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

Oskay, Bora - 2018

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

Is Your Covariance Matrix Still Relevant? An Asset Allocation-Based Analysis of Dynamic Volatility Models

Colon, James - 2013

Ever since Harry Markowitz published his seminal paper on portfolio selection, investors have incorporated estimates of future volatilities and correlations into their asset allocation process. While portfolio construction methods continue to evolve, many investors continue to forecast...

Persistent link: https://www.econbiz.de/10013086014

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

New Tests of Correlation and the Choice of Measures of Portfolio Performance

Adcock, Christopher J. - 2017

ratio. For large sample sizes, the correlation between pairs of performance measures is asymptotically equal to unity …. Therefore, a new specification for tests of correlation between pairs of performance measures, as well as a new multivariate …

Persistent link: https://www.econbiz.de/10012973178

Advances in Cointegration and Subset Correlation Hedging Methods

Lopez de Prado, Marcos - 2014

, two new procedures are introduced, called Dickey-Fuller Optimal (DFO), Mini-Max Subset Correlation (MMSC). The former is a …

Persistent link: https://www.econbiz.de/10013067582

Asset Allocation with Correlation : A Composite Trade-Off

Carroll, Rachael - 2017

We assess the ability of minimum-variance portfolio allocation strategies accounting for time-varying correlation … correlation-based strategies emphatically outperform the equally-weighted benchmark. This finding is strongest for short horizon … correlation forecasts and attributed to dynamic correlation as opposed to variance forecasts. Thus, estimation error is not found …

Persistent link: https://www.econbiz.de/10012959226

Hierarchical PCA and Modeling Asset Correlations

Serur, Juan A.; Avellaneda, Marco - 2021

Modeling cross-sectional correlations between thousands of stocks, acrosscountries and industries, can be challenging. In this paper, we demonstratethe advantages of using Hierarchical Principal Component Analysis (HPCA)over the classic PCA. We also introduce a statistical clustering algorithmto...

Persistent link: https://www.econbiz.de/10013213840

Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularized Covariance Regression

van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023

A time-series basis decomposition and trend extraction technique known as Empirical Mode Decomposition (EMD), designed for multi-scale time-frequency decomposition in non-stationary time-series settings, will be combined with Regularised Covariance Regression (RCR) methods to produce a framework...

Persistent link: https://www.econbiz.de/10014348857

The impact of revenue diversification on nonprofit financial health : a meta-analysis

Hung, ChiaKo; Hager, Mark A. - In: Nonprofit and voluntary sector quarterly : journal of … 48 (2019) 1, pp. 5-27

Persistent link: https://www.econbiz.de/10012005669

Diversity in alliance portfolios and performance outcomes : a meta-analysis

Lee, Donghun; Kirkpatrick-Husk, Katie; Madhavan, … - In: Journal of management : JOM 43 (2017) 5, pp. 1472-1497

Persistent link: https://www.econbiz.de/10011732513