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Modern Portfolio Theory and Risk Management : Assumptions and Unintended Consequences
Hawley, James P. - 2019
The article presents an overview of the assumptions and unintended consequences of the widespread adoption of modern portfolio theory (MPT) in the context of the growth of large institutional investors. We examine the many so-called risk management practices and financial products that have been...
Persistent link: https://www.econbiz.de/10012905822
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Life-cycle risk-taking with personal disaster risk
Bagliano, Fabio C.; Fugazza, Carolina; Nicodano, Giovanna - 2021
This paper examines households' self-insurance in financial markets when a rare personal disaster, such as disability or long-term unemployment, may occur during working years. Personal disaster risk alters lifetime ex-ante investment choices, even if most workers will not experience a disaster....
Persistent link: https://www.econbiz.de/10012793436
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Robust test of long run risk and valuation risk model
Gopalakrishna, Goutham - 2017
run component of consumption growth process is proxied by a news based index that is created using a random forest … algorithm. This news index is shown to predict aggregate long term consumption growth with an R-square of 57% and is robust to … model that arises due to measurement error in consumption data and show that this bias term is non-zero. Using a three pass …
Persistent link: https://www.econbiz.de/10011819242
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Stochastic Optimization Applied to Self-Financing Portfolio : Does Bequest Matter?
Gazioglu, Saziye - 2011
The paper studies stochastic optimization of an intertemporal consumption model to allocate financial assets between … assume a constant consumption-wealth ratio that constrains the boundary conditions, hence influencing the coefficient of the … risk premium. The main contribution of our paper is that we drop the assumption of a constant consumption-wealth ratio. We …
Persistent link: https://www.econbiz.de/10013127481
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The role of labor-income risk in household risk-taking?
Hubar, Sylwia; Koulovatianos, Christos; Li, Jian - 2020
-taking. The poor take low risk because they avoid jeopardizing their subsistence consumption. …
Persistent link: https://www.econbiz.de/10012251025
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Unsecured Credit Supply Risk and Bond Prices
Mabille, Pierre - 2021
decade despite consumption growth, solving a "post-Great Recession risk-free rate puzzle". It is also critical for the …
Persistent link: https://www.econbiz.de/10013239541
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Institutionalizing Countercyclical Investment : A Framework for Long-Term Asset Owners
Jones, Bradley - 2016
Do portfolio shifts by the world's largest asset owners respond procyclically to past returns, or countercyclically to valuations? And if countercyclical investment (with both market-stabilizing and return-generating properties) is a public and private good, how might asset owners be empowered...
Persistent link: https://www.econbiz.de/10012996063
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Dynamic Risk Allocation with Carry, Value and Momentum
Gnedenko, Boris - 2016
According to recent research, diversification across risk factors (or investment styles) proves to be more efficient than traditional asset class diversification. In this paper, we take the next step and show that it is economically worthwhile to combine risk factors in a dynamic manner, in a...
Persistent link: https://www.econbiz.de/10013006973
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Stock-Bond Correlation and Duration Risk Allocation
Xinyi, Liu - 2017
Using weekly stock-bond correlations estimated with high-frequency data, the authors find that a lower (more negative) stock-bond correlation forecasts falling 10-year interest rates over the coming weeks, and it also forecasts a falling 1-year interest rates over the next year. The reverse is...
Persistent link: https://www.econbiz.de/10012970361
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Funding Liquidity Risk and Hedge Fund Performance
Ilerisoy, Mahmut - 2017
This paper provides evidence on the interaction between hedge funds' performance and their market liquidity risk and funding liquidity risk. We demonstrate that funding liquidity risk is an important determinant of hedge fund performance. Hedge funds with high loadings on the funding liquidity...
Persistent link: https://www.econbiz.de/10012973192