Faber's 'A Quantitative Approach to Tactical Asset Allocation' (2009) proposes the use of a very simple trading rule to improve the risk-adjusted returns across various asset classes. The purpose of this paper is to present an alternative and simple quantitative risk based portfolio management...

The purpose of this paper is to present a comparison between two risk models for estimating VaR, Historical Simulation and Monte Carlo Filtered Bootstrap. We perform three tests, Unconditional Coverage, Independence and Conditional Coverage according to Christoffersen, P., Pellettier D. (2004)...

The purpose of this paper is to introduce an evolution of estimation of ex-ante VaR of the Monte Carlo Filtered Bootstrap. We define the "modus operandi" borrowing from Bayesian statistic the idea of prior, likelihood and posterior distribution to have a mixture distribution of future returns....

In recent years both equity and bond markets have been afflicted by high volatility. In order to build up a portfolio on a quantitative basis, several models may be used, such as minimum variance portfolio or equally weighted portfolio. In 2008/09 another way to deal with diversification came...

In recent years both equity and bond markets have been afflicted by high volatility. In order to build up a conservative portfolio several models may be used, such as minimum variance portfolio or equally weighted portfolio. In 2008/09 another way to deal with diversification came up, that is...

In this paper we propose an extensive empirical analysis on three different categories of portfolio selection models, each focused on different objectives: minimization of risk, maximization of capital diversification, and uniform distribution of risk allocation. This latter approach, also...

We test the naive model to forecast ex-ante Value-at-Risk (VaR) using a shrinkage estimator between realized volatility estimated on past return time series, and implied volatility quoted on the market. Implied volatility is often indicated as the operators expectation about future risk, while...