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## The performance of value and growth portfolios in Australia: Implications for asset management

Fonte: Securities Institute of Australia
Publicador: Securities Institute of Australia

Tipo: Artigo de Revista Científica

Publicado em //2010
Português

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Using three financial ratios as value and growth determinants, this study indicates that the value premium in the Australian stock market is highly significant, both statistically and economically, especially between 1991 and 2007. New evidence is also provided, which suggests that the value premium is driven by positive loadings of value portfolios and negative loadings of growth portfolios on a zero-beta factor portfolio.; Paskalis Glabadanidis

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## A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk

Fonte: Oxford University Press
Publicador: Oxford University Press

Tipo: Artigo de Revista Científica

Publicado em //2009
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This paper uses a multivariate GARCH model to account for time variation in factor loadings and idiosyncratic risk in improving the performance of the CAPM and the three-factor Fama–French model. I show how to incorporate time variation in betas and the second moments of the residuals in a very general way. Both the static and conditional CAPM substantially outperform the three-factor model in pricing industry portfolios. Using a dynamic CAPM model results in a 30% reduction in the average absolute pricing error of size/book-to-market portfolios. Ad hoc analysis shows that the market beta of a value-minus-growth portfolio decreases whenever the default premium increases as well as during economic recessions.; Paskalis Glabadanidis

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## Optimizing the Army’s Aerial Reconnaissance and Surveillance Asset Mix via the Joint Platform Allocation Tool (JPAT)

Fonte: Monterey, California. Naval Postgraduate School
Publicador: Monterey, California. Naval Postgraduate School

Tipo: Relatório

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In an effort to preserve the Army’s unmatched capabilities in aerial reconnaissance and surveillance (R&S), the Integrated Capabilities Development Team (ICDT) administered a large-scale study during fiscal years 2012 and 2013 to determine in which R&S platforms and sensors the Army should invest. This report describes the Joint Platform Allocation Tool (JPAT), a mixed integer linear program developed as part of this effort. JPAT determines an optimal R&S investment portfolio by evaluating cost, performance, and production timelines of existing and planned assets, as well as these assets’ ability to perform against a 12-year prioritized mission demand signal. JPAT has informed critical resourcing decisions concerning the Army’s long-term investment strategy.

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## Minimization of risks in pension funding by means of contributions and portfolio selection

Fonte: Elsevier
Publicador: Elsevier

Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article
Formato: application/pdf; text/plain

Publicado em //2001
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#Pension funding#Contribution rate risk#Solvency risk#Asset allocation#Stochastic control#G23#G11#Economía

We consider a dynamic model of pension funding in a defined benefit plan of an employment system. The prior objective of the sponsor of the pension plan is the determination of the contribution rate amortizing the unfunded actuarial liability, in order to minimize the contribution rate risk and the solvency risk. To this end, the promoter invest in a portfolio with n risky assets and a risk-free security. The aim of this paper is to determine the optimal funding behavior in this dynamic, stochastic framework.; The research of this author was supported by Investigation Project PB98-0393 of Dirección General de Enseñanza Superior e Investigación Científica and VA108/01 of Consejería de Educación y Cultura de la Junta de Castilla y León, Spain

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## Asset Prices and Exchange Rates

Fonte: MIT - Massachusetts Institute of Technology
Publicador: MIT - Massachusetts Institute of Technology

Tipo: Trabalho em Andamento
Formato: 712125 bytes; application/pdf

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This paper develops a simple two-country, two-good model, in which the real
exchange rate, stock and bond prices are jointly determined. The model predicts that
stock market prices are correlated internationally even though their dividend processes
are independent, providing a theoretical argument in favor of financial contagion. The
foreign exchange market serves as a propagation channel from one stock market to
the other. The model identifies interconnections between stock, bond and foreign
exchange markets and characterizes their joint dynamics as a three-factor model.
Contemporaneous responses of each market to changes in the factors are shown to
have unambiguous signs. These implications enjoy strong empirical support. Estimation
of various versions of the model reveals that most of the signs predicted by the model
indeed obtain in the data, and the point estimates are in line with the implications of our
theory. Furthermore...

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## Asset Prices and Exchange Rates

Fonte: MIT - Massachusetts Institute of Technology
Publicador: MIT - Massachusetts Institute of Technology

Tipo: Trabalho em Andamento
Formato: 570635 bytes; application/pdf

Português

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This paper develops a simple two-country, two-good model, in which the real exchange rate, stock and bond
prices are jointly determined. The model predicts that stock market prices are correlated internationally even
though their dividend processes are independent, providing a theoretical argument in favor of financial contagion.
The foreign exchange market serves as a propagation channel from one stock market to the other. The model
identifies interconnections among stock, bond and foreign exchange markets and characterizes their joint dynamics
as a three-factor model. Contemporaneous responses of each market to changes in the factors are shown to have
unambiguous signs. These implications enjoy strong empirical support. Estimation of various versions of the model
reveals that most of the signs predicted by the model indeed obtain in the data, and the point estimates are in line
with the implications of our theory. Moreover, the factors we extract from daily data on stock indexes and
exchange rates explain a sizable fraction of the variation in a number of macroeconomic variables...

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## An application of the mean-semivariance approach to the portfolio allocation problem: the case of Brazil

Fonte: Universidade Católica de Brasília
Publicador: Universidade Católica de Brasília

Tipo: Artigo de Revista Científica
Formato: Texto

Português

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This paper applies the Mean-Semi-variance approach to asset allocation and compares
solutions obtained by this model to those derived from the traditional mean-variance
model. The results indicate that the risk adjusted return solutions given by the Mean-
Semi-variance over perform those from portfolios in the traditional mean-variance
model.

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## Portfolio Optimization and the Random Magnet Problem

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 28/11/2001
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#Condensed Matter - Statistical Mechanics#Condensed Matter - Disordered Systems and Neural Networks#Quantitative Finance - Portfolio Management

Diversification of an investment into independently fluctuating assets
reduces its risk. In reality, movement of assets are are mutually correlated
and therefore knowledge of cross--correlations among asset price movements are
of great importance. Our results support the possibility that the problem of
finding an investment in stocks which exposes invested funds to a minimum level
of risk is analogous to the problem of finding the magnetization of a random
magnet. The interactions for this ``random magnet problem'' are given by the
cross-correlation matrix {\bf \sf C} of stock returns. We find that random
matrix theory allows us to make an estimate for {\bf \sf C} which outperforms
the standard estimate in terms of constructing an investment which carries a
minimum level of risk.; Comment: 12 pages, 4 figures, revtex

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## Asset Allocation Strategies Based on Penalized Quantile Regression

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 01/07/2015
Português

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It is well known that quantile regression model minimizes the portfolio
extreme risk, whenever the attention is placed on the estimation of the
response variable left quantiles. We show that, by considering the entire
conditional distribution of the dependent variable, it is possible to optimize
different risk and performance indicators. In particular, we introduce a
risk-adjusted profitability measure, useful in evaluating financial portfolios
under a pessimistic perspective, since the reward contribution is net of the
most favorable outcomes. Moreover, as we consider large portfolios, we also
cope with the dimensionality issue by introducing an l1-norm penalty on the
assets weights.

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## Forecasting trends with asset prices

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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#Quantitative Finance - Statistical Finance#Quantitative Finance - Portfolio Management#Statistics - Applications

In this paper, we consider a stochastic asset price model where the trend is
an unobservable Ornstein Uhlenbeck process. We first review some classical
results from Kalman filtering. Expectedly, the choice of the parameters is
crucial to put it into practice. For this purpose, we obtain the likelihood in
closed form, and provide two on-line computations of this function. Then, we
investigate the asymptotic behaviour of statistical estimators. Finally, we
quantify the effect of a bad calibration with the continuous time mis-specified
Kalman filter. Numerical examples illustrate the difficulty of trend
forecasting in financial time series.; Comment: 26 pages, 11 figures

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## Portfolio optimization in a default model under full/partial information

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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#Quantitative Finance - Portfolio Management#Mathematics - Optimization and Control#Quantitative Finance - Computational Finance#Quantitative Finance - Pricing of Securities

In this paper, we consider a financial market with assets exposed to some
risks inducing jumps in the asset prices, and which can still be traded after
default times. We use a default-intensity modeling approach, and address in
this incomplete market context the problem of maximization of expected utility
from terminal wealth for logarithmic, power and exponential utility functions.
We study this problem as a stochastic control problem both under full and
partial information. Our contribution consists in showing that the optimal
strategy can be obtained by a direct approach for the logarithmic utility
function, and the value function for the power utility function can be
determined as the minimal solution of a backward stochastic differential
equation. For the partial information case, we show how the problem can be
divided into two problems: a filtering problem and an optimization problem. We
also study the indifference pricing approach to evaluate the price of a
contingent claim in an incomplete market and the information price for an agent
with insider information.

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## Portfolio Optimization under Small Transaction Costs: a Convex Duality Approach

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 13/09/2013
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We consider an investor with constant absolute risk aversion who trades a
risky asset with general Ito dynamics, in the presence of small proportional
transaction costs. Kallsen and Muhle-Karbe (2012) formally derived the
leading-order optimal trading policy and the associated welfare impact of
transaction costs. In the present paper, we carry out a convex duality approach
facilitated by the concept of shadow price processes in order to verify the
main results of Kallsen and Muhle-Karbe under well-defined regularity
conditions.

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## Local risk-minimization under restricted information to asset prices

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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#Mathematics - Probability#Quantitative Finance - Portfolio Management#Primary: 60J25, 60G35, 91B28, Secondary: 60J75, 60J60

In this paper we investigate the local risk-minimization approach for a
semimartingale financial market where there are restrictions on the available
information to agents who can observe at least the asset prices. We
characterize the optimal strategy in terms of suitable decompositions of a
given contingent claim, with respect to a filtration representing the
information level, even in presence of jumps. Finally, we discuss some
practical examples in a Markovian framework and show that the computation of
the optimal strategy leads to filtering problems under the real-world
probability measure and under the minimalmartingale measure.; Comment: 30 pages

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## Combining Alphas via Bounded Regression

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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We give an explicit algorithm and source code for combining alpha streams via
bounded regression. In practical applications typically there is insufficient
history to compute a sample covariance matrix (SCM) for a large number of
alphas. To compute alpha allocation weights, one then resorts to (weighted)
regression over SCM principal components. Regression often produces alpha
weights with insufficient diversification and/or skewed distribution against,
e.g., turnover. This can be rectified by imposing bounds on alpha weights
within the regression procedure. Bounded regression can also be applied to
stock and other asset portfolio construction. We discuss illustrative examples.; Comment: 20 pages; a clarifying footnote added, references updated, no other
changes; to appear in Risks

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## Missing Information and Asset Allocation

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 04/07/1997
Português

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When the available statistical information is imperfect, it is dangerous to
follow standard optimisation procedures to construct an optimal portfolio,
which usually leads to a strong concentration of the weights on very few
assets. We propose a new way, based on generalised entropies, to ensure a
minimal degree of diversification.; Comment: LaTeX 5 pages + 1 eps figure

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## Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 11/06/2014
Português

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We study optimal investment strategies that maximize expected utility from
consumption and terminal wealth in a pure-jump asset price model with
Markov-modulated (regime switching) jump-size distributions. We give sufficient
conditions for existence of optimal policies and find closed-form expressions
for the optimal value function for agents with logarithmic and fractional power
(CRRA) utility in the case of two-state Markov chains. The main tools are
convex duality techniques, stochastic calculus for pure-jump processes and
explicit formulae for the moments of telegraph processes with Markov-modulated
random jumps.

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## Optimal Portfolio Choice for a Behavioural Investor in Continuous-Time Markets

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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The aim of this work consists in the study of the optimal investment strategy
for a behavioural investor, whose preference towards risk is described by both
a probability distortion and an S-shaped utility function. Within a
continuous-time financial market framework and assuming that asset prices are
modelled by semimartingales, we derive sufficient and necessary conditions for
the well-posedness of the optimisation problem in the case of piecewise-power
probability distortion and utility functions. Finally, under straightforwardly
verifiable conditions, we further demonstrate the existence of an optimal
strategy.; Comment: An error corrected (Proposition 3.4 and the ensuing unnumbered
Remark)

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## The Capital Asset Pricing Model as a corollary of the Black-Scholes model

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 23/09/2011
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#Quantitative Finance - Portfolio Management#Quantitative Finance - General Finance#91G20 (primary), 62F25, 62P05 (secondary)

We consider a financial market in which two securities are traded: a stock
and an index. Their prices are assumed to satisfy the Black-Scholes model.
Besides assuming that the index is a tradable security, we also assume that it
is efficient, in the following sense: we do not expect a prespecified
self-financing trading strategy whose wealth is almost surely nonnegative at
all times to outperform the index greatly. We show that, for a long investment
horizon, the appreciation rate of the stock has to be close to the interest
rate (assumed constant) plus the covariance between the volatility vectors of
the stock and the index. This contains both a version of the Capital Asset
Pricing Model and our earlier result that the equity premium is close to the
squared volatility of the index.; Comment: 9 pages

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## On utility maximization under convex portfolio constraints

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

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#Quantitative Finance - Portfolio Management#Mathematics - Optimization and Control#Mathematics - Probability

We consider a utility-maximization problem in a general semimartingale
financial model, subject to constraints on the number of shares held in each
risky asset. These constraints are modeled by predictable convex-set-valued
processes whose values do not necessarily contain the origin; that is, it may
be inadmissible for an investor to hold no risky investment at all. Such a
setup subsumes the classical constrained utility-maximization problem, as well
as the problem where illiquid assets or a random endowment are present. Our
main result establishes the existence of optimal trading strategies in such
models under no smoothness requirements on the utility function. The result
also shows that, up to attainment, the dual optimization problem can be posed
over a set of countably-additive probability measures, thus eschewing the need
for the usual finitely-additive enlargement.; Comment: Published in at http://dx.doi.org/10.1214/12-AAP850 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org)

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## Annuitization and asset allocation

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 19/06/2015
Português

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This paper examines the optimal annuitization, investment and consumption
strategies of a utility-maximizing retiree facing a stochastic time of death
under a variety of institutional restrictions. We focus on the impact of aging
on the optimal purchase of life annuities which form the basis of most Defined
Benefit pension plans. Due to adverse selection, acquiring a lifetime payout
annuity is an irreversible transaction that creates an incentive to delay.
Under the institutional all-or-nothing arrangement where annuitization must
take place at one distinct point in time (i.e. retirement), we derive the
optimal age at which to annuitize and develop a metric to capture the loss from
annuitizing prematurely. In contrast, under an open-market structure where
individuals can annuitize any fraction of their wealth at anytime, we locate a
general optimal annuity purchasing policy. In this case, we find that an
individual will initially annuitize a lump sum and then buy annuities to keep
wealth to one side of a separating ray in wealth-annuity space. We believe our
paper is the first to integrate life annuity products into the portfolio choice
literature while taking into account realistic institutional restrictions which
are unique to the market for mortality-contingent claims.

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