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Black-Litterman in Continuous Time : The Case for Filtering

Davis, Mark - 2013

In this article, we extend the Black-Litterman approach to a continuous time setting. We model analyst views jointly with asset prices to estimate the unobservable factors driving asset returns. The key in our approach is that the filtering problem and the stochastic control problem are...

Persistent link: https://www.econbiz.de/10013082305

Filtering Noise from Correlation Matrices : Paper 3 in a Series 'Uncovering Hidden Dependencies'

Izmailov, Alexander - 2014

of random matrix theory, a branch of probability theory; and an introduction of the Shannon entropy as a measure of noise …

Persistent link: https://www.econbiz.de/10013062134

'Extraordinary Stability of Noise-Filtered Correlation Matrices' : Paper 4 in a Series 'Uncovering Hidden Dependencies'

Izmailov, Alexander - 2014

Alexander Izmailov, Ph.D (theoretical physics) and Brian Shay, Ph.D (mathematics), of Market Memory Trading, L.L.C., present in a series of nine (9) white papers, aspects of a revolutionary advance in uncovering hidden dependencies via filtering noise from correlation matrices developed by the...

Persistent link: https://www.econbiz.de/10013062136

A Note on the M6 Forecasting Competition : Rank Optimization

Staněk, Filip - 2023

We describe a strategy applicable to the investment part of the M6 Forecasting Competition, which maximizes the probability of securing at least the top q-th rank. This portfolio strategy can attain a comparable probability of winning as a participant capable of consistently generating...

Persistent link: https://www.econbiz.de/10014343861

Dynamic Volatility Management : From Conditional Volatility to Realized Volatility

Zhang, Rongju - 2019

delivers higher risk-adjusted returns compared to the volatility-targeting strategy, and that it successfully caps the realized …

Persistent link: https://www.econbiz.de/10012890272

Unrestricted Maximum Likelihood Estimation of Multivariate Realized Volatility Models

Vogler, Jan; Golosnoy, Vasyl - 2022

The popular conditional autoregressive Wishart (CAW) model for dynamics of realized covariance matrices provides a flexible parametrisation. However, the number of parameters grows quadratically with the number of assets, which causes enormous computational difficulties in higher dimensions....

Persistent link: https://www.econbiz.de/10013292096

Forecasting the old-age dependency ratio to determine a sustainable pension age

Hyndman, Rob J.; Zeng, Yijun; Shang, Han Lin - 2020

Persistent link: https://www.econbiz.de/10012610521

Cyclical consumption

Berger, Tino; Pozzi, Lorenzo - 2023

Recessions and expansions are often caused or reinforced by developments in private consumption - the largest component of aggregate demand - which, as a result, varies over the business cycle. As such, an accurate measurement of the cyclical component of consumption and an understanding of its...

Persistent link: https://www.econbiz.de/10014380708

Idiosyncratic labour income risk and aggregate consumption : an unobserved component approach

Pozzi, Lorenzo - 2007

We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate … consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is … aggregate labour income shocks and individual risk is modelled as an unobserved component and obtained through Kalman filtering …

Persistent link: https://www.econbiz.de/10011372981

Maximum Spectral Measures of Risk with Given Risk Factor Marginal Distributions

Ghossoub, Mario; Hall, Jesse; Saunders, David M. - 2020

We consider the problem of determining an upper bound for the value of a spectral risk measure of a loss that is a … worst-case spectral risk measure of the loss with respect to the dependence between the factors. The MSP admits a …

Persistent link: https://www.econbiz.de/10014352098