| 1. |
- Hou, Ai Jun, et al.
(författare)
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Hedge and safe haven investing with investment styles
- 2019
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Ingår i: Journal of Asset Management. - : Springer Science and Business Media LLC. - 1470-8272 .- 1479-179X. ; 20:5, s. 351-364
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we investigate the role of style investing in determining hedging and safe haven assets using gold and US Treasury bonds as hedging and safe haven assets. We expect that the hedging and safe haven effects of these assets are specific to investment styles. Our results suggest that the choice of investment style is especially meaningful with regard to US Treasury bonds as a hedge. The lesson of our study is that the investment style should be taken into consideration when formulating appropriate risk management and diversification strategies to provide protection against downside risk.
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| 2. |
- Nystrup, Peter, et al.
(författare)
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Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation
- 2016
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Ingår i: Journal of Asset Management. - : Springer Science and Business Media LLC. - 1470-8272 .- 1479-179X. ; 17:5, s. 361-374
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Tidskriftsartikel (refereegranskat)abstract
- The purpose of dynamic asset allocation (DAA) is to overcome the challenge that changing market conditions present to traditional strategic asset allocation by adjusting portfolio weights to take advantage of favorable conditions and reduce potential drawdowns. This article proposes a new approach to DAA that is based on detection of change points without fitting a model with a fixed number of regimes to the data, without estimating any parameters and without assuming a specific distribution of the data. It is examined whether DAA is most profitable when based on changes in the Chicago Board Options Exchange Volatility Index or change points detected in daily returns of the S&P 500 index. In an asset universe consisting of the S&P 500 index and cash, it is shown that a dynamic strategy based on detected change points significantly improves the Sharpe ratio and reduces the drawdown risk when compared with a static, fixed-weight benchmark.
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| 3. |
- Saarinen, Kari, et al.
(författare)
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Criticality Analysis Based Maintenance
- 2013
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Ingår i: Journal of Asset Management. - : Engineering Information Transfer. - 1470-8272 .- 1479-179X. ; 26:6, s. 16-19
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Tidskriftsartikel (refereegranskat)abstract
- Changing from a reactive to a preventive maintenance strategy can yield substantial cost savings in many sectors of industry. However, in the process industries, an installation may have many thousands of maintenance-worthy elements, rendering a solely preventive maintenance strategy impractical or even impossible. How then to determine the optimal maintenance strategy mix for such situations?
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| 4. |
- Sahamkhadam, Maziar
(författare)
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Dynamic copula-based expectile portfolios
- 2021
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Ingår i: Journal of Asset Management. - : Springer. - 1470-8272 .- 1479-179X. ; 22, s. 209-223
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Tidskriftsartikel (refereegranskat)abstract
- This study investigates expectile Value-at-Risk (EVaR) as a risk measure in dynamic copula-based portfolio optimization, compared with the common variance and CVaR. To estimate the dependence structure between asset returns, the canonical vine copula augmented with the generalized additive models (GAMC-vine) is used. Applying multivariate conditional distributions from the GAMC-vine model, step-ahead asset return forecasts are obtained and used to construct dynamic copula-based EVaR portfolios. Using ten S&P 500 industry sectors, EVaR leads to a min-risk dynamic GAMC-vine portfolio that achieves higher out-of-sample average return and risk-adjusted ratios. Furthermore, EVaR shows a better portfolio ranking than CVaR. Moreover, the copula-based variance and EVaR portfolios show higher-order stochastic dominance compared to CVaR strategies. Finally, a subsample stochastic dominance analysis reveals that, in overall, the risk minimization does not benefit from the choice of risk modeling. However, the dynamic copula model leads to optimal portfolios that dominate the equally weighted benchmark more often compared to those from historical approach.
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