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Portfolio Performance Measurement : Monotonicity with Respect to the Sharpe Ratio and Multivariate Tests of Correlation

Adcock, Christopher J. - 2017

equivocal empirical evidence reported by several authors about the correlation of performance measures with the Sharpe ratio … will fail. The paper shows that for large sample sizes the correlation between pairs of performance measures that are … functions of the Sharpe ratio is unity. The correct null hypothesis for tests of correlation is therefore ρ=1. Two multivariate …

Persistent link: https://www.econbiz.de/10012970408

Uncertain Covariance Models and Uncertainty-Penalized Portfolio Optimization

Shah, Anish - 2021

risk assessment, uncertainty-penalized optimization to counter estimation error and improve realized utility, and …

Persistent link: https://www.econbiz.de/10013251623

An analysis of conditional mean-variance portfolio performance using hierarchical clustering

Owen, Stephen R. - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-13

This paper studies portfolio optimization through improvements of ex-ante conditional covariance estimates. We use the cross-section of stock returns over a 52-year sample to analyze trading performance by implementing the machine learning algorithm of hierarchical clustering. We find that...

Persistent link: https://www.econbiz.de/10014514019

Beyond connectedness: a covariance decomposition based network risk model

Akovalı, Umut - 2020

model is estimated for different shock sizes. It is shown, in contrast to the DYCI model, the dynamic quantile estimation of … model makes full use of information embedded in the covariance matrix. Estimation results show that in two recent episodes …

Persistent link: https://www.econbiz.de/10012170580

Option Pricing in an Investment Risk-Return Setting

Kim, Young Shin - 2019

In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a …

Persistent link: https://www.econbiz.de/10012865720

Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds

Ammann, Manuel - 2017

This study investigates the relationship between governance, investment performance and asset allocation of pension funds in Switzerland. Our sample includes survey data from 139 Swiss occupational pension plans for which we develop a governance metric comprising attributes of organisational...

Persistent link: https://www.econbiz.de/10012962604

Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns

Adcock, Christopher J. - 2013

Persistent link: https://www.econbiz.de/10013090404

Pairs Trading in the UK Equity Market : Risk and Return

Bowen, David - 2014

In this paper we provide the first comprehensive UK evidence on the profitability of the pairs trading strategy. Evidence suggests that the strategy performs well in crisis periods, so we control for both risk and liquidity to assess performance. To evaluate the effect of market frictions on the...

Persistent link: https://www.econbiz.de/10013062306

High Frequency Equity Pairs Trading : Transaction Costs, Speed of Execution and Patterns in Returns

Bowen, David - 2019

In this paper we examine the characteristics of high frequency pairs trading using a sample of FTSE100 constituent stocks for the period January to December 2007. We show that the excess returns of the strategy are extremely sensitive both to transaction costs and speed of execution. When we...

Persistent link: https://www.econbiz.de/10012906082

Return and Dividend Expectations in the Cross-Section of Prices

Douglas, Reed - 2022

I build a price-ratio model based on the Campbell and Shiller (1988) decomposition to test which components of investor expectations best explains cross-sectional price differences. I evaluate the in- and out-of-sample performance of my model, which uses a higher-order expansion with an added...

Persistent link: https://www.econbiz.de/10014236440