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Time-varying combinations of Bayesian dynamic models and equity momentum strategies

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

A novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive model and...

Persistent link: https://www.econbiz.de/10011563065

A Bayesian approach to backtest overfitting

Witzany, Jiří - 2017

Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...

Persistent link: https://www.econbiz.de/10011722180

Bayesian inference for latent factor copulas and application to financial risk forecasting

Schamberger, Benedikt; Gruber, Lutz F.; Czado, Claudia - In: Econometrics : open access journal 5 (2017) 2, pp. 1-23

couple the variables with the latent factor. We use adaptive rejection Metropolis sampling (ARMS) within Gibbs sampling for … posterior simulation: Gibbs sampling enables application to Bayesian problems, while ARMS is an adaptive strategy that replaces … of our proposed approach both in terms of sampling efficiency and accuracy. We provide an extensive application example …

Persistent link: https://www.econbiz.de/10011654443

Modeling and estimation of synchronization in size-sorted portfolio returns

Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 4, pp. 129-140

reflects a link between financial returns and real economic activity from the viewpoint of ‘financial accelerator theory’ where …

Persistent link: https://www.econbiz.de/10013471198

A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25

This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the overall equity market returns and volatility. The risk...

Persistent link: https://www.econbiz.de/10013375264

Portfolio Construction and Uncertainty

Klement, Joachim - 2009

Traditional mean variance optimization assumes that future returns and covariances of all the assets in the universe are known exactly. In practice, these input parameters are subject to estimation errors that may render the output of the optimization algorithm essentially useless. Here we...

Persistent link: https://www.econbiz.de/10013157196

Many Risks, One (Optimal) Portfolio

Homescu, Cristian - 2014

Persistent link: https://www.econbiz.de/10013050012

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Dobrev, Dobrislav - 2011

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

Bayesian risk forecasting for long horizons

Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019

risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …

Persistent link: https://www.econbiz.de/10011979983

Bayesian methods in portfolio credit risk management

Wendin, Jonathan Erik Purvis (contributor) - 2006

Persistent link: https://www.econbiz.de/10003366254