portfolios. If, however, these parameters are estimated with uncertainty, mean-variance optimization maximizes estimation error …. We provide a literature review of procedures developed in academia to incorporate parameter uncertainty in the asset … allocation process, focusing on common heuristics and Bayesian methods. The Black-Litterman model, an application of the Bayesian …

of high-beta stocks and low-beta stocks in the portfolio. Our empirical results for US stocks show that this choice is … very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk …

that equilibrium risk premiums for assets with large beta uncertainty (long-short portfolio of stocks) decline once …. An investor who wants to hedge, say inflation or crash risk, generally faces substantially more beta uncertainty in the … hedge portfolio consisting of stocks, which is typically subject to large beta uncertainty. The ambiguity averse investor …

overcome the risk of not receiving an optimal solution to the portfolio optimization (suboptimal outcomes of attribution of …Aim/purpose - In this paper, a market volatility-robust portfolio composition framework under the modified Markowitz …’s approach with the use of sampling methods is developed in order to improve the allocation efficiency for a portfolio of …

Markowitz (1952) produces optimal portfolios. If, however, both and are estimated with uncertainty, mean-variance optimization …)), a derivation of the Bayesian methods developed in academia, has particular practical appeal for institutional investors …. It allows the specification of views and an uncertainty about these views, which are combined with equilibrium returns …

using the longrun risk VAR versus an unrestricted reduced-form VAR reveals stark differences in portfolio strategies. Long … covariance matrix implied by the long-run risk model of Bansal and Yaron (2004). Comparing the optimal allocations of investors …-run risk investors are quite conservative relative to reduced-form investors due to intertemporal hedging concerns. Despite the …

-quality stocks reduces the overall risk of the portfolio. Regarding the low mispricing portfolio, the results show that growth …

This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The … opportunities. The Large Fund Industry model derives market prices for risk and analyzes the resulting price distortions in … equilibrium. New flow of funds to the asset management industry lead to inefficient investment decisions, mispricing of risk, and …

Purpose of this paper was to research portfolio optimization problem on Croatian capital market using Markowitz theory …) have been chosen to build the optimal portfolio. Cash funds were selected because they represent a form of risk … selected key indicators that enable a complete and quick securities review on the market. This paper clarifies diversification …