

We introduce a portfolio friction in a two-country DSGE model where investors face a constant probability to make new portfolio decisions. The friction leads to a more gradual portfolio adjustment to shocks and a weaker portfolio response to changes in expected excess returns. We apply the model...

Persistent link: https://www.econbiz.de/10012801368

Payout Yields and Stock Return Predictability : How Important is the Measure of Cash Flow?

Eaton, Gregory W. - 2017

We compare the stock return forecasting performance of alternative payout yields. The net payout yield produces more accurate forecasts relative to alternatives, including the traditional dividend yield. This remains true even after excluding several years during the Great Depression when...

Persistent link: https://www.econbiz.de/10012973823