Search Results - subject_exact:"Asset allocation"

The importance of considering regimes in long-term asset allocation to real estate

Guidolin, Massimo; Liang, Mingwei; Petrova, Milena - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609482

Navigating geoeconomic risk : evidence from U.S. mutual funds

Crosignani, Matteo; Han, Lina; Macchiavelli, Marco - 2026 - Revised April 2026

How do investors perceive and navigate the emerging geoeconomic risk? We identify firm-level geoeconomic risk using supply-chain links to Chinese firms targeted by U.S. export controls. Affected U.S. suppliers experience negative abnormal returns around policy announcements. These shocks...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550144

Particle swarm optimization with stretching and clustering for asset allocation

Chevallier, Julien - 2026

This paper develops a novel hybrid framework that integrates clustering-enhanced Particle Swarm Optimization (PSO) with stretching techniques to solve Markowitz's quadratic portfolio optimization problem. The proposed approach avoids local optima traps that plague traditional optimization...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643109

Global pension asset allocations and debt markets

Ding, Ding; Fang, Xiang; Hardy, Bryan; Lewis, Karen K. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015667793

Determinants of asset allocation decisions of robo-advisors in the Asia-Pacific region

Lai, Thong Yan; Yee Peng Chow - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015375620

Untangling illiquidity : optimal asset allocation with private asset classes

Dimitrov, Daniel - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193017

Understanding the factors driving the demand of structured investment products

Guidolin, Massimo; Leonetti, Giacomo; Pedio, Manuela - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464881

Diversified reward-risk parity in portfolio construction

Choi, Jaehyung; Kim, Hyangju; Kim, Young Shin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015438088

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Diversified Reward-Risk Parity in Portfolio Construction

Choi, Jaehyung; Kim, Hyangju; Kim, Young Shin - 2021

Book / Working Paper

What drives the correlation of stock and bond returns in the US and UK markets?

Kountouris, Spyridon; Alexiou, Constantinos; Vogiazas, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441807

Pre-tax corporate profits forecasts for the us economy : an unresolved challenge

Bizer, Kilian; Filiz, Ibrahim; Kirchhoff, Florian; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015559788

Connectedness with commodities in emerging markets : ESG leaders vs. conventional indexes

De Boyrie, Maria E.; Pavlova, Ivelina - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015061758

The role of longevity-indexed bond in risk management of aggregated defined benefit pension scheme

Zhang, Xiaoyi; Li, Yanan; Guo, Junyi - 2024

Defined benefit (DB) pension plans are a primary type of pension schemes with the sponsor assuming most of the risks. Longevity-indexed bonds have been used to hedge or transfer risks in pension plans. Our objective is to study an aggregated DB pension plan's optimal risk management problem...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014497428

Estimating long-term expected returns

Ma, Rui; Marshall, Ben R.; Nguyen, Nhut; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195229

Investment portfolio allocation and insurance solvency : new evidence from insurance groups in the era of solvency II

Poufinas, Thomas; Siopi, Evangelia - 2024

This study examines the effect of the investment portfolio structure on insurers' solvency, as measured by the Solvency Capital Requirement ratio. An empirical sample of 88 EU-based insurance groups was analyzed to provide robust evidence of the portfolio's impact on the Solvency Capital...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015327695

Uncertainty in the Black-Litterman model : a practical perspective

Fuhrer, Adrian; Hock, Thorsten - 2024

Deriving an optimal asset allocation hinges crucially on the quality of inputs used in the optimization. If the vector of expected returns and the covariance matrix are known with certainty, mean-variance optimization produces optimal portfolios. If, however, these parameters are estimated with...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015427550

Unpacking the ESG ratings : does one size fit all?

Billio, Monica; Fitzpatrick, Aoife Claire; Latino, Carmelo - 2024

In this study, we unpack the ESG ratings of four prominent agencies in Europe and find that (i) each single E, S, G pillar explains the overall ESG score differently, (ii) there is a low co-movement between the three E, S, G pillars and (iii) there are specific ESG Key Performance Indicators...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014480908

Centrality-based equal risk contribution portfolio

Patki, Shreya; Kwon, Roy H.; Lawryshyn, Yuri - 2024

This article combines the traditional definition of portfolio risk with minimum-spanning-tree-based "interconnectedness risk" to improve equal risk contribution portfolio performance. We use betweenness centrality to measure an asset's importance in a market graph (network). After filtering the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014480924

Portfolio optimization and risk management through Hierarchical Risk Parity and Logic Learning Machine : a case study applied to the Turkish stock market

Gaggero, Giacomo; Giribone, Pier Giuseppe; Muselli, Marco; … - 2024

This study explores an innovative approach to portfolio optimization, bridging traditional Modern Portfolio Theory (MPT) with advanced Machine Learning techniques. We start by recognizing the significance of Markowitz's model in MPT and quickly proceed to focus on the Hierarchical Risk Parity...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014555705

A dynamic analysis of the impact of household portfolio allocation decisions on the demand for life insurance

Wang, Ning; Deng, Yiling; Wu, Ruohan - 2024

Prior research on the demand for life insurance in household portfolio holdings has not made a clear distinction between portfolio shifts resulting from active allocation decisions and those resulting from passive acceptance. Our study examines the relationship between household portfolio...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014516153

Dynamic regularized parametric portfolio policies

van Os, Bram; Lönn, Rasmus; van Dijk, Dick - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619494

Diversification effects of ESG penalties in sustainable mean–variance portfolios

Müller, Lukas - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015627055

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Diversification effects of ESG penalties in sustainable mean–variance portfolios

Müller, Lukas - 2026

Article

Spillover effects in green and traditional assets during global crises : evidence from TVP-VAR analysis

Chiaka, Felicia; Deanita, Gwenda; Fitriya Fauzi - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617060

A bound on price impact and disagreement

Beck, Philippe van der; Bretscher, Lorenzo; Fu, Julie Zhiyu - 2026 - This draft: October 31, 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618229

The equity market implications of the retail investment boom

Beck, Philippe van der; Cohen, Cameron; Jaunin, Coralie - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618239

Determinants of financial hedging strategies among commodity producer firms in Latin America

Giraldo, Carlos; Giraldo, Iader; Huertas, Cristian; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618440

Investor valuation, taxation, and time varying expected returns

Bjerksund, Petter; Schjelderup, Guttorm - 2026

This paper analyzes the valuation of publicly traded stocks subject to capital income and wealth taxation when expected returns are time-varying. We show that, in an efficient capital market, investor valuation coincides with the market price under a broad class of tax systems, including accrued...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654699

Balancing volatility and returns in the Czech National Bank's foreign exchange portfolio

Adam, Tomáš; Michl, Aleš; Škoda, Michal - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609222

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Balancing volatility and returns in the Czech National Bank's foreign exchange portfolio

Adam, Tomáš; Michl, Aleš; Škoda, Michal - 2023

Book / Working Paper

Tax incentives, portfolio choice, and macroprudential risks

Brenzel-Weiss, Janosch; Koeniger, Winfried; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609766

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Tax incentives, portfolio choice, and macroprudential risks

Brenzel-Weiss, Janosch; Koeniger, Winfried; … - 2026

Book / Working Paper

Tax incentives, portfolio choice, and macroprudential risks

Brenzel-Weiss, Janosch; Koeniger, Winfried; … - 2026

Book / Working Paper

Optimal consumption and portfolio choice with no-borrowing constraint in the Kim-Omberg model

Ferrari, Giorgio; Schütz, Tim Niclas - 2026

In this paper, we study an intertemporal utility maximization problem in which an investor chooses consumption and portfolio strategies in the presence of a stochastic factor and a no-borrowing constraint. In the spirit of the Kim-Omberg model, the stochastic factor represents the excess return...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609775

Large and deep factor models

Kelly, Bryan T.; Kuznetsov, Boris; Malamud, Semyon; Xu, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609789

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Large (and deep) factor models

Kelly, Bryan T.; Kuznetsov, Boris; Malamud, Semyon; Xu, … - 2024

Book / Working Paper

Investment with new sentiment analysis in Japanese stock market : expert knowledge can still outperform ChatGPT

Lin, Zhenwei; Nakano, Masafumi; Takahashi, Akihiko - 2026 - This version: March 4, 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015610056

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Investment with new sentiment analysis in Japanese stock market : expert knowledge can still outperform ChatGPT

Lin, Zhenwei; Nakano, Masafumi; Takahashi, Akihiko - 2025 - This version: March 27, 2025

Edition: This version: March 27, 2025

Book / Working Paper

Investment with new sentiment analysis in Japanese stock market : expert knowledge can still outperform ChatGPT

Lin, Zhenwei; Nakano, Masafumi; Takahashi, Akihiko - 2025 - This version: April 25, 2025

Edition: This version: April 25, 2025

Book / Working Paper

Bond funds' risk taking and monetary policy

Anyphantakē, Sophia; Malliaropulos, Dimitris; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015610408

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Bond funds' risk taking and monetary policy

Anyphantakē, Sophia; Giannakidis, Haris; … - 2026

Book / Working Paper

Enhancing predictive performance of LSTM-attention models for investment risk forecasting

Ladhari, Amina; Boubaker, Heni - 2026

For many decades, time-series forecasting has been applied to different problems by scientists and industries. Many models have been introduced for the purpose of forecasting. These advancements have significantly improved the accuracy and reliability of predictions, especially in complex...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611300

From risk to returns : an analysis of asset quality, financial ratios, and market valuation in Indian banks

Rosario, Shireen; Mavuri, Sudha - 2026

This study investigates the interplay between asset quality, financial ratios, and market valuation in Indian commercial banks over a twelve-year period (2014-2025). Using a hybrid approach combining Structural Equation Modeling, correlation analysis, and trend evaluation, the research examines...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611330

Institutional reform and depositors' portfolio choice evidence from bank account data

Berlemann, Michael; Luik, Marc-André - 2026

In this paper we employ the natural experiment of German Division and Reunification in order to study the effect of institutional reform on the decision to hold risky assets. We present empirical evidence indicating that even 16 years after German Reunification risky portfolios of East and West...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614062

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Institutional reform and depositors' portfolio choice : evidence from bank account data

Berlemann, Michael; Luik, Marc-André - 2016

Book / Working Paper

Performance attribution : the Harsanyi method

Acerbi, Carlo; Csóka, Péter; Herings, Peter Jean-Jacques - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614107

Green investment : examining the influencing factors and mechanisms on the investment willingness of China retail investors towards green bonds

Tao, Zhibin - 2026

As global climate and sustainable challenges gain more attention, green finance has emerged as a significant focus of worldwide financial reform, with green bonds serving as a key indicator. Retail investors, as an important part of the financial market, have a significant impact on the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614367

A VaR-based price-based unit commitment framework for generation asset valuation under electricity price risk

Chen, Shih-Ying; Lin, Kuen-Lin; Tsai, Ming-Tang - 2026

In deregulated electricity markets, Generation Companies (GENCOs) are exposed to substantial financial risk due to volatile and uncertain electricity prices. Traditional generation asset valuation approaches, which rely primarily on expected profit, fail to adequately capture downside risk under...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614368

Regulating ESG disclosure : capital allocation and investor heterogeneity

Emiris, Marina; Harris, Joanna; Koulischer, François - 2026

We study how sustainability disclosure regulation affects mutual fund flows and portfolio choices, accounting for investor heterogeneity. Guided by a model of ESG investing under uncertainty, we exploit the introduction of the European Sustainable Finance Disclosure Regulation (SFDR) as a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614830

How framing susceptibility is associated with investment grip : evidence from Japanese retail investors

Otchere-Appiah, Gideon; Kuramoto, Yu; Bawalle, Aliyu Ali; … - 2026

This study builds on the concept of loss tolerance by introducing investment grip, a behavioral interpretation that captures investors' commitment to long-term objectives under adverse market conditions. While loss tolerance traditionally measures the maximum financial loss an investor can...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615249

Carbon risk without a stable premium : nonlinear and state-dependent evidence from European ESG leaders

Salzmann, Eleonora - 2026

Despite the economic relevance of climate-transition risk, firm-level carbon exposure often fails to appear as a robustly priced factor when ESG measures and sustainability shocks are conflated. This study examines whether carbon exposure is conditionally priced in European equity returns using...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615255

Investing outside the box : fluctuating styles of actively managed funds

Bai, Ting; Hilscher, Jens; Scherbina, Anna - 2026

Managers of actively managed funds do not maintain a constant investment style. Instead, their factor loadings change over time. These changes are especially large following quarters with extreme returns and fund flows and arise from both active portfolio reallocations and passive style drift....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615830

Structural drivers of growth at risk : insights from a VAR-quantile regression approach

Carboni, Giacomo; Fonseca, Luís; Fornari, Fabio; … - 2026

We investigate the impact of structural shocks on the joint distribution of future real GDP growth and inflation in the euro area. We model the conditional mean of these variables, along with selected financial indicators, using a VAR and perform quantile regressions on the VAR residuals to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592539

Putting the "finance" into "public finance" : a theory of capital gains taxation

Aguiar, Mark; Moll, Benjamin; Scheuer, Florian - 2026 - First version: May 2024, this version: February 2026

Standard optimal capital tax theory abstracts from modeling asset prices, making it unsuitable for thinking about capital gains and wealth taxation. We study optimal redistributive taxation in an environment with asset price movements, adopting the modern finance view that asset prices fluctuate...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015596733

What Attracts Investors to Distressed Asset Markets? Key Pillars for Private Investors to Participate in Market Development

Mueller, Marta; Dancausa, Fernando - 2026

This WBG study examines what makes distressed asset markets work — and how governments can create the right conditions for private sector engagement. It provides policymakers, regulators, and financial institutions with a practical framework to assess market readiness, identify policy and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015597424

Asset Recycling Handbook

2026

Infrastructure development is crucial for the continued economic growth and prosperity of emerging markets and developed economies (EMDEs). The demand for infrastructure, propelled by population growth and ever-increasing rate of urbanization, has resulted in the need to build, and improve...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015597467

Extrapolators and contrarians : forecast bias and individual investor stock trading

Andersen, Steffen; Dimmock, Stephen G.; Nielsen, Kasper M. - 2026

We test whether forecast bias affects individual investors' stock trading by combining bias measures from laboratory experiments with administrative trade data. Forecast bias is positively associated with past excess returns of purchased stocks: Compared to contrarians, extrapolators purchase...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015588367

OPENSIMPLEST : the smallest SFC open economy model

Zezza, Francesco - 2026

This article introduces OPENSIMPLEST, a highly parsimonious stock-flow consistent (SFC) model of an open economy. The model is designed as a pedagogical and analytical benchmark that preserves the core mechanisms of more complex open-economy SFC frameworks while remaining complete, transparent,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015588384

Forecasting mutual fund performance : combining return-based with portfolio holdings-based predictors

Müller, Sebastian; Pugachyov, Nikolay; Weigert, Florian - 2026

We introduce a simple yet powerful method for enhancing mutual fund performance prediction by combining individual predictors into a composite predictor. This composite approach integrates information from 19 well-established return-based and portfolio holdings-based predictors from the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591032

Information-neutral hedging of derivatives under market impact and manipulation risk

Alimoradian, Behzad; Barigou, Karim; Eyraud, Anne - 2026

The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591116